Report NEP-ETS-2018-03-05
This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Yong Yin issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon.
Other reports in NEP-ETS
The following items were announced in this report:
- Aurelio F. Bariviera & Angelo Plastino & George Judge, 2018. "Spurious seasonality detection: a non-parametric test proposal," Papers 1801.07941, arXiv.org.
- Mazur, Stepan & Otryakhin, Dmitry & Podolskij, Mark, 2018. "Estimation of the linear fractional stable motion," Working Papers 2018:3, Örebro University, School of Business.
- Xin Jin & John M. Maheu & Qiao Yang, 2018. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," Working Paper series 18-02, Rimini Centre for Economic Analysis.
- Mark Fisher & Mark J. Jensen, 2018. "Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors," Working Paper series 18-12, Rimini Centre for Economic Analysis.
- Blazsek, Szabolcs & Licht, Adrian, 2018. "Seasonal quasi-vector autoregressive models for macroeconomic data," UC3M Working papers. Economics 26316, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Vandenberghe, Vincent, 2018. "Alternatives to Polynomial Trend-Corrected Differences-In-Differences Models," GLO Discussion Paper Series 172, Global Labor Organization (GLO).
- Ishanu Chattopadhyay, 2018. "A Hilbert Space of Stationary Ergodic Processes," Papers 1801.08256, arXiv.org.
- Astill, Sam & Taylor, AM Robert, 2018. "Robust Tests for Deterministic Seasonality and Seasonal Mean Shifts," Essex Finance Centre Working Papers 21470, University of Essex, Essex Business School.
- Francisco (F.) Blasques & Paolo Gorgi & Siem Jan (S.J.) Koopman, 2018. "Missing Observations in Observation-Driven Time Series Models," Tinbergen Institute Discussion Papers 18-013/III, Tinbergen Institute.
- Lorenzo Camponovo & Yukitoshi Matsushita & Taisuke Otsu, 2018. "Nonparametric Likelihood for Volatility Under High Frequency Data," School of Economics Discussion Papers 0318, School of Economics, University of Surrey.