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Report NEP-ECM-2017-12-03
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:
- Lux, Thomas, 2017, "Estimation of agent-based models using sequential Monte Carlo methods," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2017-07.
- Burak Eroglu & Kemal Caglar Gogebakan & Mirza Trokic, 2017, "Fractional Seasonal Variance Ratio Unit Root Tests," Working Papers, The Center for Financial Studies (CEFIS), Istanbul Bilgi University, number 1707, Nov.
- Frölich, Markus & Huber, Martin, 2017, "Including covariates in the regression discontinuity design," FSES Working Papers, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland, number 489, Nov.
- Dou, Baojun & Parrella, Maria Lucia & Yao, Qiwei, 2016, "Generalized Yule–Walker estimation for spatio-temporal models with unknown diagonal coefficients," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 67151, Oct.
- Tue Gorgens & Sanghyeok Lee, 2017, "Estimation of dynamic models of recurring events with censored data," ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics, number 2017-655, Nov.
- Güriş, Burak, 2017, "A New Nonlinear Unit Root Test with Fourier Function," MPRA Paper, University Library of Munich, Germany, number 82260, Oct.
- Susan Athey & Mohsen Bayati & Nikolay Doudchenko & Guido Imbens & Khashayar Khosravi, 2017, "Matrix Completion Methods for Causal Panel Data Models," Papers, arXiv.org, number 1710.10251, Oct, revised Apr 2022.
- Li, Dong & Tong, Howell, 2016, "Nested sub-sample search algorithm for estimation of threshold models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 68880, Oct.
- Mariti, Massimo B. & Gonçalves Mazzeu, Joao Henrique & Lopes Moreira da Veiga, María Helena, 2017, "Modeling and forecasting the oil volatility index," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 25985, Nov.
- Demetrescu, Matei & Leppin, Julian Sebastian & Reitz, Stefan, 2017, "Homogenous vs. heterogenous transition functions in smooth transition regressions: A LM-type test," Kiel Working Papers, Kiel Institute for the World Economy, number 2094.
- Lester Mackey & Vasilis Syrgkanis & Ilias Zadik, 2017, "Orthogonal Machine Learning: Power and Limitations," Papers, arXiv.org, number 1711.00342, Nov, revised Aug 2018.
- Vojnovic, Milan & Yun, Seyoung, 2016, "Parameter estimation for generalized thurstone choice models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 85703, Jun.
- Michael W. McCracken & Joseph McGillicuddy, 2017, "An Empirical Investigation of Direct and Iterated Multistep Conditional Forecasts," Working Papers, Federal Reserve Bank of St. Louis, number 2017-40, Nov, DOI: 10.20955/wp.2017.040.
- Burak Eroglu, 2017, "Wavelet Variance Ratio Test And Wavestrapping For The Determination Of The Cointegration Rank," Working Papers, The Center for Financial Studies (CEFIS), Istanbul Bilgi University, number 1706, Nov.
- Francisco (F.) Blasques & Andre (A.) Lucas & Andries van Vlodrop, 2017, "Finite Sample Optimality of Score-Driven Volatility Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-111/III, Nov.
- Robinson, Peter & Taylor, Luke, 2017, "Adaptive estimation in multiple time series with independent component errors," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 68345, Feb.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2017, "Priors for the long run," Staff Reports, Federal Reserve Bank of New York, number 832, Nov.
- Wayne Yuan Gao, 2017, "Nonparametric Identification in Index Models of Link Formation," Papers, arXiv.org, number 1710.11230, Oct, revised May 2018.
- Yuriy Gorodnichenko & Byoungchan Lee, 2017, "A Note on Variance Decomposition with Local Projections," NBER Working Papers, National Bureau of Economic Research, Inc, number 23998, Nov.