Report NEP-ETS-2022-02-14

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:

• Rituparna Sen & Anandamayee Majumdar & Shubhangi Sikaria, 2021. "Bayesian Testing Of Granger Causality In Functional Time Series," Papers 2112.15315, arXiv.org.
• Zongwu Cai & Seong Yeon Chang, 2022. "A New Test on Asset Return Predictability with Structural Breaks," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202206, University of Kansas, Department of Economics, revised Feb 2202.
• Massimo Guidolin & Davide La Cara & Massimiliano Marcellino, 2021. "Boosting the Forecasting Power of Conditional Heteroskedasticity Models to Account for Covid-19 Outbreaks," BAFFI CAREFIN Working Papers 21169, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Ollech, Daniel, 2021. "Economic analysis using higher frequency time series: Challenges for seasonal adjustment," Discussion Papers 53/2021, Deutsche Bundesbank.
• Sven Otto & Nazarii Salish, 2022. "Approximate Factor Models for Functional Time Series," Papers 2201.02532, arXiv.org, revised May 2024.
• Traoré, Fousseini & Diop, Insa, 2021. "Unit root tests: Common pitfalls and best practices," AGRODEP technical notes TN-23, International Food Policy Research Institute (IFPRI).