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Report NEP-ECM-2017-06-04
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:
- Michal Andrle & Miroslav Plasil, 2017, "System Priors for Econometric Time Series," Working Papers, Czech National Bank, Research and Statistics Department, number 2017/01, May.
- Davide De Gaetano, 2017, "Forecasting With Garch Models Under Structural Breaks: An Approach Based On Combinations Across Estimation Windows," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0219, May.
- Andor, Mark & Parmeter, Christopher, 2017, "Pseudolikelihood estimation of the stochastic frontier model," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 693, DOI: 10.4419/86788804.
- Bettendorf, Timo & Bursian, Dirk, 2017, "Chow-Lin x N: How adding a panel dimension can improve accuracy," Discussion Papers, Deutsche Bundesbank, number 12/2017.
- Damian Kozbur, 2017, "Sharp convergence rates for forward regression in high-dimensional sparse linear models," ECON - Working Papers, Department of Economics - University of Zurich, number 253, May, revised Apr 2018.
- Yan-Yu Chiou & Mei-Yuan Chen & Jau-er Chen, 2017, "Nonparametric Regression with Multiple Thresholds: Estimation and Inference," Papers, arXiv.org, number 1705.09418, May, revised Feb 2018.
- Cabana Garceran del Vall, Elisa & Laniado Rodas, Henry & Lillo Rodríguez, Rosa Elvira, 2017, "Multivariate outlier detection based on a robust Mahalanobis distance with shrinkage estimators," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 24613, May.
- Arthur Lewbel, 2016, "Identification and Estimation Using Heteroscedasticity Without Instruments: The Binary Endogenous Regressor Case," Boston College Working Papers in Economics, Boston College Department of Economics, number 927, Dec.
- Tsagris, Michail, 2017, "Conditional Independence test for categorical data using Poisson log-linear model," MPRA Paper, University Library of Munich, Germany, number 79464, Mar.
- Luis J. Álvarez & Ana Gómez-Loscos, 2017, "A menu on output gap estimation methods," Working Papers, Banco de España, number 1720, May.
- Carballo González, Alba & Durbán Reguera, María Luz & Lee, Dae-Jin, 2017, "A general framework for prediction in penalized regression," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 24607, May.
- Komarova, Tatiana & Nekipelov, Denis & Yakovlev, Evgeny, 2018, "Identification, data combination and the risk of disclosure," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 79384, Apr.
- Hernández Banadik, Nicolás Jorge & Muñoz García, Alberto, 2017, "Kernel depth funcions for functional data," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 24615, Apr.
- Chen, J. & Kobayashi, M. & McAleer, M.J., 2017, "Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number TI 2017-022/III, Feb.
- Ergemen, Yunus Emre & Rodríguez Caballero, Carlos Vladimir, 2017, "Estimation of a Dynamic Multilevel Factor Model with possible long-range dependence," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 24614, May.
- Amsler, Christine & Prokhorov, Artem & Schmidt, Peter, 2017, "Endogenous Environmental Variables In Stochastic Frontier Models," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2017-02, Apr.
- James D. Hamilton, 2017, "Why You Should Never Use the Hodrick-Prescott Filter," NBER Working Papers, National Bureau of Economic Research, Inc, number 23429, May.
- Kateryna Kononova & Anton Dek, 2017, "Financial Time Series Forecasting: Semantic Analysis Of Economic News," Papers, arXiv.org, number 1705.08545, May.
- Jiménez Recaredo, Raúl José & Elías Fernández, Antonio, 2017, "Prediction Bands for Functional Data Based on Depth Measures," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 24606, May.