Report NEP-ECM-2015-08-19

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. "Uniform post selection inference for LAD regression and other Z-estimation problems," CeMMAP working papers CWP51/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Fedotenkov, Igor, 2015. "A simple nonparametric test for the existence of finite moments," MPRA Paper 66089, University Library of Munich, Germany.
• Victor Chernozhukov & Ivan Fernandez-Val & Stefan Hoderlein & Whitney K. Newey, 2014. "Nonparametric identification in panels using quantiles," CeMMAP working papers CWP54/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Paul Larsen, 2015. "Asyptotic Normality for Maximum Likelihood Estimation and Operational Risk," Papers 1508.02824, arXiv.org, revised Aug 2016.
• Michael Vogt & Oliver Linton, 2015. "Classification of nonparametric regression functions in heterogeneous panels," CeMMAP working papers CWP06/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Ivan A. Canay & Vishal Kamat, 2015. "Approximate permutation tests and induced order statistics in the regression discontinuity design," CeMMAP working papers CWP27/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Guillaume Chevillon, 2013. "Robust Cointegration Testing in the Presence of Weak Trends, with an Application to the Human Origin of Global Warming," Working Papers hal-00914830, HAL.
• Michael S. Delgado & Raymond J.G.M. Florax, 2015. "Difference-in-Differences Techniques for Spatial Data: Local Autocorrelation and Spatial Interaction," Tinbergen Institute Discussion Papers 15-091/VIII, Tinbergen Institute.
• Jie Ding & Vahid Tarokh & Yuhong Yang, 2015. "Bridging AIC and BIC: a new criterion for autoregression," Papers 1508.02473, arXiv.org, revised Aug 2016.
• Joel L. Horowitz, 2015. "Variable selection and estimation in high-dimensional models," CeMMAP working papers CWP35/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2015. "Testing macro models by indirect inference: a survey for users," Cardiff Economics Working Papers E2015/9, Cardiff University, Cardiff Business School, Economics Section.
• Yoichi Arai & Hidehiko Ichimura, 2015. "Simultaneous Selection of Optimal Bandwidths for the Sharp Regression Discontinuity Estimator," CIRJE F-Series CIRJE-F-984, CIRJE, Faculty of Economics, University of Tokyo.
• Russell Davidson, 2015. "A discrete model for bootstrap iteration," CeMMAP working papers CWP38/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Amélie Charles & Olivier Darné & Fabien Tripier, 2015. "Are unit root tests useful in the debate over the (non)stationarity of hours worked?," Post-Print hal-01101618, HAL.
• Elena Di Bernardino & Didier Rullière, 2015. "Estimation of multivariate critical layers: Applications to rainfall data," Post-Print hal-00940089, HAL.
• Joshua C.C. Chan & Eric Eisenstat, 2015. "Bayesian model comparison for time-varying parameter VARs with stochastic volatility," CAMA Working Papers 2015-32, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Item repec:oxf:wpaper:wps/2014-05 is not listed on IDEAS anymore

• Elotma H, 2015. "Parameter estimation for stochastic diffusion process," Working Papers hal-01081470, HAL.
• Toru Kitagawa, 2014. "A Test for Instrument Validity," CeMMAP working papers CWP34/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Andrew Chesher & Adam Rosen, 2015. "Identification of the distribution of valuations in an incomplete model of English auctions," CeMMAP working papers CWP30/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Portier, Franck & Beaudry, Paul & Feve, Patrick & Guay, Alain, 2015. "When is Nonfundamentalness in VARs A Real Problem? An Application to News Shocks," CEPR Discussion Papers 10763, C.E.P.R. Discussion Papers.
• Dlugosz, Stephan & Mammen, Enno & Wilke, Ralf A., 2015. "Generalised partially linear regression with misclassified data and an application to labour market transitions," ZEW Discussion Papers 15-043, ZEW - Leibniz Centre for European Economic Research.
• Brendon McConnell & Marcos Vera-Hernandez, 2015. "Going beyond simple sample size calculations: a practitioner's guide," IFS Working Papers W15/17, Institute for Fiscal Studies.
• Wei Wei & Denis Pelletier, 2015. "A Jump-Diffusion Model with Stochastic Volatility and Durations," CREATES Research Papers 2015-34, Department of Economics and Business Economics, Aarhus University.
• Mehmet Pasaogullari, 2015. "Forecasts from Reduced-form Models under the Zero-Lower-Bound Constraint," Working Papers (Old Series) 1512, Federal Reserve Bank of Cleveland.