Report NEP-ETS-2023-03-06

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:

• Jia Chen & Degui Li & Yuning Li & Oliver Linton, 2023. "Estimating Time-Varying Networks for High-Dimensional Time Series," Papers 2302.02476, arXiv.org.
• Joshua C. C. Chan & Aubrey Poon & Dan Zhu, 2023. "High-Dimensional Conditionally Gaussian State Space Models with Missing Data," Papers 2302.03172, arXiv.org.
• Heino Bohn Nielsen & Anders Rahbek, 2023. "Penalized Quasi-likelihood Estimation and Model Selection in Time Series Models with Parameters on the Boundary," Papers 2302.02867, arXiv.org.
• Patrick Aschermayr & Konstantinos Kalogeropoulos, 2023. "Sequential Bayesian Learning for Hidden Semi-Markov Models," Papers 2301.10494, arXiv.org.
• Item repec:cte:wsrepe:36569 is not listed on IDEAS anymore

• Leonardo N. Ferreira & Silvia Miranda-Agrippino & Giovanni Ricco, 2023. "Bayesian Local Projections," Working Papers 2023-04, Center for Research in Economics and Statistics.
• Karl-Friedrich Keunecke & Cay Oertel, 2022. "Volatility modeling of property markets: A note on the distribution of GARCH innovation," ERES 2022_97, European Real Estate Society (ERES).
• Hana, Yuefeng & Chenb, Rong & Zhangb, Cun-Hui & Yao, Qiwei, 2023. "Simultaneous decorrelation of matrix time series," LSE Research Online Documents on Economics 117386, London School of Economics and Political Science, LSE Library.
• Jesus Gonzalo & Jean-Yves Pitarakis, 2023. "Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates," Papers 2302.02866, arXiv.org, revised Oct 2023.
• Niels Gillmann & Ostap Okhrin, 2023. "Adaptive local VAR for dynamic economic policy uncertainty spillover," Papers 2302.02808, arXiv.org.
• Ye Lu & Adrian Pagan, 2023. "To Boost or Not to Boost? That is the Question," CAMA Working Papers 2023-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Christis Katsouris, 2023. "Testing for Structural Change under Nonstationarity," Papers 2302.02370, arXiv.org.