Report NEP-ETS-2019-01-07

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:

• Lui, Yiu Lim & Xiao, Weilin & Yu, Jun, 2018. "Mild-explosive and Local-to-mild-explosive Autoregressions with Serially Correlated Errors," Economics and Statistics Working Papers 22-2018, Singapore Management University, School of Economics.
• Stefan Richter & Weining Wang & Wei Biao Wu, 2018. "A supreme test for periodic explosive GARCH," Papers 1812.03475, arXiv.org.
• Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018. "Generating Univariate Fractional Integration within a Large VAR(1)," AMSE Working Papers 1844, Aix-Marseille School of Economics, France.
• Peter Pedroni, 2018. "Panel Cointegration Techniques and Open Challenges," Department of Economics Working Papers 2018-09, Department of Economics, Williams College.
• Daniel J. Lewis, 2018. "Robust inference in models identified via heteroskedasticity," Staff Reports 876, Federal Reserve Bank of New York.
• Qiang Zhang & Rui Luo & Yaodong Yang & Yuanyuan Liu, 2018. "Benchmarking Deep Sequential Models on Volatility Predictions for Financial Time Series," Papers 1811.03711, arXiv.org.
• Keiji Nagai & Yoshihiko Nishiyama & Kohtaro Hitomi, 2018. "Sequential test for unit root in AR(1) model," KIER Working Papers 1003, Kyoto University, Institute of Economic Research.
• Sébastien Laurent & Shuping Shi, 2018. "Volatility Estimation and Jump Detection for drift-diffusion Processes," AMSE Working Papers 1843, Aix-Marseille School of Economics, France.
• María Gil & Javier J. Pérez & A. Jesús Sánchez & Alberto Urtasun, 2018. "Nowcasting private consumption: traditional indicators, uncertainty measures, credit cards and some internet data," Working Papers 1842, Banco de España.
• Javier Franco-Pedroso & Joaquin Gonzalez-Rodriguez & Maria Planas & Jorge Cubero & Rafael Cobo & Fernando Pablos, 2018. "The ETS challenges: a machine learning approach to the evaluation of simulated financial time series for improving generation processes," Papers 1811.07792, arXiv.org.
• Otilia Boldea & Adriana Cornea-Madeira & Alastair R. Hall, 2018. "Bootstrapping Structural Change Tests," Papers 1811.04125, arXiv.org.
• Yaein Baek, 2018. "Estimation of a Structural Break Point in Linear Regression Models," Papers 1811.03720, arXiv.org, revised Jun 2020.
• Paul Labonne & Martin Weale, 2018. "Temporal disaggregation of overlapping noisy quarterly data using state space models: Estimation of monthly business sector output from Value Added Tax data in the UK," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2018-18, Economic Statistics Centre of Excellence (ESCoE).
• Evzen Kocenda & Karen Poghosyan, 2018. "Nowcasting real GDP growth with business tendency surveys data: A cross country analysis," KIER Working Papers 1002, Kyoto University, Institute of Economic Research.