Report NEP-ETS-2019-02-04

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:

• Deborah Gefang & Gary Koop & Aubrey Poon, 2019. "Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage," CAMA Working Papers 2019-08, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Leo Krippner, 2019. "Will the real eigensystem VAR please stand up? A univariate primer," CAMA Working Papers 2019-01, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Mohitosh Kejriwal & Xuewen Yu, 2018. "Bootstrap Procedures for Detecting Multiple Persistance4 Shifts in a heteroskedastic Time Series," Purdue University Economics Working Papers 1308, Purdue University, Department of Economics.
• Maria C Mariani & Md Al Masum Bhuiyan & Osei K Tweneboah & Hector Gonzalez-Huizar & Ionut Florescu, 2019. "Volatility Models Applied to Geophysics and High Frequency Financial Market Data," Papers 1901.09145, arXiv.org.
• Linton, O. & Xiao, Z., 2019. "Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity," Cambridge Working Papers in Economics 1907, Faculty of Economics, University of Cambridge.
• Majid M. Al-Sadoon & Sergi Jiménez-Martín & Jose M. Labeaga, 2019. "Simple methods for consistent estimation of dynamic panel data sample selection models," Economics Working Papers 1631, Department of Economics and Business, Universitat Pompeu Fabra.
• Nikolaos Passalis & Anastasios Tefas & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2019. "Temporal Logistic Neural Bag-of-Features for Financial Time series Forecasting leveraging Limit Order Book Data," Papers 1901.08280, arXiv.org.
• Achim Ahrens & Christian B. Hansen & Mark E. Schaffer, 2019. "lassopack: Model selection and prediction with regularized regression in Stata," Papers 1901.05397, arXiv.org.
• MAO TAKONGMO, Charles Olivier, 2019. "Keynesian Models, Detrending, and the Method of Moments," MPRA Paper 91709, University Library of Munich, Germany.
• Ulrik W. Nash, 2019. "The Wisdom of a Kalman Crowd," Papers 1901.08133, arXiv.org.
• Kunpeng Li & Qi Li & Lina Lu, 2018. "Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models," Supervisory Research and Analysis Working Papers RPA 18-2, Federal Reserve Bank of Boston.
• Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2019. "Taming the Factor Zoo: A Test of New Factors," NBER Working Papers 25481, National Bureau of Economic Research, Inc.