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Report NEP-ECM-2017-05-14
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:
- Joel L. Horowitz & Anand Krishnamurthy, 2017, "A bootstrap method for constructing pointwise and uniform confidence bands for conditional quantile functions," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP01/17, Jan.
- Jose Diogo Barbosa & Marcelo Moreira, 2017, "Likelihood inference and the role of initial conditions for the dynamic panel data model," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP04/17, Jan.
- Lafit, Ginette & Nogales Martín, Francisco Javier, 2017, "Robust and sparse estimation of high-dimensional precision matrices via bivariate outlier detection," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 24534, May.
- Alexandre Belloni & Victor Chernozhukov & Denis Chetverikov & Ivan Fernandez-Val, 2016, "Conditional quantile processes based on series or many regressors," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP46/16, Aug.
- Friedrich, Marina & Smeekes, Stephan & Urbain, Jean-Pierre, 2017, "Autoregressive Wild Bootstrap Inference for Nonparametric Trends," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 010, May, DOI: 10.26481/umagsb.2017010.
- Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2016, "Testing many moment inequalities," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP42/16, Aug.
- Stavros Stavroyiannis, 2017, "A note on the Nelson Cao inequality constraints in the GJR-GARCH model: Is there a leverage effect?," Papers, arXiv.org, number 1705.00535, May.
- Joana Estevens & Paulo Rocha & Joao Boto & Pedro Lind, 2017, "Stochastic modelling of non-stationary financial assets," Papers, arXiv.org, number 1705.01145, Apr.
- Federico A. Bugni & Joel L. Horowitz, 2017, "Permutation tests for equality of distributions of functional data," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP17/17, Apr.
- Massimo Franchi & Soeren Johansen, 2017, "Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles," Discussion Papers, University of Copenhagen. Department of Economics, number 17-09, Apr.
- Raffaella Giacomini & Toru Kitagawa & Alessio Volpicella, 2017, "Uncertain identification," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP18/17, Apr.
- Bryan S. Graham, 2017, "An econometric model of network formation with degree heterogeneity," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP08/17, Feb.
- Christophe Ley & Yves Dominicy, 2017, "Mutual Point-winning Probabilities (MPW): a New Performance Measure for Table Tennis," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2017-23, May.
- Bryan S. Graham & Jinyong Hahn & Alexandre Poirier & James L. Powell, 2016, "A quantile correlated random coefficients panel data model," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP34/16, Aug.
- Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney K. Newey, 2016, "Double machine learning for treatment and causal parameters," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP49/16, Sep.
- Victor Chernozhukov & Christian Hansen & Martin Spindler, 2016, "Valid post-selection and post-regularization inference: An elementary, general approach," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP36/16, Aug.
- Koen Jochmans & Martin Weidner, 2016, "Fixed-effect regressions on network data," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP32/16, Aug.
- Denis Chetverikov & . ., 2016, "On cross-validated Lasso," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP47/16, Sep.
- Seok Young Hong & Oliver Linton, 2016, "Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in?finite order," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP53/16, Nov.
- Florian Gunsilius & Susanne M. Schennach, 2017, "A nonlinear principal component decomposition," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP16/17, Mar.
- Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2016, "Anti-concentration and honest, adaptive confidence bands," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP43/16, Aug.
- Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2016, "Empirical and multiplier bootstraps for suprema of empirical processes of increasing complexity, and related Gaussian couplings," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP38/16, Aug.
- Luigi Grossi & Fany Nan, 2017, "Forecasting electricity prices through robust nonlinear models," Working Papers, University of Verona, Department of Economics, number 06/2017, May.
- Xiaohong Chen & Timothy M. Christensen, 2017, "Optimal sup-norm rates and uniform inference on nonlinear functionals of nonparametric IV regression," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP09/17, Feb.
- Hidehiko Ichimura & Whitney K. Newey, 2017, "The influence function of semiparametric estimators," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP06/17, Jan.
- Toda, Alexis Akira & Walsh, Kieran James, 2017, "Fat tails and spurious estimation of consumption-based asset pricing models," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt8df3x7gw, Jan.
- Whitney K. Newey & James L. Powell, 2017, "Instrumental variables estimation for nonparametric models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP07/17, Feb.