Report NEP-ETS-2024-10-14

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:

• Wei Zhang, 2024. "Bayesian Dynamic Factor Models for High-dimensional Matrix-valued Time Series," Papers 2409.08354, arXiv.org, revised Nov 2024.
• Francisco Blasques & Janneke van Brummelen & Paolo Gorgi & Siem Jan Koopman, 2024. "A robust Beveridge-Nelson decomposition using a score-driven approach with an application," Tinbergen Institute Discussion Papers 24-003/III, Tinbergen Institute.
• Martin C. Arnold & Thilo Reinschlussel, 2024. "Bootstrap Adaptive Lasso Solution Path Unit Root Tests," Papers 2409.07859, arXiv.org.
• Omer Faruk Akbal, 2024. "Regime-Switching Factor Models and Nowcasting with Big Data," IMF Working Papers 2024/190, International Monetary Fund.
• Zhan Gao & Ji Hyung Lee & Ziwei Mei & Zhentao Shi, 2024. "Econometric Inference for High Dimensional Predictive Regressions," Papers 2409.10030, arXiv.org, revised Nov 2024.