Report NEP-ETS-2023-04-24

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:

• Duffy, J. & Simons, J., 2023. "Cointegration without Unit Roots," Cambridge Working Papers in Economics 2332, Faculty of Economics, University of Cambridge.
• Gianluca Cubadda & Marco Mazzali, 2023. "The Vector Error Correction Index Model: Representation, Estimation and Identification," CEIS Research Paper 556, Tor Vergata University, CEIS, revised 04 Apr 2023.
• Giorgia De Nora, 2021. "Factor Augmented Vector-Autoregression with narrative identification. An application to monetary policy in the US," Working Papers 934, Queen Mary University of London, School of Economics and Finance.
• Haroon Mumtaz & Michele Piffer, 2022. "Impulse response estimation via fexible local projections," Working Papers 938, Queen Mary University of London, School of Economics and Finance.
• Luke Mosley & Tak-Shing Chan & Alex Gibberd, 2023. "sparseDFM: An R Package to Estimate Dynamic Factor Models with Sparse Loadings," Papers 2303.14125, arXiv.org.
• Sascha A. Keweloh, 2023. "Uncertain Short-Run Restrictions and Statistically Identified Structural Vector Autoregressions," Papers 2303.13281, arXiv.org, revised Apr 2024.
• Lydia Cheung & Philip Gunby, 2023. "The Initial and Dynamic Effects of the COVID-19 Pandemic on Crime in New Zealand," Working Papers 2023-03, Auckland University of Technology, Department of Economics.