Report NEP-ETS-2026-05-11

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:

• Andre Lucas & Yicong Lin, 2025, "Testing for the Absence of Score-Driven Parameter Dynamics," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-063/III, Oct.
• Markku Lanne & Jani Luoto & Adam Rybarczyk, 2026, "Inference in Tightly Identified and Large-Scale Sign-Restricted SVARs," Papers, arXiv.org, number 2604.22445, Apr.
• Chaoyi Chen & Elena Pesavento & Balazs Vonnak, 2026, "Estimator Averaging of Local Projection and VAR Impulse Responses," Papers, arXiv.org, number 2605.05456, May.
• Simon Donker van Heel & Neil Shephard, 2025, "Exponentially weighted estimands and the exponential family: filtering, prediction and smoothing," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-074/III, Dec, revised 05 May 2026.
• Sicco Kooiker & Janneke van Brummelen & Julia Schaumburg & Marcin Zamojski, 2026, "Self-driving neural networks for term structure modeling," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 26-007/III, Feb.
• Aleksey Kolokolov & Shifan Yu, 2026, "Realized Regularized Regressions," Papers, arXiv.org, number 2604.23023, Apr.
• Sukhbir Kaur & Sukhbir Singh & Kanchan Jain & Pooja Soni, 2026, "Estimation of MIDAS Regressions with Errors-in-the-Variables," Papers, arXiv.org, number 2604.23469, Apr.
• Jan Rovirosa & Jesse Schmolze, 2026, "Learning Time-Inhomogeneous Markov Dynamics in Financial Time Series via Neural Parameterization," Papers, arXiv.org, number 2605.04690, May.
• Joel M. David & Raffaella Giacomini & Xiyu Jiao & Weining Wang, 2026, "Causal State-Dependent Local Projections," Papers, arXiv.org, number 2605.05404, May.
• Martin Bruns & Helmut Lütkepohl & James McNeil, 2026, "Reassessing Proxy-based Identification of Multiple Monetary Policy Shocks for the Euro Area, the US, and the UK," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 2163.
• Yusuke Oh & Mototsugu Shintani, 2026, "Forecasting Recessions Using Machine Learning on Text Data and Mixed-Frequency Predictors," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 26-E-07, Mar.
• Daniel de Abreu Pereira Uhr & Guilherme Valle Moura, 2026, "Doubly robust local projections difference-in-differences," Papers, arXiv.org, number 2604.27035, Apr.