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. Simon Sosvilla-Rivero issued this report. It is usually issued weekly.

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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 126066, University Library of Munich, Germany.
• Gabriele Casto, 2025. "Rethinking Portfolio Risk: Forecasting Volatility Through Cointegrated Asset Dynamics," Papers 2509.23533, arXiv.org.
• Mar'ia Dolores Gadea & `Oscar Jord`a, 2025. "Local Projections Bootstrap Inference," Papers 2509.17949, arXiv.org.
• Abhimanyu Gupta & Myung Hwan Seo, 2025. "Optimal break tests for large linear time series models," Papers 2510.12262, arXiv.org.
• Prosper Dovonon & Nikolay Gospodinov, 2025. "A Uniformly Valid Test for Instrument Exogeneity," FRB Atlanta Working Paper 2025-9, Federal Reserve Bank of Atlanta.
• David Schenck, 2025. "Dynamic causal effects for time series in Stata," Canadian Stata Users' Group Meetings 2025 14, Stata Users Group.
• Christoph Breunig & Ruixuan Liu & Zhengfei Yu, 2025. "Robust Semiparametric Inference for Bayesian Additive Regression Trees," Papers 2509.24634, arXiv.org, revised Oct 2025.
• Zhuoxun Li & Clifford M. Hurvich, 2025. "Automatic Order, Bandwidth Selection and Flaws of Eigen Adjustment in HAC Estimation," Papers 2509.23256, arXiv.org, 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 06, Stata Users Group.
• Alfonso Ugarte-Ruiz, 2025. "Using locproj to easily estimate nonlinear local projections," UK Stata Conference 2025 05, Stata Users Group.