Here are some suggestions for your reading list this month:
© 2016, David E. Giles
- Aastveit, A., C. Foroni, and F. Ravazzolo, 2016. Density forecasts with midas models. Journal of Applied Econometrics, online.
- Chang, C-L. and M. McAleer, 2016. The fiction of full BEKK. Tinbergen Institute Discussion Paper TI 2017-015/III.
- Chudik, A., G. Kapetanios, and M.H. Pesaran, 2016. A one-covariate at a time, multiple testing approach to variable selection in high-dimensional linear regression models. Cambridge Working Paper Economics: 1667.
- Kleiber, C.. Structural change in (economic) time series WWZ Working Paper 2016/06, University of Basel.
- Romano, J. P. and M. Wolf, 2017. Resurrecting weighted least squares. Journal of Econometrics, 197, 1-19.
- Yamada, H., 2017. Several least squares problems related to the Hodrick-Prescott filtering. Communications in Statistics - Theory and Methods, online.