Report NEP-ECM-2015-08-13

This is the archive for NEP-ECM, a report on new working papers in the area of Econometrics. Sune Karlsson issued this report. It is usually issued weekly.

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Other reports in NEP-ECM

The following items were announced in this report:

• Alexandre Belloni & Victor Chernozhukov & Kengo Kato, 2014, "Valid post-selection inference in high-dimensional approximately sparse quantile regression models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP53/14, Dec.
• Hyungsik Roger Moon & Martin Weidner, 2014, "Dynamic linear panel regression models with interactive fixed effects," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP47/14, Dec.
• Matias D. Cattaneo & Michael Jansson & Whitney K. Newey, 2015, "Treatment Effects with Many Covariates and Heteroskedasticity," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-31, Jul.
• Karun Adusumilli & Taisuke Otsu, 2015, "Nonparametric instrumental regression with errors in variables," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number /2015/585, Jul.
• Katarzyna Bech & Grant Hillier, 2015, "Nonparametric testing for exogeneity with discrete regressors and instruments," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP11/15, Mar.
• Vitoratou, Silia & Ntzoufras, Ioannis & Moustaki, Irini, 2016, "Explaining the behavior of joint and marginal Monte Carlo estimators in latent variable models with independence assumptions," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 57685, Jan.
• Alexandre Belloni & Victor Chernozhukov & Christian Hansen & Damian Kozbur, 2014, "Inference in high dimensional panel models with an application to gun control," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP50/14, Dec.
• Chau, Tak Wai, 2015, "Identification through Heteroscedasticity: What If We Have the Wrong Form of Heteroscedasticity?," MPRA Paper, University Library of Munich, Germany, number 65888, Jul.
• Victor Chernozhukov & Christian Hansen & Yuan Liao, 2015, "A lava attack on the recovery of sums of dense and sparse signals," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP05/15, Feb.
• Daniel Wilhelm, 2015, "Identification and estimation of nonparametric panel data regressions with measurement error," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP34/15, Jul.
• Denis Chetverikov & Daniel Wilhelm, 2015, "Nonparametric instrumental variable estimation under monotonicity," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP39/15, Jul.
• Manuel Arellano & Stéphane Bonhomme, 2015, "Nonlinear panel data estimation via quantile regressions," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP40/15, Jul.
• Shujie Ma & Jeffrey S. Racine & Aman Ullah, 2015, "Nonparametric Regression-Spline Random Effects Models," Department of Economics Working Papers, McMaster University, number 2015-10, Aug.
• Narayan, Paresh Kumar & Liu, Ruipeng, 2015, "A unit root model for trending time-series energy variables," Working Papers, Deakin University, Department of Economics, number fe_2015_05, Jan, DOI: 10.1016/j.eneco.2014.11.021.
• Westerlund, Joakim & Karabiyik, Hande & Narayan, Paresh, 2015, "Testing for predictability in panels with general predictors," Working Papers, Deakin University, Department of Economics, number fe_2015_10, Jan, DOI: 10.1002/jae.2535.
• Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2014, "Testing many moment inequalities," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP52/14, Dec.
• Jiaying Gu & Roger Koenker, 2014, "Unobserved heterogeneity in income dynamics: an empirical Bayes perspective," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP43/14, Nov.
• Stefan Hoderlein & Hajo Holzmann & Alexander Meister, 2015, "The triangular model with random coefficients," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP33/15, Jun.
• Le-Yu Chen & Sokbae (Simon) Lee, 2015, "Breaking the curse of dimensionality in conditional moment inequalities for discrete choice models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP26/15, Jun.
• Larry G. Epstein & Hiroaki Kaido & Kyoungwon Seo, 2015, "Robust confidence regions for incomplete models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP20/15, Apr.
• Oliver Linton & Katja Smetanina, 2015, "Mean Ratio Statistic for measuring predictability," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP08/15, Feb.
• Arun Advani & Bansi Malde, 2014, "Empirical methods for networks data: social effects, network formation and measurement error," IFS Working Papers, Institute for Fiscal Studies, number W14/34, Dec.
• Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2014, "Central limit theorems and bootstrap in high dimensions," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP49/14, Dec.
• Tsagris, Michail, 2014, "The k-NN algorithm for compositional data: a revised approach with and without zero values present," MPRA Paper, University Library of Munich, Germany, number 65866, Jul.
• Alexandre Belloni & Victor Chernozhukov & Christian Hansen, 2013, "High dimensional methods and inference on structural and treatment effects," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP59/13, Nov.
• Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2015, "An investigation into multivariate variance ratio statistics and their application to stock market predictability," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP13/15, Mar.
• Joakim Westerlund & Paresh K Narayan & Xinwei Zheng, , "Testing For Stock Return Predictability In A Large Chinese Panel," Working Papers, Deakin University, Department of Economics, number 2015_11.
• Andrew Chesher & Adam Rosen, 2015, "Counterfactual worlds," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP22/15, Jun.
• Victor Chernozhukov & Alfred Galichon & Marc Hallin & Marc Henry, 2015, "Monge-Kantorovich depth, quantiles, ranks and signs," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP04/15, Jan.
• Borgini, Riccardo & Bianco, Paola Del & Salvati, Nicola & Schmid, Timo & Tzavidis, Nikos, 2015, "Modelling the distribution of health related quality of life of advanced melanoma patients in a longitudinal multi-centre clinical trial using M-quantile random effects regression," Discussion Papers, Free University Berlin, School of Business & Economics, number 2015/19.
• Item repec:hum:wpaper:sfb649dp2015-038 is not listed on IDEAS anymore

• Narayan, Paresh Kumar & Liu, Ruipeng, 2015, "A GARCH model for testing market efficiency," Working Papers, Deakin University, Department of Economics, number fe_2015_01, Jan, DOI: 10.1016/j.intfin.2015.12.008.
• Áureo de Paula & Seth Richards-Shubik & Elie Tamer, 2015, "Identification of preferences in network formation games," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP29/15, Jun.
• Juraj Hucek & Alexander Karsay & Marian Vavra, 2015, "Short-term Forecasting of Real GDP Using Monthly Data," Working and Discussion Papers, Research Department, National Bank of Slovakia, number OP 1/2015, Jul.
• William Larson, 2015, "Forecasting an Aggregate in the Presence of Structural Breaks in the Disaggregates," Working Papers, The George Washington University, The Center for Economic Research, number 2015-002, Jul.
• Felix Pretis, 2015, "Econometric Models of Climate Systems: The Equivalence of Two-Component Energy Balance Models and Cointegrated VARs," Economics Series Working Papers, University of Oxford, Department of Economics, number 750, Jun.
• Kevin Fergusson & Eckhard Platen, 2015, "Application of Maximum Likelihood Estimation to Stochastic Short Rate Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 361, Jul.
• Serafin J. Grundl & Yu Zhu, 2015, "Identification of First-Price Auctions With Biased Beliefs," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-56, Jul, DOI: 10.17016/FEDS.2015.056.
• Benjamin Wong & Varang Wiriyawit, 2015, "Structural VARs, deterministic and stochastic trends: Does detrending matter?," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2015/02, Apr.
• Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015, "Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula," Working Papers, Business School - Economics, University of Glasgow, number 2015_15, Feb.

Report NEP-ECM-2015-08-13

This is the archive for NEP-ECM, a report on new working papers in the area of Econometrics. Sune Karlsson issued this report. It is usually issued weekly.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-ECM

The following items were announced in this report: