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Report NEP-ETS-2025-10-27
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:
- Bauer, Dietmar & del Barrio Castro, Tomás, 2025, "The Effect of Aggregation on Seasonal Cointegration in Mixed Frequency data," MPRA Paper, University Library of Munich, Germany, number 126066, Sep.
- Gabriele Casto, 2025, "Rethinking Portfolio Risk: Forecasting Volatility Through Cointegrated Asset Dynamics," Papers, arXiv.org, number 2509.23533, Sep.
- Mar'ia Dolores Gadea & `Oscar Jord`a, 2025, "Local Projections Bootstrap Inference," Papers, arXiv.org, number 2509.17949, Sep.
- Abhimanyu Gupta & Myung Hwan Seo, 2025, "Optimal break tests for large linear time series models," Papers, arXiv.org, number 2510.12262, Oct.
- Prosper Dovonon & Nikolay Gospodinov, 2025, "A Uniformly Valid Test for Instrument Exogeneity," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2025-9, Sep, DOI: 10.29338/wp2025-09.
- David Schenck, 2025, "Dynamic causal effects for time series in Stata," Canadian Stata Users' Group Meetings 2025, Stata Users Group, number 14, Oct.
- Christoph Breunig & Ruixuan Liu & Zhengfei Yu, 2025, "Robust Semiparametric Inference for Bayesian Additive Regression Trees," Papers, arXiv.org, number 2509.24634, Sep, revised Oct 2025.
- Zhuoxun Li & Clifford M. Hurvich, 2025, "Automatic Order, Bandwidth Selection and Flaws of Eigen Adjustment in HAC Estimation," Papers, arXiv.org, number 2509.23256, Sep, revised Oct 2025.
- Yiannis Karavias & Joakim Westerlund & Jan Ditzen, 2025, "Testing and estimating structural breaks in time series and panel data in Stata," UK Stata Conference 2025, Stata Users Group, number 06, Sep.
- Alfonso Ugarte-Ruiz, 2025, "Using locproj to easily estimate nonlinear local projections," UK Stata Conference 2025, Stata Users Group, number 05, Sep.