Report NEP-ETS-2018-02-26

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:

• Guglielmo D'Amico & Ada Lika & Filippo Petroni, 2018. "Indexed Markov Chains for financial data: testing for the number of states of the index process," Papers 1802.01540, arXiv.org.
• Shanika L. Wickramasuriya & George Athanasopoulos & Rob J. Hyndman, 2017. "Optimal forecast reconciliation for hierarchical and grouped time series through trace minimization," Monash Econometrics and Business Statistics Working Papers 22/17, Monash University, Department of Econometrics and Business Statistics.
• Tatsushi Oka & Pierre Perron, 2018. "Testing for common breaks in a multiple equations system," Monash Econometrics and Business Statistics Working Papers 3/18, Monash University, Department of Econometrics and Business Statistics.
• Onatski, A. & Wang, C., 2018. "Extreme canonical correlations and high-dimensional cointegration analysis," Cambridge Working Papers in Economics 1805, Faculty of Economics, University of Cambridge.
• Foroni, Claudia & Marcellino, Massimiliano & Stevanović, Dalibor, 2018. "Mixed frequency models with MA components," Discussion Papers 02/2018, Deutsche Bundesbank.
• Schüler, Yves S., 2018. "On the cyclical properties of Hamilton's regression filter," Discussion Papers 03/2018, Deutsche Bundesbank.
• Till Weigt & Bernd Wilfling, 2018. "An approach to increasing forecast-combination accuracy through VAR error modeling," CQE Working Papers 6818, Center for Quantitative Economics (CQE), University of Muenster.