Report NEP-ETS-2025-01-20

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:

• Kreye, Tom Jannik, 2024. "Testing for fractional cointegration in subsamples by allowing for structural breaks," Hannover Economic Papers (HEP) dp-733, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Jungbin Hwang & Yixiao Sun, 2025. "Asymptotic F and t Tests in Cointegrating Regressions with Asymptotically Homogeneous Functions," Working papers 2025-01, University of Connecticut, Department of Economics.
• Xiaoqian Wang & Rob J Hyndman, 2024. "Online Conformal Inference for Multi-Step Time Series Forecasting," Monash Econometrics and Business Statistics Working Papers 20/24, Monash University, Department of Econometrics and Business Statistics.
• Gianluca Cubadda & Francesco Giancaterini & Stefano Grassi, 2025. "Sequential Monte Carlo for Noncausal Processes," Papers 2501.03945, arXiv.org.
• Yangzhuoran Fin Yang & Rob J Hyndman & George Athanasopoulos & Anastasios Panagiotelis, 2024. "Forecast Linear AugmentedProjection (FLAP): A Free Lunch to Reduce Forecast Error Variance," Monash Econometrics and Business Statistics Working Papers 13/24, Monash University, Department of Econometrics and Business Statistics.
• Pedro Isaac Chavez-Lopez & Tae-Hwy Lee, 2025. "Quantile-Covariance Three-Pass Regression Filter," Working Papers 202501, University of California at Riverside, Department of Economics.
• Nuwani K Palihawadana & Rob J Hyndman & Xiaoqian Wang, 2024. "Sparse Multiple Index Modelsfor High-dimensional Nonparametric Forecasting," Monash Econometrics and Business Statistics Working Papers 16/24, Monash University, Department of Econometrics and Business Statistics.
• S. A. Adedayo, 2025. "Re-examining Granger Causality from Causal Bayesian Networks Perspective," Papers 2501.02672, arXiv.org.
• Xiaoqian Wang & Rob J Hyndman & Shanika Wickramasuriya, 2024. "Optimal Forecast Reconciliation with Time Series Selection," Monash Econometrics and Business Statistics Working Papers 5/24, Monash University, Department of Econometrics and Business Statistics.
• M. Hashem Pesaran & Yimeng Xie, 2024. "How to Detect Network Dependence in Latent Factor Models? A Bias-Corrected CD Test," CESifo Working Paper Series 11470, CESifo.