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Report NEP-ECM-2017-11-12
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:
- Jeffrey S. Racine & Qi Li & Karen X. Yan, 2017, "Kernel Smoothed Probability Mass Functions for Ordered Datatypes," Department of Economics Working Papers, McMaster University, number 2017-14, Nov.
- Wager, Stefan & Athey, Susan, 2017, "Estimation and Inference of Heterogeneous Treatment Effects Using Random Forests," Research Papers, Stanford University, Graduate School of Business, number 3576, Jul.
- Darwin Ugarte Ontiveros & Gustavo Canavire-Bacarreza & Luis Castro Pe�arrieta, 2017, "Outliers in semi-parametric Estimation of Treatment Effects," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 15810, Oct.
- Lina Lu, 2017, "Simultaneous Spatial Panel Data Models with Common Shocks," Supervisory Research and Analysis Working Papers, Federal Reserve Bank of Boston, number RPA 17-3, Aug.
- Victor Chernozhukov & Iv'an Fern'andez-Val & Whitney Newey & Sami Stouli & Francis Vella, 2017, "Semiparametric Estimation of Structural Functions in Nonseparable Triangular Models," Papers, arXiv.org, number 1711.02184, Nov, revised Oct 2019.
- Gonzalo Vazquez-Bare, 2017, "Identification and Estimation of Spillover Effects in Randomized Experiments," Papers, arXiv.org, number 1711.02745, Nov, revised Jan 2022.
- Asai, M. & McAleer, M.J. & Peiris, S., 2017, "Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2017-29, Nov.
- Juan Carlos Parra-Alvarez & Olaf Posch & Mu-Chun Wang, 2017, "Estimation of Heterogeneous Agent Models: A Likelihood Approach," CESifo Working Paper Series, CESifo, number 6717.
- Andrew Martinez, 2017, "Testing for Differences in Path Forecast Accuracy: Forecast-Error Dynamics Matter," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1717, Nov, DOI: 10.26509/frbc-wp-201717.
- Filippo Ferroni & Stefano Grassi & Miguel A. León-Ledesma, 2017, "Selecting Primal Innovations in DSGE models," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2017-20, Aug.
- Karanasos, Menelaos & Xu, Yongdeng & Yfanti, Stavroula, 2017, "Constrained QML Estimation for Multivariate Asymmetric MEM with Spillovers: The Practicality of Matrix Inequalities," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2017/14, Nov.
- Todd E Clark & Michael W McCracken & Elmar Mertens, 2017, "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," BIS Working Papers, Bank for International Settlements, number 667, Oct.
- Tim J. Boonen & Montserrat Guillén & Miguel Santolino, 2017, "Forecasting compositional risk allocations," Working Papers, Xarxa de Referència en Economia Aplicada (XREAP), number XREAP2017-04, Oct, revised Oct 2017.
- Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrian, 2017, "Score-driven non-linear multivariate dynamic location models," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa, number 25739, Oct.
- Thomas Goodwin & Jing Tian, 2017, "A State Space Approach to Evaluate Multi-horizon Forecasts," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2017-67, Nov.
- Jerry A. Hausman & Maxim L. Pinkovskiy, 2017, "Estimating dynamic panel models: backing out the Nickell Bias," Staff Reports, Federal Reserve Bank of New York, number 824, Oct.
- Pillay, Sagaren & de Beer, Joe, 2016, "Alignment of the Quarterly Financial Statistics to the Annual Financial Statistics data," MPRA Paper, University Library of Munich, Germany, number 82130, Sep.
- Ryan Chahrour & Kyle Jurado, 2017, "Recoverability," Boston College Working Papers in Economics, Boston College Department of Economics, number 935, Nov.
- Matyas Barczy & Mohamed Ben Alaya & Ahmed Kebaier & Gyula Pap, 2017, "Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations," Papers, arXiv.org, number 1711.02140, Nov, revised Feb 2019.
- Davy Paindaveine & Thomas Verdebout, 2017, "Detecting the Direction of a Signal on High-dimensional Spheres: Non-null and Le Cam Optimality Results," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2017-40, Nov.
- Allin Cottrell, 2017, "Random effects estimators for unbalanced panel data: a Monte Carlo analysis," gretl working papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 4, Sep.
- Renée Fry-McKibbin & Cody Yu-Ling Hsiao & Vance L. Martin, 2017, "Joint Tests of Contagion with Applications to Financial Crises," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2017-65, Oct.