Report NEP-ETS-2019-03-25

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:

• Simon Beyeler, 2019. "Streamlining Time-varying VAR with a Factor Structure in the Parameters," Working Papers 19.03, Swiss National Bank, Study Center Gerzensee.
• Yiru Wang & Barbara Rossi, 2019. "VAR-based Granger-causality test in the presence of instabilities," Economics Working Papers 1642, Department of Economics and Business, Universitat Pompeu Fabra.
• Matteo Mogliani & Anna Simoni, 2019. "Bayesian MIDAS Penalized Regressions: Estimation, Selection, and Prediction," Papers 1903.08025, arXiv.org, revised Jun 2020.
• Sen Gupta, Abhijit & Iyer, Tara, 2019. "Quarterly Forecasting Model for India’s Economic Growth: Bayesian Vector Autoregression Approach," ADB Economics Working Paper Series 573, Asian Development Bank.
• Patrick Marsh, 2019. "The role of information in nonstationary regression," Discussion Papers 19/04, University of Nottingham, Granger Centre for Time Series Econometrics.
• Patrick Marsh, 2019. "Properties of the power envelope for tests against both stationary and explosive alternatives: the effect of trends," Discussion Papers 19/03, University of Nottingham, Granger Centre for Time Series Econometrics.
• Patrick Marsh, 2019. "Nonparametric conditional density specification testing and quantile estimation; with application to S&P500 returns," Discussion Papers 19/02, University of Nottingham, Granger Centre for Time Series Econometrics.
• Leopoldo Catania & Roberto Di Mari & Paolo Santucci de Magistris, 2019. "Dynamic discrete mixtures for high frequency prices," Discussion Papers 19/05, University of Nottingham, Granger Centre for Time Series Econometrics.
• Tanaka, Katsuto & Xiao, Weilin & Yu, Jun, 2019. "Maximum Likelihood Estimation for the Fractional Vasicek Model," Economics and Statistics Working Papers 8-2019, Singapore Management University, School of Economics.
• Carlos Arturo Soto Campos & Leopoldo S'anchez Cant'u & Zeus Hern'andez Veleros, 2019. "Dynamic Hurst Exponent in Time Series," Papers 1903.07809, arXiv.org.
• James G. MacKinnon, 2019. "How cluster-robust inference is changing applied econometrics," Working Paper 1413, Economics Department, Queen's University.