Report NEP-ECM-2017-12-18

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.

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Other reports in NEP-ECM

The following items were announced in this report:

• Nadine McCloud & Christopher F. Parmeter, 2017, "Calculating Degrees of Freedom in Multivariate Local Polynomial Regression," Working Papers, University of Miami, Department of Economics, number 2017-14, Nov.
• Daniel J. Henderson & Christopher F. Parmeter & Liangjun Su, 2017, "M-Estimation of a Nonparametric Threshold Regression Model," Working Papers, University of Miami, Department of Economics, number 2017-15, Oct.
• Manuel Gebetsberger & Jakob W. Messner & Georg J. Mayr & Achim Zeileis, 2017, "Estimation methods for non-homogeneous regression models: Minimum continuous ranked probability score vs. maximum likelihood," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2017-23, Nov.
• Matias D. Cattaneo & Michael Jansson & Kenichi Nagasawa, 2017, "Bootstrap-Based Inference for Cube Root Asymptotics," Papers, arXiv.org, number 1704.08066, Apr, revised May 2020.
• Matias D. Cattaneo & Xinwei Ma & Yusufcan Masatlioglu & Elchin Suleymanov, 2017, "A Random Attention Model," Papers, arXiv.org, number 1712.03448, Dec, revised Aug 2019.
• Bruno Feunou & Cédric Okou, 2017, "Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models," Staff Working Papers, Bank of Canada, number 17-55, DOI: 10.34989/swp-2017-55.
• Andreas Tryphonides, 2017, "Set Identified Dynamic Economies and Robustness to Misspecification," Papers, arXiv.org, number 1712.03675, Dec, revised Jan 2018.
• Bucci, Andrea, 2017, "Forecasting realized volatility: a review," MPRA Paper, University Library of Munich, Germany, number 83232, Dec.
• Orea, Luis & Álvarez, Inmaculada C., 2017, "A new stochastic frontier model with cross-sectional effects in both noise and inefficiency terms," Efficiency Series Papers, University of Oviedo, Department of Economics, Oviedo Efficiency Group (OEG), number 2017/04.
• Andrei A. Sirchenko, 2017, "An endogenous regime-switching model of ordered choice with an application to federal funds rate target," 2017 Papers, Job Market Papers, number psi424, Nov.
• Javed, Farrukh & Mazur, Stepan & Ngailo, Edward, 2017, "Higher order moments of the estimated tangency portfolio weights," Working Papers, Örebro University, School of Business, number 2017:10, Dec.
• Kleijnen, J.P.C., 2017, "Kriging : Methods and Applications," Discussion Paper, Tilburg University, Center for Economic Research, number 2017-047.
• Antonio Cosma & Andreï Kostyrka & Gautam Tripathi, 2017, "Inference in Conditional Moment Restriction Models when there is Selection due to Stratification," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 17-20.
• Catherine Doz & Anna Petronevich, 2017, "On the consistency of the two-step estimates of the MS-DFM: a Monte Carlo study," PSE Working Papers, HAL, number halshs-01592863, Sep.
• Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin, 2017, "How to Estimate Beta?," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-617, Nov.
• Jos'e Igor Morlanes, 2017, "Mixed Models as an Alternative to Farima," Papers, arXiv.org, number 1712.03044, Dec.