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Report NEP-ETS-2025-05-19
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:
- Juan Castellanos, 2025, "Local Projections vs. VARs for structural parameter estimation," Bank of England working papers, Bank of England, number 1116, Feb.
- Jingyi Wei & Steve Yang & Zhenyu Cui, 2025, "Unified GARCH-Recurrent Neural Network in Financial Volatility Forecasting," Papers, arXiv.org, number 2504.09380, Apr, revised Nov 2025.
- Matthew Read & Dan Zhu, 2025, "Fast Posterior Sampling in Tightly Identified SVARs Using 'Soft' Sign Restrictions," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2025-03, May, DOI: 10.47688/rdp2025-03.
- Jungbin Hwang & Gonzalo Valdés, 2025, "HAR Inference for Quantile Regression in Time Series," Working papers, University of Connecticut, Department of Economics, number 2025-03, Feb, revised Mar 2026.
- Alessandro Morico & Ovidijus Stauskas, 2025, "Robust Tests for Factor-Augmented Regressions with an Application to the novel EA-MD-QD Dataset," Papers, arXiv.org, number 2504.08455, Apr, revised Nov 2025.
- Uwe Hassler & Marc-Oliver Pohle & Tanja Zahn, 2025, "Simultaneous Inference Bands for Autocorrelations," Papers, arXiv.org, number 2503.18560, Mar, revised Aug 2025.
- Monica Billio & Roberto Casarin & Fausto Corradin & Antonio Peruzzi, 2025, "Bayesian Outlier Detection for Matrix-variate Models," Papers, arXiv.org, number 2503.19515, Mar, revised Aug 2025.
- Masahiro Tanaka, 2025, "Quasi-Bayesian Local Projections: Simultaneous Inference and Extension to the Instrumental Variable Method," Papers, arXiv.org, number 2503.20249, Mar, revised Dec 2025.