Report NEP-ECM-2018-02-19

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:

• Filippeli, Thomai & Harrison, Richard & Theodoridis, Konstantinos, 2018, "DSGE-based Priors for BVARs & Quasi-Bayesian DSGE Estimation," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2018/5, Jan.
• Christophe Dutang & Yuri Goegebeur & Armelle Guillou, 2016, "Robust and bias-corrected estimation of the probability of extreme failure sets," Post-Print, HAL, number hal-01616187, Feb, DOI: 10.1007/s13171-015-0078-3.
• Mohitosh Kejriwal, 2017, "A Robust Sequential Procedure for Estimating the Number of Structural Changes in Persistence," Purdue University Economics Working Papers, Purdue University, Department of Economics, number 1303, Dec.
• Gerlach, Richard & Naimoli, Antonio & Storti, Giuseppe, 2018, "Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting," MPRA Paper, University Library of Munich, Germany, number 83893, Jan.
• Ioannis Ntzoufras & Claudia Tarantola & Monia Lupparelli, 2018, "Probability Based Independence Sampler for Bayesian Quantitative Learning in Graphical Log-Linear Marginal Models," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 149, Jan.
• Cerovecki, Clément & Francq, Christian & Hormann, Siegfried & Zakoian, Jean-Michel, 2018, "Functional GARCH models: the quasi-likelihood approach and its applications," MPRA Paper, University Library of Munich, Germany, number 83990, Jan.
• Gabriele Fiorentini & Enrique Sentana, 2018, "Consistent non-Gaussian pseudo maximum likelihood estimators," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2018_01, Feb.
• Darolles, Serges & Francq, Christian & Laurent, Sébastien, 2018, "Asymptotics of Cholesky GARCH models and time-varying conditional betas," MPRA Paper, University Library of Munich, Germany, number 83988, Jan.
• Christophe Chesneau & Salima El Kolei & Fabien Navarro, 2017, "Parametric estimation of hidden Markov models by least squares type estimation and deconvolution," Working Papers, Center for Research in Economics and Statistics, number 2017-66, 09.
• James H. Stock & Mark W. Watson, 2018, "Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments," NBER Working Papers, National Bureau of Economic Research, Inc, number 24216, Jan.
• Alexander Buchholz & Nicolas CHOPIN, 2017, "Improving approximate Bayesian computation via quasi Monte Carlo," Working Papers, Center for Research in Economics and Statistics, number 2017-37, Oct.
• Riccardo Lucchetti & Claudia Pigini, 2018, "Dynamic panel probit: finite-sample performance of alternative random-effects estimators," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 426, Feb.
• Denis Belomestny & Mathias Trabs & Alexandre Tsybakov, 2017, "Sparse covariance matrix estimation in high-dimensional deconvolution," Working Papers, Center for Research in Economics and Statistics, number 2017-25, Oct.
• Guillaume Lecué & Mathieu Lerasle, 2017, "Robust machine learning by median-of-means : theory and practice," Working Papers, Center for Research in Economics and Statistics, number 2017-32, Nov.
• Håvard Hungnes, 2018, "Encompassing tests for evaluating multi-step system forecasts invariant to linear transformations," Discussion Papers, Statistics Norway, Research Department, number 871, Jan.
• Léna CAREL & Pierre ALQUIER, 2017, "Simultaneous Dimension Reduction and Clustering via the NMF-EM Algorithm," Working Papers, Center for Research in Economics and Statistics, number 2017-38, Sep.
• Guillaume Lecué & Mathieu Lerasle, 2017, "Learning from MOM’s principles : Le Cam’s approach," Working Papers, Center for Research in Economics and Statistics, number 2017-28, Jul.
• Olga Klopp & Yu Lu & Alexandre B. Tsybakov & Harrison H. Zhou, 2017, "Structured Matrix Estimation and Completion," Working Papers, Center for Research in Economics and Statistics, number 2017-43, Sep.
• Pierre C. Bellec & Guillaume Lecué & Alexandre Tsybakov, 2017, "Towards the study of least squares Estimators with convex penalty," Working Papers, Center for Research in Economics and Statistics, number 2017-23, Jul.
• Olga Klopp & Yu Lu & Alexandre Tsybakov & Harrison H. Zhou, 2017, "Stuctured Matrix Estimation and Completion," Working Papers, Center for Research in Economics and Statistics, number 2017-24, Jul.
• Item repec:eea:boewps:wp2018-2 is not listed on IDEAS anymore

Report NEP-ECM-2018-02-19

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: