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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. 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:
- José Luis Montiel Olea & Mikkel Plagborg-Møller & Eric Qian & Christian K. Wolf, 2025, "Local Projections or VARs? A Primer for Macroeconomists," NBER Working Papers, National Bureau of Economic Research, Inc, number 33871, May.
- Atsushi Inoue & Lutz Kilian, 2025, "The Conventional Impulse Response Prior in VAR Models with Sign Restrictions," Working Papers, Federal Reserve Bank of Dallas, number 2516, May, DOI: 10.24149/wp2516.
- Joshua C. C. Chan & Michael Pfarrhofer, 2025, "Large Bayesian VARs for Binary and Censored Variables," Papers, arXiv.org, number 2506.01422, Jun.
- Lukas Berend & Jan Pruser, 2025, "Large structural VARs with multiple linear shock and impact inequality restrictions," Papers, arXiv.org, number 2505.19244, May, revised Jul 2025.
- Lajos Horvath & Gregory Rice & Yuqian Zhao, 2025, "Detecting multiple change points in linear models with heteroscedasticity," Papers, arXiv.org, number 2505.01296, May, revised Oct 2025.
- 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, University Library of Munich, Germany, number 124905, May.
- Tommaso Proietti & Alessandro Giovannelli, 2025, "On the Estimation of Climate Normals and Anomalies," CEIS Research Paper, Tor Vergata University, CEIS, number 602, Jun, 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, University of Macau, Faculty of Business Administration, number 202529, Jun.
- Jonas E. Arias & Juan F. Rubio-Ram'irez & Minchul Shin, 2025, "A Gibbs Sampler for Efficient Bayesian Inference in Sign-Identified SVARs," Papers, arXiv.org, number 2505.23542, May, revised May 2025.
- Item repec:fip:fedgfe:100035 is not listed on IDEAS anymore
- Lukas Bauer, 2025, "Evaluating financial tail risk forecasts: Testing Equal Predictive Ability," Papers, arXiv.org, number 2505.23333, May.
- Christof Schmidhuber, 2025, "Critical Dynamics of Random Surfaces and Multifractal Scaling," Papers, arXiv.org, number 2505.23928, May, revised Nov 2025.
- Tiago Pinheiro & Carolina Nunes, 2025, "Estimating individuals’ default risk in Portugal," Working Papers, Banco de Portugal, Economics and Research Department, number w202510.
- 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, International Monetary Fund, number 2025/092, May.
- Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2025, "Persistence and Nonlinearities in the US Federal Funds Rate," CESifo Working Paper Series, CESifo, number 11913.
- Item repec:fip:fedgfe:100036 is not listed on IDEAS anymore
- 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, arXiv.org, number 2506.09851, Jun.
- Dominik Stempie'n & Robert 'Slepaczuk, 2025, "Hybrid Models for Financial Forecasting: Combining Econometric, Machine Learning, and Deep Learning Models," Papers, arXiv.org, number 2505.19617, May.
- Masoud Ataei, 2025, "Multiscale Causal Analysis of Market Efficiency via News Uncertainty Networks and the Financial Chaos Index," Papers, arXiv.org, number 2505.01543, May.
- GUERRÓN QUINTANA, Pablo A. & JINNAI, Ryo & YAMAMOTO, Yohei, 2025, "Bubbles and Economic Fluctuations," Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number 768, Jun.
- 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, Kiel Institute for the World Economy, number 318260, DOI: 10.1016/j.respol.2025.105176.
- Dominik Stempie'n & Janusz Gajda, 2025, "Comparative analysis of financial data differentiation techniques using LSTM neural network," Papers, arXiv.org, number 2505.19243, May.
- Yuhao Li, 2025, "Model Checks in a Kernel Ridge Regression Framework," Papers, arXiv.org, number 2505.01161, May.
- Tobias Adrian & Hongqi Chen & Max-Sebastian Dov`i & Ji Hyung Lee, 2025, "Machine-learning Growth at Risk," Papers, arXiv.org, number 2506.00572, May.
- James H. Stock & Mark W. Watson, 2025, "Recovering from COVID," NBER Working Papers, National Bureau of Economic Research, Inc, number 33857, May.