Report NEP-ETS-2024-07-15

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:

• David Kohns & Noa Kallioinen & Yann McLatchie & Aki Vehtari, 2024. "The ARR2 prior: flexible predictive prior definition for Bayesian auto-regressions," Papers 2405.19920, arXiv.org, revised May 2024.
• Francq, Christian & Zakoian, Jean-Michel, 2024. "Finite moments testing in a general class of nonlinear time series models," MPRA Paper 121193, University Library of Munich, Germany.
• Demian Pouzo & Zacharias Psaradakis & Martín Sola, 2024. "On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities," Department of Economics Working Papers 2024_04, Universidad Torcuato Di Tella.
• Ippei Fujiwara & Adrian Pagan, 2024. "Re-Examining What We Can Learn About Counterfactual Results from Time Series Regression," CAMA Working Papers 2024-44, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Jin Seo Cho, 2024. "Estimating and Inferring the Nonlinear Autoregressive Distributed Lag Model by Ordinary Least Squares," Working papers 2024rwp-227, Yonsei University, Yonsei Economics Research Institute.
• Andrea Bucci, 2024. "A sequential test procedure for the choice of the number of regimes in multivariate nonlinear models," Papers 2406.02152, arXiv.org.
• del Barrio Castro, Tomas & Escribano, Alvaro & Sibbertsen, Philipp, 2024. "Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data," Hannover Economic Papers (HEP) dp-722, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Bin Peng & Liangjun Su & Yayi Yan, 2024. "A Robust Residual-Based Test for Structural Changes in Factor Models," Papers 2406.00941, arXiv.org.