Report NEP-ETS-2021-01-11

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:

• Ricardo P. Masini & Marcelo C. Medeiros & Eduardo F. Mendes, 2020. "Machine Learning Advances for Time Series Forecasting," Papers 2012.12802, arXiv.org, revised Apr 2021.
• Tae-Hwy Lee & Shahnaz Parsaeian & Aman Ullah, 2021. "Efficient Combined Estimation under Structural Breaks," Working Papers 202101, University of California at Riverside, Department of Economics.
• Sayar Karmakar & Stefan Richter & Wei Biao Wu, 2020. "Simultaneous inference for time-varying models," Papers 2011.13157, arXiv.org, revised Mar 2021.
• Hafner, Christian & Herwartz, Helmut, 2020. "Dynamic score driven independent component analysis," LIDAM Discussion Papers ISBA 2020031, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• D.S.G. Pollock & Emi Mise, "undated". "The Cholesky Decomposition of a Toeplitz Matrix and a Wiener-Kolmogorov Filter for Seasonal Adjustment," Discussion Papers in Economics 20/01, Division of Economics, School of Business, University of Leicester.
• Matteo Iacopini & Carlo R. M. A. Santagiustina, 2020. "Filtering the intensity of public concern from social media count data with jumps," Papers 2012.13267, arXiv.org.
• Delouille, Véronique & Lefèvre, Laure & Mathieu, Sophie & Ritter, Christian & von Sachs, Rainer, 2020. "Nonparametric robust monitoring of time series panel data," LIDAM Discussion Papers ISBA 2020030, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Shaoxin Hong & Zhengyi Zhang & Zongwu Cai, 2021. "Testing Heteroskedasticity for Predictive Regressions With Nonstationary Regressors," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202101, University of Kansas, Department of Economics, revised Jan 2021.
• Jingwei Pan, 0000. "Evaluating Correlation Forecasts Under Asymmetric Loss," Proceedings of Economics and Finance Conferences 11413234, International Institute of Social and Economic Sciences.