Printed from https://ideas.repec.org/n/nep-ets/2026-01-19.html
Report NEP-ETS-2026-01-19
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:
- Dimitris Korobilis, 2025, "Learning from crises: A new class of time-varying parameter VARs with observable adaptation," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 09/2025, Dec.
- Daniel Lewis & Karel Mertens, 2026, "Weak instrument bias in impulse response estimators," CeMMAP working papers, Institute for Fiscal Studies, number 01/26, Jan, DOI: 10.47004/wp.cem.2026.0126.
- Lucas, André & Schwaab, Bernd & Zhang, Xin & D’Innocenzo, Enzo, 2026, "Joint extreme value-at-risk and expected shortfall dynamics with a single integrated tail shape parameter," Working Paper Series, European Central Bank, number 3166, Jan.
- Fabio Canova & Luca Fosso, 2025, "Low Frequency Movements and SVAR Analyses," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 10/2025, Dec.
- Domenico Giannone & Michele Lenza & Giorgio Primiceri, 2026, "Bayesian Inference in IV Regressions," NBER Working Papers, National Bureau of Economic Research, Inc, number 34648, Jan.
- Charles Shaw, 2025, "srvar-toolkit: A Python Implementation of Shadow-Rate Vector Autoregressions with Stochastic Volatility," Papers, arXiv.org, number 2512.19589, Dec.
- Pooyan Amir-Ahmadi & Marko Mlikota & Dalibor Stevanovi'c, 2025, "Origins and Nature of Macroeconomic Instability in Vector Autoregressions," Papers, arXiv.org, number 2512.20152, Dec.
- Mokinski, Frieder & Roth, Markus, 2025, "Forecasting with log-linear (S)VAR models: Incorporating annual growth rate conditions," Discussion Papers, Deutsche Bundesbank, number 35/2025, DOI: 10.71734/DP-2025-35.
- Agust'in Garc'ia-Garc'ia & Pablo Hidalgo & Julio E. Sandubete, 2025, "Explainable Artificial Intelligence for Economic Time Series: A Comprehensive Review and a Systematic Taxonomy of Methods and Concepts," Papers, arXiv.org, number 2512.12506, Dec.
- Neville Francis & Peter Reinhard Hansen & Chen Tong, 2025, "Principled Identification of Structural Dynamic Models," Papers, arXiv.org, number 2512.17005, Dec.
- Marc-Oliver Pohle & Jan-Lukas Wermuth & Christian H. Wei{ss}, 2025, "Asymptotic Inference for Rank Correlations," Papers, arXiv.org, number 2512.14609, Dec.
- Pablo Guerron-Quintana & Alexey Khazanov & Molin Zhong, 2026, "A Nonlinear Dynamic Factor Model for Financial and Macroeconomic Data," Boston College Working Papers in Economics, Boston College Department of Economics, number 1106, Jan.
- Siddhartha Chib & Fei Tan, 2025, "Learning the Macroeconomic Language," Papers, arXiv.org, number 2512.21031, Dec, revised Dec 2025.