Report NEP-ETS-2023-03-13

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:

• Marina Friedrich & Luca Margaritella & Stephan Smeekes, 2023. "High-Dimensional Granger Causality for Climatic Attribution," Papers 2302.03996, arXiv.org, revised Jun 2024.
• Robert Adamek & Stephan Smeekes & Ines Wilms, 2023. "Sparse High-Dimensional Vector Autoregressive Bootstrap," Papers 2302.01233, arXiv.org.
• Christis Katsouris, 2023. "Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates," Papers 2302.05193, arXiv.org.
• Aisha Fayomi & Yannis Pantazis & Michail Tsagris & Andrew Wood, 2023. "Cauchy Robust Principal Component Analysis with Applications to High-Dimensional Data Sets," Working Papers 2304, University of Crete, Department of Economics.
• Saker Sabkha & Christian de Peretti, 2022. "On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market," Post-Print hal-01710398, HAL.
• Michael Keane & Timothy Neal, 2022. "Instrument Strength in IV Estimation and Inference: A Guide to Theory and Practice," Discussion Papers 2022-07, School of Economics, The University of New South Wales.
• O’Connell, Martin & Smith, Howard & Thomassen, Øyvind, 2023. "A two sample size estimator for large data sets," Discussion Papers 2023/1, Norwegian School of Economics, Department of Business and Management Science.