Report NEP-ETS-2023-10-30

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:

• Jonas E. Arias & Juan F. Rubio-Ramirez & Daniel F. Waggoner, 2023. "Uniform Priors for Impulse Responses," FRB Atlanta Working Paper 2023-13, Federal Reserve Bank of Atlanta.
• Leo Krippner, 2023. "Estimating and Applying Autoregression Models via Their Eigensystem Representation," CAMA Working Papers 2023-47, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Pesaran, M. H. & Yang, L., 2023. "Trimmed Mean Group Estimation of Average Treatment Effects in Ultra Short T Panels under Correlated Heterogeneity," Cambridge Working Papers in Economics 2364, Faculty of Economics, University of Cambridge.
• Fabio Vanni & David Lambert, 2023. "A detection analysis for temporal memory patterns at different time-scales," Papers 2309.12034, arXiv.org.
• Christian Bongiorno & Damien Challet, 2023. "Covariance matrix filtering and portfolio optimisation: the Average Oracle vs Non-Linear Shrinkage and all the variants of DCC-NLS," Papers 2309.17219, arXiv.org.