Report NEP-ETS-2023-02-20

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:

• Cristina Amado, 2022. "Outlier robust specification of multiplicative time-varying volatility models," NIPE Working Papers 11/2022, NIPE - Universidade do Minho.
• Ramis Khabibullin & Sergei Seleznev, 2022. "Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference," Bank of Russia Working Paper Series wps104, Bank of Russia.
• Alexander Chudik & M. Hashem Pesaran & Mahrad Sharifvaghefi, 2023. "Variable Selection in High Dimensional Linear Regressions with Parameter Instability," CESifo Working Paper Series 10223, CESifo.
• Faria, Gonçalo & Verona, Fabio, 2023. "Forecast combination in the frequency domain," Bank of Finland Research Discussion Papers 1/2023, Bank of Finland.
• Michael Dueker & Laura E. Jackson & Michael T. Owyang & Martin Sola, 2022. "A Time-Varying Threshold STAR Model with Applications," Department of Economics Working Papers 2022_04, Universidad Torcuato Di Tella.
• Francesco Cordoni & Nicolas Doremus & Alessio Moneta, 2023. "Identification of Vector Autoregressive Models with Nonlinear Contemporaneous Structure," LEM Papers Series 2023/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
• Chaohua Dong & Jiti Gao & Yundong Tu & Bin Peng, 2023. "Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models," Papers 2301.06631, arXiv.org.
• Zhang, Xinyu & Tong, Howell, 2022. "Asymptotic theory of principal component analysis for time series data with cautionary comments," LSE Research Online Documents on Economics 113566, London School of Economics and Political Science, LSE Library.
• Mikihito Nishi, 2023. "Testing for Coefficient Randomness in Local-to-Unity Autoregressions," Papers 2301.04853, arXiv.org, revised Jan 2023.
• Sylvia Fruhwirth-Schnatter & Darjus Hosszejni & Hedibert Freitas Lopes, 2023. "When it counts -- Econometric identification of the basic factor model based on GLT structures," Papers 2301.06354, arXiv.org.