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Report NEP-ETS-2026-04-06
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:
- Minkey Chang & Jae-Young Kim, 2026, "Conditionally Identifiable Latent Representation for Multivariate Time Series with Structural Dynamics," Papers, arXiv.org, number 2603.22886, Mar.
- Jacob Carlson & Neil Shephard, 2026, "When are time series predictions causal? The potential system and dynamic causal effects," Papers, arXiv.org, number 2603.20394, Mar.
- Dezhbakhsh, Hashem & Levy, Daniel, 2026, "Interpolation and Prewar-Postwar Output Volatility and Shock-Persistence Debate: A Closer Look and New Results," MPRA Paper, University Library of Munich, Germany, number 128031, Feb.
- Matthew Read & Dan Zhu, 2026, "Fast Posterior Sampling in Tightly Identified SVARs Using 'Soft' Sign Restrictions," Papers, arXiv.org, number 2603.27088, Mar.
- Stéphane Goutte & Konstantinos N. Konstantakis & Dimitris Konstantios & Panayotis G. Michaelides & Arsenios‐georgios N. Prelorentzos, 2026, "Econometrics at the Extreme: From Quantile Regression to QFAVAR 1," Post-Print, HAL, number hal-05503058, DOI: 10.1111/joes.70063.
- Matthew Read, 2026, "Shock-percentile Restrictions for SVARs," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2026-01, Mar, DOI: 10.47688/rdp2026-01.
- Pierre Andreoletti, 2026, "Forecast collapse of transformer-based models under squared loss in financial time series," Papers, arXiv.org, number 2604.00064, Mar.
- Roberto Fuentes-Mart'inez & Irene Crimaldi, 2026, "Granger Causality in Expectiles: an M-vine copula test," Papers, arXiv.org, number 2603.23294, Mar.
- Ms. Sunwoo Lee, 2026, "Nowcasting Growth Using the Bayesian Structural Time Series Model: Application to Tanzania," IMF Working Papers, International Monetary Fund, number 2026/049, Mar.
- Denis Chetverikov & Jesper R. -V. S{o}rensen & Aleh Tsyvinski, 2026, "Triple/Double-Debiased Lasso," Papers, arXiv.org, number 2603.20134, Mar.
- Emanuele Lopetuso & Massimiliano Caporin, 2026, "The Cointegrated Matrix Autoregressive Model," Papers, arXiv.org, number 2604.00723, Apr.
- Zongwu Cai & Wei Long, 2026, "A Robust Inference for Predictive Expectile Regression: An IVX-Based Approach," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202610, Mar, revised Mar 2026.
- Demetrio Lacava, 2026, "Modeling and Forecasting Tail Risk Spillovers: A Component-Based CAViaR Approach," Papers, arXiv.org, number 2603.25217, Mar.