Report NEP-ETS-2018-05-21

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.

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Other reports in NEP-ETS

The following items were announced in this report:

• Baltagi, Badi H. & Fingleton, Bernard & Pirotte, Alain, 2018. "A Time-Space Dynamic Panel Data Model with Spatial Moving Average Errors," MPRA Paper 86371, University Library of Munich, Germany.
• Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Papers 1805.03807, arXiv.org.
• Breitung, Jörg & Knüppel, Malte, 2018. "How far can we forecast? Statistical tests of the predictive content," Discussion Papers 07/2018, Deutsche Bundesbank.
• Mika Meitz & Daniel Preve & Pentti Saikkonen, 2018. "A mixture autoregressive model based on Student's $t$-distribution," Papers 1805.04010, arXiv.org.
• Takaki Sato & Yasumasa Matsuda, 2018. "Spatiotemporal ARCH Models," DSSR Discussion Papers 82, Graduate School of Economics and Management, Tohoku University.
• Soeren Johansen & Morten Oerregaard Nielsen, 2018. "Nonstationary cointegration in the fractionally cointegrated VAR model," Discussion Papers 18-04, University of Copenhagen. Department of Economics.
• Soeren Johansen, 2018. "Cointegration and adjustment in the infinite order CVAR representation of some partially observed CVAR(1) models," Discussion Papers 18-05, University of Copenhagen. Department of Economics.
• Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Working Paper series 18-22, Rimini Centre for Economic Analysis.
• Jeffrey S. Racine & Qi Li & Li Zheng, 2018. "Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions," Department of Economics Working Papers 2018-10, McMaster University.
• Schreiber, Sven, 2018. "Are bootstrapped cointegration test findings unreliable?," Discussion Papers 2018/8, Free University Berlin, School of Business & Economics.
• Atkinson, Anthony C. & Cerioli, Andrea & Riani, Marco, 2016. "Discussion of “asymptotic theory of outlier detection algorithms for linear time series regression models” by Johansen and Nielsen," LSE Research Online Documents on Economics 66724, London School of Economics and Political Science, LSE Library.