Report NEP-ETS-2025-06-16

This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Simon Sosvilla-Rivero 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:

• José Luis Montiel Olea & Mikkel Plagborg-Møller & Eric Qian & Christian K. Wolf, 2025. "Local Projections or VARs? A Primer for Macroeconomists," NBER Working Papers 33871, National Bureau of Economic Research, Inc.
• Atsushi Inoue & Lutz Kilian, 2025. "The Conventional Impulse Response Prior in VAR Models with Sign Restrictions," Working Papers 2516, Federal Reserve Bank of Dallas.
• Joshua C. C. Chan & Michael Pfarrhofer, 2025. "Large Bayesian VARs for Binary and Censored Variables," Papers 2506.01422, arXiv.org.
• Lukas Berend & Jan Pruser, 2025. "Large structural VARs with multiple linear shock and impact inequality restrictions," Papers 2505.19244, arXiv.org.
• Lajos Horvath & Gregory Rice & Yuqian Zhao, 2025. "Detecting multiple change points in linear models with heteroscedastic errors," Papers 2505.01296, arXiv.org.
• Bahaa Aly, Tarek, 2025. "Deep Impulse Response Functions for Macroeconomic Dynamics: A Hybrid LSTM-Wavelet Approach Compared to an ANN-Wavelet and VECM Models," MPRA Paper 124905, University Library of Munich, Germany.
• Tommaso Proietti & Alessandro Giovannelli, 2025. "On the Estimation of Climate Normals and Anomalies," CEIS Research Paper 602, Tor Vergata University, CEIS, revised 04 Jun 2025.
• Yi Ding & Xinghua Zheng, 2025. "Sub-Gaussian Estimation of the Scatter Matrix in Ultra-High Dimensional Elliptical Factor Models with 2 + eth Moment," Working Papers 202529, University of Macau, Faculty of Business Administration.
• Jonas E. Arias & Juan F. Rubio-Ram'irez & Minchul Shin, 2025. "A Gibbs Sampler for Efficient Bayesian Inference in Sign-Identified SVARs," Papers 2505.23542, arXiv.org, revised May 2025.
• James Hebden & Fabian Winkler, 2024. "Computation of Policy Counterfactuals in Sequence Space," Finance and Economics Discussion Series 2021-042r1, Board of Governors of the Federal Reserve System (U.S.).
• Lukas Bauer, 2025. "Evaluating financial tail risk forecasts: Testing Equal Predictive Ability," Papers 2505.23333, arXiv.org.
• Christof Schmidhuber, 2025. "Critical Dynamics of Random Surfaces and Multifractal Scaling," Papers 2505.23928, arXiv.org.
• Carolina Nunes & Tiago Pinheiro, 2025. "Estimating individuals’ default risk in Portugal," Working Papers w202510, Banco de Portugal, Economics and Research Department.
• Mr. Geoffrey M Heenan & Karras Lui & Ian J Nield & Eucharist Muaulu & Viiaonaoperesi Reupena & Ivy Sabuga & Aiulu Tolovaa, 2025. "Nowcasting Real GDP in Samoa," IMF Working Papers 2025/092, International Monetary Fund.
• Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2025. "Persistence and Nonlinearities in the US Federal Funds Rate," CESifo Working Paper Series 11913, CESifo.
• Hie Joo Ahn & Matteo Luciani, 2024. "Common and Idiosyncratic Inflation," Finance and Economics Discussion Series 2020-024r1, Board of Governors of the Federal Reserve System (U.S.).
• Md. Yeasin Rahat & Rajan Das Gupta & Nur Raisa Rahman & Sudipto Roy Pritom & Samiur Rahman Shakir & Md Imrul Hasan Showmick & Md. Jakir Hossen, 2025. "Advancing Exchange Rate Forecasting: Leveraging Machine Learning and AI for Enhanced Accuracy in Global Financial Markets," Papers 2506.09851, arXiv.org.
• Dominik Stempie'n & Robert 'Slepaczuk, 2025. "Hybrid Models for Financial Forecasting: Combining Econometric, Machine Learning, and Deep Learning Models," Papers 2505.19617, arXiv.org.
• Masoud Ataei, 2025. "Multiscale Causal Analysis of Market Efficiency via News Uncertainty Networks and the Financial Chaos Index," Papers 2505.01543, arXiv.org.
• GUERRÓN QUINTANA, Pablo A. & JINNAI, Ryo & YAMAMOTO, Yohei, 2025. "Bubbles and Economic Fluctuations," Discussion Paper Series 768, Institute of Economic Research, Hitotsubashi University.
• Boysen-Hogrefe, Jens, 2025. "Is the supermultiplier currently nil? - A replication study of Deleidi and Mazzucato (2021)," Open Access Publications from Kiel Institute for the World Economy 318260, Kiel Institute for the World Economy (IfW Kiel).
• Dominik Stempie'n & Janusz Gajda, 2025. "Comparative analysis of financial data differentiation techniques using LSTM neural network," Papers 2505.19243, arXiv.org.
• Yuhao Li, 2025. "Model Checks in a Kernel Ridge Regression Framework," Papers 2505.01161, arXiv.org.
• Tobias Adrian & Hongqi Chen & Max-Sebastian Dov`i & Ji Hyung Lee, 2025. "Machine-learning Growth at Risk," Papers 2506.00572, arXiv.org.
• James H. Stock & Mark W. Watson, 2025. "Recovering from COVID," NBER Working Papers 33857, National Bureau of Economic Research, Inc.