Report NEP-ETS-2026-02-16

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.

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Other reports in NEP-ETS

The following items were announced in this report:

• Dezhbakhsh, Hashem & Levy, Daniel, 2026, "Interpolation and Prewar-Postwar Output Volatility and Shock-Persistence Debate: A Closer Look and New Results," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 336550, DOI: 10.13140/RG.2.2.11054.16963.
• Yurui Wu & Qingying Deng & Wonou Chung & Mairui Li, 2026, "Test-Time Adaptation for Non-stationary Time Series: From Synthetic Regime Shifts to Financial Markets," Papers, arXiv.org, number 2602.00073, Jan.
• Luis Ontaneda Mijares & Nick Firoozye, 2026, "Adaptive Benign Overfitting (ABO): Overparameterized RLS for Online Learning in Non-stationary Time-series," Papers, arXiv.org, number 2601.22200, Jan.
• Martin Bruns & Helmut Lütkepohl, 2026, "Review of Proxy Vector Autoregressive Analysis," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 2155.
• Samir Orujov & Victor Elvira & Audrey Poterie & Farid Rajabov & Francois Septier, 2025, "VS-LTGARCHX: A Flexible Variable Selection in Log-TGARCHX Models," Post-Print, HAL, number hal-04283159, May, DOI: 10.1515/jtse-2023-0035.
• Kevin Lee & Kalvinder Shields, 2026, "Monitoring Macroeconomic Prospects with a Meta VAR-E Dashboard," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2026-10, Feb.
• Giovanni Bonaccolto & Massimiliano Caporin & Oguzhan Cepni & Rangan Gupta, 2026, "Forecasting Realized Volatility of State-Level Stock Markets of the United States: The Role of Sentiment," Working Papers, University of Pretoria, Department of Economics, number 202603, Feb.
• Efrem Castelnuovo & Giovanni Pellegrino & Laust L. Saerkjaer, 2025, "Monetary Policy Shocks and Narrative Restrictions: Rules Matter," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0328, Nov.
• Gary Koop & Stuart McIntyre & James Mitchell & Ping Wu, 2026, "Incorporating Micro Data into Macro Models Using Pseudo VARs," Working Papers, Federal Reserve Bank of Cleveland, number 26-04, Feb, DOI: 10.26509/frbc-wp-202604.
• Jiawen Luo & Jingyi Deng & Rangan Gupta & Oguzhan Cepni, 2026, "Time-Varying Effects of Skewness: An International Comparison," Working Papers, University of Pretoria, Department of Economics, number 202602, Feb.
• Tanique Schaffe-Odeleye & K=osaku Takanashi & Vishesh Karwa & Edoardo M. Airoldi & Kenichiro McAlinn, 2026, "Dynamic causal inference with time series data," Papers, arXiv.org, number 2602.00836, Jan.
• Jamel Saadaoui, 2026, "Geopolitical Turning Points and Macroeconomic Volatility: A Bilateral Identification Strategy," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2026-08, Feb.