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Report NEP-ECM-2018-01-15
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:
- Dominik Bertsche & Robin Braun, 2017, "Identification of Structural Vector Autoregressions by Stochastic Volatility," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2017-11, Dec.
- Georgiev, I & Harvey, DI & Leybourne, SJ & Taylor, AMR, 2018, "A Bootstrap Stationarity Test for Predictive Regression Invalidity," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 21006, Jan.
- Dongwoo Kim & Daniel Wilhelm, 2017, "Powerful t-Tests in the presence of nonclassical measurement error," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP57/17, Dec.
- Yong Li & Xiaobin Liu & Jun Yu & Tao Zeng, 2018, "A New Wald Test for Hypothesis Testing Based on MCMC outputs," Papers, arXiv.org, number 1801.00973, Jan.
- Badi H. Baltagia & Georges Bresson & Anoop Chaturvedi & Guy Lacroix, 2017, "Robust linear static panel data models using e-contamination," Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques, number 1706.
- Johan Dahlin & Adrian Wills & Brett Ninness, 2018, "Constructing Metropolis-Hastings proposals using damped BFGS updates," Papers, arXiv.org, number 1801.01243, Jan, revised May 2018.
- Whitney K. Newey & James M. Robins, 2017, "Cross-fitting and fast remainder rates for semiparametric estimation," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP41/17, Oct.
- Muhammad Jehangir Amjad & Devavrat Shah & Dennis Shen, 2017, "Robust Synthetic Control," Papers, arXiv.org, number 1711.06940, Nov.
- Gery Geenens & Richard Dunn, 2017, "A nonparametric copula approach to conditional Value-at-Risk," Papers, arXiv.org, number 1712.05527, Dec, revised Oct 2019.
- Maria Dimakopoulou & Zhengyuan Zhou & Susan Athey & Guido Imbens, 2017, "Estimation Considerations in Contextual Bandits," Papers, arXiv.org, number 1711.07077, Nov, revised Dec 2018.
- Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2017, "Statistical Inference for Independent Component Analysis: Application to Structural VAR Models," Working Papers, Center for Research in Economics and Statistics, number 2017-09, Jan.
- Federico A. Bugni & Ivan A. Canay & Azeem M. Shaikh, 2017, "Inference under covariate-adaptive randomization with multiple treatments," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP34/17, Aug.
- Kunz, Johannes S. & Staub, Kevin E. & Winkelmann, Rainer, 2017, "Estimating Fixed Effects: Perfect Prediction and Bias in Binary Response Panel Models, with an Application to the Hospital Readmissions Reduction Program," IZA Discussion Papers, IZA Network @ LISER, number 11182, Nov.
- Vincent Boucher, 2017, "The Estimation of Network Formation Games with Positive Spillovers," Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques, number 1710.
- Taisuke Otsu & Chen Qiu, 2018, "Information theoretic approach to high dimensional multiplicative models: Stochastic discount factor and treatment effect," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 595, Jan.
- Irene Botosaru & Chris Muris, 2017, "Binarization for panel models with fixed effects," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP31/17, Jun.
- Jakub Olejnik & Alicja Olejnik, 2017, "Improved asymptotic analysis of Gaussian QML estimators in spatial models," Lodz Economics Working Papers, University of Lodz, Faculty of Economics and Sociology, number 9/2017, Dec.
- Roger Koenker, 2017, "Bayesian deconvolution: an R vinaigrette," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP38/17, Aug.
- Alexandre Belloni & Mingli Chen & Victor Chernozhukov, 2017, "Quantile graphical models: prediction and conditional independence with applications to systemic risk," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP54/17, Dec.
- Joel L. Horowitz, 2017, "Non-asymptotic inference in instrumental variables estimation," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP46/17, Oct.
- Guy Melard & Rajae Azrak, 2017, "Asymptotic Properties of Conditional Least-squares Estimators for Array Time Series," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2017-49, Dec.
- Federico Crudu & Giovanni Mellace & Zsolt Sandor, 2017, "Inference in instrumental variables models with heteroskedasticity and many instruments," Department of Economics University of Siena, Department of Economics, University of Siena, number 761, Nov.
- Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2017, "Identification and Estimation in Non-Fundamental Structural VARMA Models," Working Papers, Center for Research in Economics and Statistics, number 2017-08, May.
- Le-Yu Chen & Sokbae (Simon) Lee, 2017, "Exact computation of GMM estimators for instrumental variable quantile regression models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP52/17, Nov.
- Le-Yu Chen & Sokbae (Simon) Lee, 2017, "Best subset binary prediction," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP50/17, Nov.
- Kalouptsidi, Myrto & Souza-Rodrigues, Eduardo & Scott, Paul, 2017, "Identification of Counterfactuals in Dynamic Discrete Choice Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12470, Nov.
- Roger Koenker, 2017, "Quantile regression 40 years on," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP36/17, Aug.