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Report NEP-ETS-2026-09-21
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:
- Michael Stanley Smith & Lin Deng, 2026, "Vector Vine Copula Models for Multivariate Longitudinal Data," Papers, arXiv.org, number 2609.19547, Sep.
- Dezhbakhsh, Hashem & Levy, Daniel, 2026, "The Prewar-Postwar Output Volatility and Shock-Persistence Debate: A Closer Look and New Results," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 343604, DOI: 10.2139/ssrn.7452018.
- Luca A. Pennacchio, 2026, "Filtering And Inference," Working Papers, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz, number 2607, Aug.
- Dou, Baojun & He, Jing & Tiwari, Sudhir & Yao, Qiwei, 2026, "Spatio-temporal autoregressions for high dimensional matrix-valued time series," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 140645, Nov.
- Simon Donker van Heel & Neil Shephard, 2026, "Filtering without Recursion and Some of Its Uses in Financial Economics," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 26-068/III, Sep.
- Florian Huber & Gary Koop & Christian Matthes, 2026, "Beyond Aggregate VARs: A Bayesian Benchmark for HANK Models," Papers, arXiv.org, number 2609.06827, Sep.
- Joel M. David & Raffaella Giacomini & Xiya Jiao & Weining Wang, 2026, "Causal state-dependent local projections," CeMMAP working papers, Institute for Fiscal Studies, number 16/26, Sep, DOI: 10.47004/wp.cem.2026.1626.
- Frédérqiue Bec & Heino Bohn Nielsen, 2026, "Nonlinear Forecast Error Variance Decompositions: Shapley Shares, Generalized Shapley Shares, and the Role of Structural Interactions," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2026-09.
- Luke Hartigan, 2026, "Estimating the Common Output Cycle in Australia," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2026-78, Sep.
- Kennedy Titus Kayaki & Kyungsub Lee, 2026, "Asymmetric Long-Memory GARCH: Sign-Dependent Kernel Injection in a Two-Dimensional Markov Chain," Papers, arXiv.org, number 2609.06422, Sep.
- Elie Tamer & Christopher D. Walker, 2026, "Nonparametric Bayesian Inference for Partially Identified Discrete Response Models," Papers, arXiv.org, number 2608.25814, Aug.
- Ayla Jungbluth & Johannes Lederer & Simon Trimborn, 2026, "Market-Informed Networks for Modeling and Forecast Evaluation of Financial Extremes," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 26-070/III, Sep.
- Kaicheng Chen & Antonio F. Galvao & Seunghwa Rho & Timothy J. Vogelsang & Jungmo Yoon, 2026, "Fixed-smoothing Uniform Inference for Quantile Regression," Papers, arXiv.org, number 2609.05883, Sep.
- Alex Bernstein & Lisa R. Goldberg & Nicholas Gunther & Alec N. Kercheval & Tian Lan & Yian Lin & Dayi Yao, 2026, "Principal component error in high-dimensional factor models," Papers, arXiv.org, number 2609.20550, Sep, revised Oct 2026.
- Othmane Zarhali & Emmanuel Bacry & Jean-Franc{c}ois Muzy, 2026, "The Log S-fBM model: Statistical analysis," Papers, arXiv.org, number 2609.09405, Sep.
- Kit Baum & Jesus Otero, 2026, "Bootstrapping time-dependent stationary processes," UK Stata Conference 2026, Stata Users Group, number 02, Sep.
- Matthew Read, 2026, "Sign Restrictions and Supply-demand Decompositions of Inflation," Papers, arXiv.org, number 2609.06907, Sep.
- Ramzi Jebali, 2026, "Regimes in the Order Flow," Papers, arXiv.org, number 2609.07989, Sep.