Report NEP-ETS-2017-01-29

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:

• John Chao & Peter C.B. Phillips, 2017. "Uniform Inference in Panel Autoregression," Cowles Foundation Discussion Papers 2071, Cowles Foundation for Research in Economics, Yale University.
• Jianning Kong & Peter C.B. Phillips & Donggyu Sul, 2017. "Weak s- Convergence: Theory and Applications," Cowles Foundation Discussion Papers 2072, Cowles Foundation for Research in Economics, Yale University.
• Bastos, Guadalupe & García-Martos, Carolina, 2017. "BIAS correction for dynamic factor models," DES - Working Papers. Statistics and Econometrics. WS 24029, Universidad Carlos III de Madrid. Departamento de Estadística.
• Alessandro Barbarino & Efstathia Bura, 2017. "A Unified Framework for Dimension Reduction in Forecasting," Finance and Economics Discussion Series 2017-004, Board of Governors of the Federal Reserve System (U.S.).
• Georgiev, I & Rodrigues, PMM & Taylor, AMR, 2017. "Unit Root Tests and Heavy-Tailed Innovations," Essex Finance Centre Working Papers 18832, University of Essex, Essex Business School.
• Luis J. Álvarez, 2017. "Business cycle estimation with high-pass and band-pass local polynomial regression," Working Papers 1702, Banco de España.
• Enrique Moral-Benito & Paul Allison & Richard Williams, 2017. "Dynamic panel data modelling using maximum likelihood: an alternative to Arellano-Bond," Working Papers 1703, Banco de España.
• Rub'en Loaiza-Maya & Michael S. Smith & Worapree Maneesoonthorn, 2017. "Time Series Copulas for Heteroskedastic Data," Papers 1701.07152, arXiv.org.
• Chia-Lin Chang & Michael McAleer, 2018. "The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions," Tinbergen Institute Discussion Papers 17-015/III, Tinbergen Institute.
• Arnaud Dufays & Jeroen V.K. Rombouts, 2016. "Sparse Change-point HAR Models for Realized Variance," Cahiers de recherche 1607, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
• Arnaud Dufays & Maciej Augustyniak & Luc Bauwens, 2016. "A new approach to volatility modeling: the High-Dimensional Markov model," Cahiers de recherche 1609, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
• Jean-Marie Dufour & Richard Luger, 2017. "Identification-robust moment-based tests for Markov-switching in autoregressive models," Cahiers de recherche 1701, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.