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Report NEP-ETS-2026-10-19
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:
- Alain Hecq & Ivan Ricardo & Ines Wilms, 2026, "Impulse Response Inference for Matrix Autoregressions," Papers, arXiv.org, number 2610.05405, Oct.
- Lennart Empting & Saskia Ozturk & Simone Maxand & Konstantin Wagner, 2026, "Inference in Panel SVARs with Two-Way Dependence," Papers, arXiv.org, number 2610.11898, Oct.
- Yu, Xuewen & Jeffery, Annie & Gascoigne, Connor & Rotous, Ioannis & Blangiardo, Marta & Kirkbride, James B. & Baio, Gianluca & Geneletti, Sara, 2026, "Policy evaluation using a hierarchical Bayesian structural time series model," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 141174, Oct.
- Hong Kiat Tan & Isaac-Neil Zanoria & James Chen & Haoyang Lyu & Mihai Cucuringu, 2026, "Causal Lag Structure Discovery in Confounded Time Series via Orthogonalized Adaptive Estimation," Papers, arXiv.org, number 2610.05618, Oct.
- Hunter Ng & Yubo Tao, 2026, "Vine Copula VAR:From Recursive Margins to Joint Forecast Inference," Papers, arXiv.org, number 2610.07589, Oct, revised Oct 2026.
- Shiyao Huang & Xiaojun Song, 2026, "Detecting Copula Structural Changes: A Smooth Testing Approach," Papers, arXiv.org, number 2610.09351, Oct.
- Kit Baum & Jesús Otero, 2026, "Bootstrapping time-dependent stationary processes," 2026 Stata Conference, Stata Users Group, number 25, Oct.
- Antoine A. Djogbenou, 2026, "Rolling Window Selection in FAR Models with Structural Instabilities," Papers, arXiv.org, number 2610.12025, Oct.
- Stephen Snudden & Quinlan Lee, 2026, "Implementing mixed-data sampling models for temporal sampling and aggregation in Stata," 2026 Stata Conference, Stata Users Group, number 23, Oct.
- Szymon P. Chudziak, 2026, "Nonlinear fiscal multiplier controlling for policy and economic regimes," Papers, arXiv.org, number 2610.04982, Oct.
- Christophe Barrette & Philippe Goulet Coulombe & Tim Reinicke, 2026, "Building Macroeconomically Relevant Climate Indices via the Assemblage VAR," Papers, arXiv.org, number 2610.10043, Oct.
- Aashish Bohra & Lokendra Vishwakarm, 2026, "DSTNet: Dynamic Spectral Trajectory Network for Causal Multi-Horizon Financial Forecasting," Papers, arXiv.org, number 2610.09654, Oct.
- Samuel N. Cohen & Giulia Mantoan & Lars Nesheim & Ã ureo de Paula & Arthur Turrell & Lingyi Yang, 2026, "Nowcasting using regression on signatures," CeMMAP working papers, Institute for Fiscal Studies, number 17/26, Oct, DOI: 10.47004/wp.cem.2026.1726.
- Diego R. Känzig & James H. Stock & Luca Zanotti, 2026, "From Importer to Exporter: Oil Shocks and the U.S. Economy," NBER Working Papers, National Bureau of Economic Research, Inc, number 35864, Oct.
- Rok Spruk, 2026, "Synthetic Control under Out-of-Span Common Shocks: Diagnosis, Exposure Balance and Correction," Papers, arXiv.org, number 2610.05535, Oct.
- Cheng Zhenghao, 2026, "Statistical Measurement of Bilateral Trade Restrictions: A Monthly Index Based on Rolling-Baseline SPE Decomposition," Working Papers, Center for Global Policy Analysis, LeBow College of Business, Drexel University, number 202619, Oct.