Report NEP-ETS-2020-03-30

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:

• Tanaka, Katsuto & Xiao, Weilin & Yu, Jun, 2020. "Local Powers of Least-Squares-Based Test for Panel Fractional Ornstein-Uhlenbeck Process," Economics and Statistics Working Papers 6-2020, Singapore Management University, School of Economics.
• Sven Otto, 2020. "Unit Root Testing with Slowly Varying Trends," Papers 2003.04066, arXiv.org, revised Aug 2020.
• Doko Tchatoka, Firmin & Wang, Wenjie, 2020. "Uniform Inference after Pretesting for Exogeneity," MPRA Paper 99243, University Library of Munich, Germany.
• Adrian Pagan & Tim Robinson, 2020. "Too many shocks spoil the interpretation," CAMA Working Papers 2020-28, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Dimitris Korobilis, 2020. "Sign restrictions in high-dimensional vector autoregressions," Working Paper series 20-09, Rimini Centre for Economic Analysis.
• Lutz Kilian & Xiaoqing Zhou, 2020. "The Econometrics of Oil Market VAR Models," Working Papers 2006, Federal Reserve Bank of Dallas.
• Kiss, Tamás & Österholm, Pär, 2020. "Corona, Crisis and Conditional Heteroscedasticity," Working Papers 2020:2, Örebro University, School of Business.
• Lucchetti, Riccardo & Venetis, Ioannis A., 2020. "A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012)," Economics Discussion Papers 2020-5, Kiel Institute for the World Economy (IfW Kiel).
• Alexander J. McNeil, 2020. "Modelling volatile time series with v-transforms and copulas," Papers 2002.10135, arXiv.org, revised Jan 2021.
• Yoshimasa Uematsu & Takashi Yamagata, 2020. "Inference in Weak Factor Models," ISER Discussion Paper 1080, Institute of Social and Economic Research, Osaka University.