Report NEP-ECM-2017-10-08

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:

• Xiaohong Chen & Timothy Christensen & Elie Tamer, 2016, "Monte Carlo Confidence sets for Identified Sets," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2037R2, May, revised Sep 2017.
• Cheng Liu & Ningning Xia & Jun Yu, 2016, "Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 14-2016, Nov.
• Mohamad Kazem Shirani Faradonbeh & Ambuj Tewari & George Michailidis, 2017, "Finite Time Identification in Unstable Linear Systems," Papers, arXiv.org, number 1710.01852, Oct, revised Jun 2018.
• Carlomagno Real, Guillermo & Espasa, Antoni, 2017, "Discovering pervasive and non-pervasive common cycles," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 25392, Sep.
• Chuan Goh, 2017, "Rate-Optimal Estimation of the Intercept in a Semiparametric Sample-Selection Model," Papers, arXiv.org, number 1710.01423, Oct, revised Sep 2018.
• Dare, Wale & Fengler, Matthias, 2017, "Global estimation of realized spot volatility in the presence of price jumps," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1715, Sep.
• Anand Acharya & Lynda Khalaf & Marcel Voia & Myra Yazbeck & David Wensley, 2017, "Simulation-based robust IV inference for lifetime data," Canadian Stata Users' Group Meetings 2017, Stata Users Group, number 15, Sep.
• Olivier Ledoit & Michael Wolf, 2017, "Analytical nonlinear shrinkage of large-dimensional covariance matrices," ECON - Working Papers, Department of Economics - University of Zurich, number 264, Sep, revised Nov 2018.
• Luo, Ye & Spindler, Martin, 2017, "L2-Boosting for Economic Applications," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking, Verein für Socialpolitik / German Economic Association, number 168194.
• Giuseppe Pandolfo & Davy Paindaveine & Giovanni Porzio, 2017, "Distance-based Depths for Directional Data," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2017-35, Oct.
• Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney Newey & James Robins, 2016, "Double/Debiased Machine Learning for Treatment and Causal Parameters," Papers, arXiv.org, number 1608.00060, Jul, revised Nov 2024.
• Victor Chernozhukov & Iv'an Fern'andez-Val & Tetsuya Kaji, 2016, "Extremal Quantile Regression: An Overview," Papers, arXiv.org, number 1612.06850, Dec, revised Feb 2017.
• Victor Chernozhukov & Iv'an Fern'andez-Val & Whitney Newey, 2017, "Nonseparable Multinomial Choice Models in Cross-Section and Panel Data," Papers, arXiv.org, number 1706.08418, Jun, revised May 2018.
• Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2017, "A Justification of Conditional Confidence Intervals," Papers, arXiv.org, number 1710.00643, Oct, revised Jan 2019.
• Pedro H. C. Sant'Anna, 2016, "Program Evaluation with Right-Censored Data," Papers, arXiv.org, number 1604.02642, Apr.
• Hepsag, Aycan, 2017, "A unit root test based on smooth transitions and nonlinear adjustment," MPRA Paper, University Library of Munich, Germany, number 81788, Oct.
• Jianqing Fan & Yuan Ke & Yuan Liao, 2016, "Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia," Papers, arXiv.org, number 1603.07041, Mar, revised Sep 2018.
• Ramazan Gencay & Ege Yazgan, 2017, "When Are Wavelets Useful Forecasters?," Working Papers, The Center for Financial Studies (CEFIS), Istanbul Bilgi University, number 1704, Sep.
• Yubo Tao & Jun Yu, 2016, "Model Selection for Explosive Models," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 6-2016, Mar.
• Chu-An Liu & Biing-Shen Kuo & Wen-Jen Tsay, 2017, "Autoregressive Spectral Averaging Estimator," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 17-A013, Sep.
• Timo Teräsvirta, 2017, "Nonlinear models in macroeconometrics," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-32, Sep.
• Weilin Xiao & Jun Yu, 2016, "Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 13-2016, Sep.
• George Daniel Mateescu, 2017, "Regression on intervals," Working Papers of Institute for Economic Forecasting, Institute for Economic Forecasting, number 170901, Sep.
• Naoki Awaya & Yasuhiro Omori, 2017, "Particle rolling MCMC with Double Block Sampling: Conditional SMC Update Approach," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-1066, Sep.
• Igor Halperin, 2017, "Keep It Real: Tail Probabilities of Compound Heavy-Tailed Distributions," Papers, arXiv.org, number 1710.01227, Oct.
• Pedro H. C. Sant'Anna & Xiaojun Song, 2016, "Specification Tests for the Propensity Score," Papers, arXiv.org, number 1611.06217, Nov, revised Feb 2019.
• Pedro H. C. Sant'Anna, 2016, "Nonparametric Tests for Treatment Effect Heterogeneity with Duration Outcomes," Papers, arXiv.org, number 1612.02090, Dec, revised Feb 2020.
• James G. MacKinnon & Matthew D. Webb, 2017, "The multiway cluster wild bootstrap," Canadian Stata Users' Group Meetings 2017, Stata Users Group, number 06, Sep.
• Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2017, "Forecasting with Dynamic Panel Data Models," Papers, arXiv.org, number 1709.10193, Sep.
• Gordon Anderson & Alessio Farcomeni & Grazia Pittau & Roberto Zelli, 2017, "Rectangular latent Markov models for time-specific clustering," Working Papers, University of Toronto, Department of Economics, number tecipa-589, Sep.
• Khai X. Chiong & Hyungsik Roger Moon, 2017, "Estimation of Graphical Models using the $L_{1,2}$ Norm," Papers, arXiv.org, number 1709.10038, Sep, revised Oct 2017.

Report NEP-ECM-2017-10-08

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: