Simpler Proofs for Approximate Factor Models of Large Dimensions,
Jushan Bai and Serena Ng,
from arXiv.org
(2020)
Macroeconomic Data Transformations Matter,
Philippe Goulet Coulombe, Maxime Leroux, Dalibor Stevanovic and St\'ephane Surprenant,
from arXiv.org
(2021)
Estimating TVP-VAR models with time invariant long-run multipliers,
Denis Belomestny, Ekaterina Krymova and Andrey Polbin,
from arXiv.org
(2020)
Lasso Inference for High-Dimensional Time Series,
Robert Adamek, Stephan Smeekes and Ines Wilms,
from arXiv.org
(2022)
bootUR: An R Package for Bootstrap Unit Root Tests,
Stephan Smeekes and Ines Wilms,
from arXiv.org
(2022)
Deep Dynamic Factor Models,
Paolo Andreini, Cosimo Izzo and Giovanni Ricco,
from arXiv.org
(2023)
THE DISTRIBUTION OF ROLLING REGRESSION ESTIMATORS,
Zongwu Cai and Ted Juhl,
from University of Kansas, Department of Economics
(2020)
Keywords: Asymptotic distribution; Bias correction; Nonparametric estimation; Rolling regressions; Time-varying parameters.
Impulse Response Analysis for Structural Dynamic Models with Nonlinear Regressors,
Silvia Goncalves, Ana María Herrera, Lutz Kilian and Elena Pesavento,
from Federal Reserve Bank of Dallas
(2020)
Keywords: local projections; structural models; censored regressor; nonlinear transformation; nonlinear responses; Monte Carlo integration