Report NEP-ECM-2017-02-19This 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.
The following items were announced in this report:
- Élise, COUDIN & Jean-Marie DUFOUR, 2017. "Finite-Sample Generalized Confidence Distributions and Sign-Based Robust Estimators in Median Regressions with Heterogeneous Dependent Errors," Cahiers de recherche 01-2017, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Stammann, Amrei & Heiß, Florian & McFadden, Daniel, 2016. "Estimating Fixed Effects Logit Models with Large Panel Data," Annual Conference 2016 (Augsburg): Demographic Change 145837, Verein für Socialpolitik / German Economic Association.
- Choe, Chung & Jung, Seeun & Oaxaca, Ronald L., 2017. "Identification and Decompositions in Probit and Logit Models," IZA Discussion Papers 10530, Institute for the Study of Labor (IZA).
- Lorenzo Ricci, 2017. "Essays on tail risk in macroeconomics and finance: measurement and forecasting," ULB Institutional Repository 2013/242122, ULB -- Universite Libre de Bruxelles.
- de Lazzer, Jakob, 2016. "Non-monotonic Selection Issues in Electoral Regression Discontinuity Designs," Annual Conference 2016 (Augsburg): Demographic Change 145845, Verein für Socialpolitik / German Economic Association.
- Chan Shen & Roger Klein, 2017. "Recursive Differencing: Bias Reduction with Regular Kernels," Departmental Working Papers 201701, Rutgers University, Department of Economics.
- Bonaccolto, Giovanni & Caporin, Massimiliano & Panzica, Roberto Calogero, 2017. "Estimation and model-based combination of causality networks," SAFE Working Paper Series 165, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
- Velinov, Anton, 2016. "On the importance of testing structural identification schemes and the potential consequences of incorrectly identified models," Annual Conference 2016 (Augsburg): Demographic Change 145581, Verein für Socialpolitik / German Economic Association.
- Takaaki Koike & Mihoko Minami, 2017. "Estimation of Risk Contributions with MCMC," Papers 1702.03098, arXiv.org.
- Adrian Pagan, 2017. "Some consequences of using "measurement error shocks" when estimating time series models," CAMA Working Papers 2017-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Carsten Chong & Claudia Kluppelberg, 2017. "Contagion in financial systems: A Bayesian network approach," Papers 1702.04287, arXiv.org, revised Jul 2017.
- Das, Tirthatanmoy & Polachek, Solomon, 2017. "Estimating Labor Force Joiners and Leavers Using a Heterogeneity Augmented Two-Tier Stochastic Frontier," IZA Discussion Papers 10534, Institute for the Study of Labor (IZA).
- Angrist, Joshua & Pischke, Jörn-Steffen, 2017. "Undergraduate Econometrics Instruction: Through Our Classes, Darkly," IZA Discussion Papers 10535, Institute for the Study of Labor (IZA).
- Bartalotti, OtÃ¡vio C. & Brummet, Quentin O., 2016. "Regression Discontinuity Designs with Clustered Data: Variance and Bandwidth Choice," ISU General Staff Papers 201608010700001001, Iowa State University, Department of Economics.
- Knapik, Oskar & Exterkate, Peter, 2017. "A regime-switching stochastic volatility model for forecasting electricity prices," Working Papers 2017-02, University of Sydney, School of Economics.
- Takahiro Omi & Yoshito Hirata & Kazuyuki Aihara, 2017. "Hawkes process model with a time-dependent background rate and its application to high-frequency financial data," Papers 1702.04443, arXiv.org, revised Jul 2017.
- Minford, Patrick & Wickens, Michael R. & Xu, Yongdeng, 2017. "Testing part of a DSGE model by Indirect Inference," CEPR Discussion Papers 11819, C.E.P.R. Discussion Papers.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2017. "Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions," Discussion Papers of DIW Berlin 1642, DIW Berlin, German Institute for Economic Research.