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Report NEP-ETS-2026-07-20
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:
- Xu, Yongdeng & Lyu, Juyi & Lu, Wenna, 2026, "Adaptive LASSO-MGARCH for Multivariate Volatility Forecasting," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2026/4, Mar.
- Denise R. Osborn & Jing Tian & Jan P.A.M. Jacobs, 2026, "Seasonality in Univariate Unobserved Component Models," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2026-57, Jul.
- Degui Li & Yuying Sun & Boyao Wu, 2026, "Time-Varying Model Averaging of Multi-layer Network Vector Autoregressions," Papers, arXiv.org, number 2606.25292, Jun.
- Lewis, Daniel & Mertens, Karel, 2026, "Weak Instrument Bias in Impulse Response Estimators," CEPR Discussion Papers, Centre for Economic Policy Research, number 20990, Jan.
- Sílvia Gonçalves & Ana María Herrera & Iones Kelanemer Holban & Lutz Kilian & Elena Pesavento, 2026, "Semiparametric Local Projections," Working Papers, Federal Reserve Bank of Dallas, number 2616, Jun, DOI: 10.24149/wp2616.
- Ayush Jha, 2026, "Distributional Granger Causality: Identification, Sequential Inference, and Adaptive Testing," Papers, arXiv.org, number 2606.22230, Jun.
- Likai Chen & Weining Wang, 2026, "From Vector Autoregressions to AI-based Time Series Forecasting: A Review," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 26/838, 01.
- Chudik, Alexander & Kilian, Lutz, 2026, "Mean Group and Pooled Mixed-Frequency Estimators of Responses of Low-Frequency Variables to High-Frequency Shocks," CEPR Discussion Papers, Centre for Economic Policy Research, number 21162, Feb.
- Sangmyung Ha, 2026, "Determining the Structure of Dynamic Factor Models," Papers, arXiv.org, number 2606.26142, Jun.
- Shujie Li & Yuanhua Feng, 2026, "Dual-trend and dual long-memory time series modelling," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 174, Mar.
- Kyriakopoulou, Dimitra, 2025, "A Shrinkage Factor-Augmented VAR for High-Dimensional Macro–Fiscal Dynamics," MPRA Paper, University Library of Munich, Germany, number 129519, Dec.
- Li Chen & Yuanhua Feng, 2025, "Forecasting of trend stationary time series in SAP using a data-driven semiparametric ARMA model," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 176, Aug.
- Li Chen, 2026, "Time series forecasting in enterprises using an AI agent with times series MCP server," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 178, Jun.
- Oliver Kojo Ayensu & Yuanhua Feng & Dominik Schulz, 2026, "Well-known and recent long-memory GARCH models and their semiparametric extensions," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 175, Jun.
- Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2025, "Testing Shock Independence in Gaussian Structural VARs," CEPR Discussion Papers, Centre for Economic Policy Research, number 20975, Dec.
- Canova, Fabio & Fosso, Luca, 2026, "Low Frequency Movements and SVAR Analyses," CEPR Discussion Papers, Centre for Economic Policy Research, number 21205, Feb.
- Brianti, Marco & Forni, Mario & Gambetti, Luca & Granese, Antonio, 2026, "Nonlinear Business-Cycle Anatomy," CEPR Discussion Papers, Centre for Economic Policy Research, number 21333, Mar.
- Li Chen & Yuanhua Feng, 2026, "Time series forecasting in SAP using a data-driven seasonal semiparametric ARMA model," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 177, Jan.
- Miguel D. Ramirez, 2026, "Public Capital and Economic Output (Labor Productivity) in Mexico: A Vector Error Correction Model with Impulse Response and Variance Decomposition Functions, 1960-2022," Working Papers, Trinity College, Department of Economics, number 2601, Jul.
- Mounir Atlassi & Mohamed Karim & Ilham Dkhissi, 2026, "Fiscal Structure and Tax Revenue Dynamics in Morocco: A Disaggregated Time Series Analysis," Post-Print, HAL, number hal-05637487, May.
- Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2026, "Fiscal Monitoring with VARs," CEPR Discussion Papers, Centre for Economic Policy Research, number 21160, Feb.
- Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Guillermo Perez Tellechea, 2026, "Persistence in Real GDP Growth Rates: Univariate and Multivariate Evidence for the US, UK and Japan," CESifo Working Paper Series, CESifo, number 12781.
- Jordi Llorens-Terrazas & Mika Meitz, 2026, "Generative Predictive Distributions for Time Series," Papers, arXiv.org, number 2606.16773, Jun.
- Emre Yusuf & Ren Takahashi & Jayabrata Bhaduri, 2026, "PHINN: Persistent Homology Inspired Neural Network for Rare-Event Time Series Generation," Papers, arXiv.org, number 2606.15452, Jun.