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Report NEP-ETS-2025-02-24
This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Yong Yin issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-ETS
The following items were announced in this report:
- Oriol Gonzalez-Casasus & Frank Schorfheide, 2025, "Misspecification-Robust Shrinkage and Selection for VAR Forecasts and IRFs," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 25-003, Feb.
- Martin Bruns & Helmut Lutkepohl, 2025, "Comparing External and Internal Instruments for Vector Autoregressions," University of East Anglia School of Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK., number 2025-01, Feb.
- Jesus Gonzalo & Jean-Yves Pitarakis, 2025, "Detecting Sparse Cointegration," Papers, arXiv.org, number 2501.13839, Jan, revised Mar 2026.
- Man Fung Leung & Kin Wai Chan & Xiaofeng Shao, 2025, "Online Generalized Method of Moments for Time Series," Papers, arXiv.org, number 2502.00751, Feb.
- Hao Hao & Tae-Hwy Lee, 2025, "Boosting GMM with Many Instruments When Some Are Invalid and/or Irrelevant," Working Papers, University of California at Riverside, Department of Economics, number 202504, Feb.
- António Afonso & José Alves & José Carlos Coelho & Jamel Saadaoui, 2025, "Fiscal and External Sustainability: a Two-Step Time-varying Granger Causality Assessment," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2025/0369, Feb.