Report NEP-ETS-2026-02-02

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:

• Boyao Wu & Jiti Gao & Deshui Yu, 2025, "Time-Varying Generalized Network Autoregressions," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 8/25.
• Nicolas Hardy & Dimitris Korobilis, 2025, "Learning from crises: A new class of time-varying parameter VARs with observable adaptation," Working Papers, Business School - Economics, University of Glasgow, number 2025_12, Dec.
• Hasan Fallahgoul & Jiti Gao, 2025, "Estimation and Inference based on Summary Statistics for State Space Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 7/25.
• Dimitris Korobilis, 2025, "Exploring Monetary Policy Shocks with Large-Scale Bayesian VARs," Working Papers, Business School - Economics, University of Glasgow, number 2025_09, May.
• Daniel J. Lewis & Karel Mertens, 2026, "Weak Instrument Bias in Impulse Response Estimators," Working Papers, Federal Reserve Bank of Dallas, number 2601, Jan, DOI: 10.24149/wp2601.
• Harrison Katz, 2026, "Directional-Shift Dirichlet ARMA Models for Compositional Time Series with Structural Break Intervention," Papers, arXiv.org, number 2601.16821, Jan.
• Jonas E. Arias & Juan F. Rubio-Ramirez & Minchul Shin, 2025, "Large SVARs," Working Papers, Federal Reserve Bank of Philadelphia, number 26-04, Jan, DOI: 10.21799/frbp.wp.2026.04.
• Anthony Britto, 2026, "Likelihood-Based Ergodicity Transformations in Time Series Analysis," Papers, arXiv.org, number 2601.11237, Jan.
• Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos & Rabehi, Nadia, 2025, "Seasonal ARIMA models with a random period," MPRA Paper, University Library of Munich, Germany, number 127200, Dec, revised 06 Dec 2025.
• Alessio Brini & Ekaterina Seregina, 2026, "A Nonlinear Target-Factor Model with Attention Mechanism for Mixed-Frequency Data," Papers, arXiv.org, number 2601.16274, Jan.
• Kim Christensen & Ulrich Hounyo & Mark Podolskij, 2026, "Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment," Papers, arXiv.org, number 2601.16613, Jan.
• Marc Wildi, 2026, "Sign Accuracy, Mean-Squared Error and the Rate of Zero Crossings: a Generalized Forecast Approach," Papers, arXiv.org, number 2601.06547, Jan.