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Report NEP-ETS-2026-03-09
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:
- Webel, Karsten, 2026, "Redesigning the classical automatic selection of X-11 seasonal filters," Discussion Papers, Deutsche Bundesbank, number 07/2026, DOI: 10.71734/DP-2026-7.
- Rigato, Rodolfo Dinis, 2026, "A least-squares filter for sequence-space models," Working Paper Series, European Central Bank, number 3191, Feb.
- Peter A. Zadrozny, 2026, "Gaussian Maximum Likelihood Estimation of Static and Dynamic Factor Models," CESifo Working Paper Series, CESifo, number 12380.
- Zhiheng You, 2026, "How Well Are State-Dependent Local Projections Capturing Nonlinearities?," Papers, arXiv.org, number 2602.14455, Feb, revised Apr 2026.
- Cheng Zhang, 2026, "A Nontrivial Upper Bound on the Out-of-Sample $R^2$ in Return Forecasting," Papers, arXiv.org, number 2602.07841, Feb, revised Apr 2026.
- Jiti Gao & Fei Liu & Bin Peng, 2026, "Inference for High-Dimensional Local Projection," Papers, arXiv.org, number 2602.10415, Feb.
- Donald W. K. Andrews & Ming Li & Yapeng Zheng, 2026, "Initial-Condition-Robust Inference in Autoregressive Models," Papers, arXiv.org, number 2602.09382, Feb, revised Mar 2026.
- Marc Wildi, 2026, "The Accuracy Smoothness Dilemma in Prediction: a Novel Multivariate M-SSA Forecast Approach," Papers, arXiv.org, number 2602.13722, Feb.
- Fabrizio Cipollini & Giulia Cruciani & Giampiero M. Gallo & Alessandra Insana & Edoardo Otranto & Fabio Spagnolo, 2026, "VOLatility Archive for Realized Estimates (VOLARE)," Papers, arXiv.org, number 2602.19732, Feb.
- Stefano De Marco & Huy^en Pham & Davide Zanni, 2026, "Schr\"odinger bridges with jumps for time series generation," Papers, arXiv.org, number 2602.20011, Feb.
- George Kapetanios & Vasilis Sarafidis & Alexia Ventouri, 2026, "Model Selection in High-Dimensional Linear Regression using Boosting with Multiple Testing," Papers, arXiv.org, number 2602.19705, Feb.
- Kim Christensen & Silja Kinnebrock & Mark Podolskij, 2026, "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," Papers, arXiv.org, number 2602.19645, Feb.