Report NEP-ETS-2024-06-24

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:

• Helmut Lütkepohl & Fei Shang & Luis Uzeda & Tomasz Woźniak, 2024. "Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference," Discussion Papers of DIW Berlin 2081, DIW Berlin, German Institute for Economic Research.
• Fabrizio Iacone & Luca Rossini & Andrea Viselli, 2024. "Comparing predictive ability in presence of instability over a very short time," Papers 2405.11954, arXiv.org.
• Jos'e Luis Montiel Olea & Mikkel Plagborg-M{o}ller & Eric Qian & Christian K. Wolf, 2024. "Double Robustness of Local Projections and Some Unpleasant VARithmetic," Papers 2405.09509, arXiv.org, revised Aug 2024.
• Romero, Eva, 2024. "Fitting complex stochastic volatility models using Laplace approximation," DES - Working Papers. Statistics and Econometrics. WS 43947, Universidad Carlos III de Madrid. Departamento de Estadística.
• Krist'of N'emeth & D'aniel Hadh'azi, 2024. "Generating density nowcasts for U.S. GDP growth with deep learning: Bayes by Backprop and Monte Carlo dropout," Papers 2405.15579, arXiv.org.
• Ge, S. & Li, S. & Linton, O. B. & Liu, W. & Su, W., 2024. "Should We Augment Large Covariance Matrix Estimation with Auxiliary Network Information?," Cambridge Working Papers in Economics 2427, Faculty of Economics, University of Cambridge.