Report NEP-ECM-2018-01-22

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:

• Vanessa Berenguer Rico & Bent Nielsen, 2017, "Marked and Weighted Empirical Processes of Residuals with Applications to Robust Regressions," Economics Series Working Papers, University of Oxford, Department of Economics, number 841, Dec.
• Irene Hueter, 2016, "Latent Instrumental Variables: A Critical Review," Working Papers Series, Institute for New Economic Thinking, number 46, Jul, DOI: 10.2139/ssrn.2817701.
• Alexandre Belloni & Victor Chernozhukov & Abhishek Kaul, 2017, "Confidence bands for coefficients in high dimensional linear models with error-in-variables," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP22/17, May.
• Wuyi Wang & Liangjun Su, 2017, "Identifying Latent Group Structures in Nonlinear Panels," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 19-2017, Dec.
• Andreas Dzemski & Ryo Okui, 2017, "Confidence set for group membership," Papers, arXiv.org, number 1801.00332, Dec, revised Nov 2023.
• Rajarshi Mukherjee & Whitney K. Newey & James Robins, 2017, "Semiparametric efficient empirical higher order influence function estimators," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP30/17, Jun.
• Chambers, MJ, 2018, "Frequency Domain Estimation of Cointegrating Vectors with Mixed Frequency and Mixed Sample Data," Economics Discussion Papers, University of Essex, Department of Economics, number 21144, Jan.
• Gloria Gonzalez-Rivera & Wei Lin, 2017, "Extreme Returns and Intensity of Trading," Working Papers, University of California at Riverside, Department of Economics, number 201801, Dec.
• Yasumasa Matsuda & Yoshihiro Yajima, 2018, "Locally stationary spatio-temporal processes," DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University, number 72, Jan.
• Demian Pouzo & Zacharias Psaradakis & Martin Sola, 2016, "Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities," Papers, arXiv.org, number 1612.04932, Dec, revised Dec 2021.
• Gregor Kastner, 2016, "Sparse Bayesian time-varying covariance estimation in many dimensions," Papers, arXiv.org, number 1608.08468, Aug, revised Nov 2017.
• Jannis Kueck & Ye Luo & Martin Spindler & Zigan Wang, 2017, "Estimation and Inference of Treatment Effects with $L_2$-Boosting in High-Dimensional Settings," Papers, arXiv.org, number 1801.00364, Dec, revised Jul 2021.
• Patrick Kofod Mogensen, 2018, "Solving Dynamic Discrete Choice Models: Integrated or Expected Value Function?," Papers, arXiv.org, number 1801.03978, Jan.
• Andrew Chesher & Adam Rosen, 2017, "Incomplete English auction models with heterogeneity," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP27/17, May.
• Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2016, "Oracle Estimation of a Change Point in High Dimensional Quantile Regression," Papers, arXiv.org, number 1603.00235, Mar, revised Dec 2016.
• Michael Jansson & Demian Pouzo, 2017, "Towards a General Large Sample Theory for Regularized Estimators," Papers, arXiv.org, number 1712.07248, Dec, revised Jul 2020.
• Becker, Martin & Klößner, Stefan & Pfeifer, Gregor, 2017, "Cross-Validating Synthetic Controls," MPRA Paper, University Library of Munich, Germany, number 83679, Aug.
• Güriş, Burak, 2017, "A Flexible Fourier Form Nonlinear Unit Root Test Based on ESTAR Model," MPRA Paper, University Library of Munich, Germany, number 83472, Dec.
• Mishra, SK, 2017, "A New Kind of Two-Stage Least Squares Based on Shapley Value Regression," MPRA Paper, University Library of Munich, Germany, number 83534, Dec.
• Nikolay Gospodinov & Esfandiar Maasoumi, 2017, "General Aggregation of Misspecified Asset Pricing Models," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2017-10, Nov.
• Item repec:fpb:wpaper:1714 is not listed on IDEAS anymore

• Alexis Derumigny & Jean-David Fermanian, 2017, "About tests of the “simplifying” assumption for conditional copulas," Working Papers, Center for Research in Economics and Statistics, number 2017-02, Jan.
• Andrew Chesher, 2017, "Understanding the effect of measurement error on quantile regressions," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP19/17, May.
• Rahul Deb & Yuichi Kitamura & John K. -H. Quah & Jorg Stoye, 2018, "Revealed Price Preference: Theory and Empirical Analysis," Papers, arXiv.org, number 1801.02702, Jan, revised Apr 2021.
• Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2017, "Too Good to Be True? Fallacies in Evaluating Risk Factor Models," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2017-9, Nov.
• Sebastian Bayer & Timo Dimitriadis, 2018, "Regression Based Expected Shortfall Backtesting," Papers, arXiv.org, number 1801.04112, Jan, revised Sep 2019.
• Christian Gouriéroux & Alain Monfort, 2017, "Composite Indirect Inference with Application," Working Papers, Center for Research in Economics and Statistics, number 2017-07, Mar.
• Christiane J.S. Baumeister & James D. Hamilton, 2017, "Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks," NBER Working Papers, National Bureau of Economic Research, Inc, number 24167, Dec.

Report NEP-ECM-2018-01-22

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: