Report NEP-ETS-2023-01-30

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:

• Poncela Blanco, Maria Pilar & Fresoli, Diego Eduardo, 2022. "Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models," DES - Working Papers. Statistics and Econometrics. WS 36251, Universidad Carlos III de Madrid. Departamento de Estadística.
• Wagner, Martin, 2023. "Fully Modified Least Squares Estimation and Inference for Systems of Cointegrating Polynomial Regressions," IHS Working Paper Series 44, Institute for Advanced Studies.
• Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2023. "Bayesian Modeling of Time-Varying Parameters Using Regression Trees," Working Papers 23-05, Federal Reserve Bank of Cleveland.
• Yicong Lin & Hanno Reuvers, 2022. "Fully Modified Estimation in Cointegrating Polynomial Regressions: Extensions and Monte Carlo Comparison," Tinbergen Institute Discussion Papers 22-093/III, Tinbergen Institute.
• Jan Pablo Burgard & Matthias Neuenkirch & Dennis Umlandt, 2023. "(Almost) Recursive Identification of Monetary Policy Shocks with Economic Parameter Restrictions," Working Paper Series 2023-01, University of Trier, Research Group Quantitative Finance and Risk Analysis.
• Julien Hambuckers & Li Sun & Luca Trapin, 2023. "Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors," Papers 2301.01362, arXiv.org.