Report NEP-ETS-2019-04-22

This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Jaqueson K. Galimberti 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:

• Alexander Chudik & Georgios Georgiadis, 2019. "Estimation of Impulse Response Functions When Shocks are Observed at a Higher Frequency than Outcome Variables," Globalization Institute Working Papers 356, Federal Reserve Bank of Dallas.
• Guo, Gangzheng & Wang, Shaoping & Sun, Yixiao, 2018. "Testing for Moderate Explosiveness in the Presence of Drift," University of California at San Diego, Economics Working Paper Series qt2k26h10n, Department of Economics, UC San Diego.
• Liu, Cheng & Sun, Yixiao, 2019. "A Simple and Trustworthy Asymptotic t Test in Difference-in-Differences Regressions," University of California at San Diego, Economics Working Paper Series qt0ck2109g, Department of Economics, UC San Diego.
• Schlicht, Ekkehart, 2019. "VC - A method for estimating time-varying coefficients in linear models," Economics Discussion Papers 2019-22, Kiel Institute for the World Economy (IfW Kiel).
• Mika Meitz & Pentti Saikkonen, 2019. "Subgeometrically ergodic autoregressions," Papers 1904.07089, arXiv.org, revised Mar 2020.
• Anshul Verma & Pierpaolo Vivo & Tiziana Di Matteo, 2019. "A memory-based method to select the number of relevant components in Principal Component Analysis," Papers 1904.05931, arXiv.org, revised Oct 2019.
• Ye, Xiaoqing & Sun, Yixiao, 2018. "Heteroscedasticity and Autocorrelation Robust F and t Tests in Stata," University of California at San Diego, Economics Working Paper Series qt0bb8d0s9, Department of Economics, UC San Diego.
• Hyeongwoo Kim & Kyunghwan Ko, 2019. "Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach," Auburn Economics Working Paper Series auwp2019-03, Department of Economics, Auburn University.
• Th'eophile Griveau-Billion & Ben Calderhead, 2019. "A Dynamic Bayesian Model for Interpretable Decompositions of Market Behaviour," Papers 1904.08153, arXiv.org, revised Jan 2020.
• Yoshimasa Uematsu & Takashi Yamagata, 2019. "Estimation of Weak Factor Models," ISER Discussion Paper 1053, Institute of Social and Economic Research, Osaka University.
• Alain Hecq & Li Sun, 2019. "Identification of Noncausal Models by Quantile Autoregressions," Papers 1904.05952, arXiv.org.
• Quast, Josefine & Wolters, Maik H., 2019. "Reliable real-time output gap estimates based on a modified Hamilton filter," IMFS Working Paper Series 133, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
• Roberto Casarin & Stefano Grassi & Francesco Ravazzollo & Herman K. van Dijk, 2019. "Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance," Tinbergen Institute Discussion Papers 19-025/III, Tinbergen Institute.