Report NEP-ETS-2023-08-28

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:

• Younghoon Kim & Marie-Christine Duker & Zachary F. Fisher & Vladas Pipiras, 2023. "Latent Gaussian dynamic factor modeling and forecasting for multivariate count time series," Papers 2307.10454, arXiv.org, revised Jul 2024.
• Christis Katsouris, 2023. "Bootstrapping Nonstationary Autoregressive Processes with Predictive Regression Models," Papers 2307.14463, arXiv.org.
• Paolo Andreini & Cosimo Izzo & Giovanni Ricco, 2023. "Deep Dynamic Factor Models," Working Papers 2023-08, Center for Research in Economics and Statistics.
• Matteo Barigozzi, 2023. "Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models," Papers 2307.09864, arXiv.org, revised Jun 2024.
• Christis Katsouris, 2023. "Predictability Tests Robust against Parameter Instability," Papers 2307.15151, arXiv.org.
• Ping Wu & Gary Koop, 2022. "Fast, Order-Invariant Bayesian Inference in VARs using the Eigendecomposition of the Error Covariance Matrix," Working Papers 2310, University of Strathclyde Business School, Department of Economics.
• Bruno Feunou, 2023. "Generalized Autoregressive Gamma Processes," Staff Working Papers 23-40, Bank of Canada.
• Jad Beyhum & Jonas Striaukas, 2023. "Testing for sparse idiosyncratic components in factor-augmented regression models," Papers 2307.13364, arXiv.org, revised Jul 2024.
• Kurt Graden Lunsford & Kenneth D. West, 2023. "Random Walk Forecasts of Stationary Processes Have Low Bias," Working Papers 23-18, Federal Reserve Bank of Cleveland.
• Lutz Kilian, 2023. "How to Construct Monthly VAR Proxies Based on Daily Futures Market Surprises," Working Papers 2310, Federal Reserve Bank of Dallas.
• Guido Ascari & Paolo Bonomolo & Qazi Haque, 2023. "The Long-Run Phillips Curve is ... a Curve," CAMA Working Papers 2023-37, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.