Report NEP-ECM-2018-02-26

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.

Other reports in NEP-ECM

The following items were announced in this report:

• Shanika L. Wickramasuriya & George Athanasopoulos & Rob J. Hyndman, 2017. "Optimal forecast reconciliation for hierarchical and grouped time series through trace minimization," Monash Econometrics and Business Statistics Working Papers 22/17, Monash University, Department of Econometrics and Business Statistics.
• Songnian Chen & Shakeeb Khan & Xun Tang, 2018. "Exclusion Restrictions in Dynamic Binary Choice Panel Data Models," Boston College Working Papers in Economics 947, Boston College Department of Economics.
• Zhichao Liu & Catherine Forbes & Heather Anderson, 2017. "Robust Bayesian exponentially tilted empirical likelihood method," Monash Econometrics and Business Statistics Working Papers 21/17, Monash University, Department of Econometrics and Business Statistics.
• Chaohua Dong & Jiti Gao & Bin Peng, 2018. "Varying-coefficient panel data models with partially observed factor structure," Monash Econometrics and Business Statistics Working Papers 1/18, Monash University, Department of Econometrics and Business Statistics.
• Akshay Vij & Rico Krueger, 2018. "Random taste heterogeneity in discrete choice models: Flexible nonparametric finite mixture distributions," Papers 1802.02299, arXiv.org.
• Florian Maire & Nial Friel & Pierre ALQUIER, 2017. "Informed Sub-Sampling MCMC: Approximate Bayesian Inference for Large Datasets," Working Papers 2017-40, Center for Research in Economics and Statistics.
• Shakeeb Khan & Denis Nekipelov & Justin Rao, 2018. "Measuring the Return to Online Advertising: Estimation and Inference of Endogenous Treatment Effects," Boston College Working Papers in Economics 946, Boston College Department of Economics.
• David T. Frazier & Worapree Maneesoonthorn & Gael M. Martin & Brendan P.M. McCabe, 2018. "Approximate Bayesian forecasting," Monash Econometrics and Business Statistics Working Papers 2/18, Monash University, Department of Econometrics and Business Statistics.
• Bodnar, Taras & Mazur, Stepan & Podgórski, Krzysztof & Tyrcha, Joanna, 2018. "Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory," Working Papers 2018:1, Örebro University, School of Business.
• Bauder, David & Bodnar, Taras & Mazur, Stepan & Okhrin, Yarema, 2018. "Bayesian inference for the tangent portfolio," Working Papers 2018:2, Örebro University, School of Business.
• Fabian Goessling, 2018. "Randomized Quasi Sequential Markov Chain Monte Carlo²," CQE Working Papers 7018, Center for Quantitative Economics (CQE), University of Muenster.
• Christophe Chesneau & Fabien Navarro & Oana Silvia Serea, 2017. "A note on the adaptive estimation of the di?erential entropy by wavelet methods," Working Papers 2017-69, Center for Research in Economics and Statistics.
• Onatski, A., 2018. "Asymptotics of the principal components estimator of large factor models with weak factors and i.i.d. Gaussian noise," Cambridge Working Papers in Economics 1808, Faculty of Economics, University of Cambridge.
• P. Gorgi & Siem Jan (S.J.) Koopman & R. Lit, 2018. "The analysis and forecasting of ATP tennis matches using a high-dimensional dynamic model," Tinbergen Institute Discussion Papers 18-009/III, Tinbergen Institute.
• Foroni, Claudia & Marcellino, Massimiliano & Stevanović, Dalibor, 2018. "Mixed frequency models with MA components," Discussion Papers 02/2018, Deutsche Bundesbank.
• Johnstone, I. M & Onatski, A., 2018. "Testing in High-Dimensional Spiked Models," Cambridge Working Papers in Economics 1806, Faculty of Economics, University of Cambridge.
• Fernández-Val, Iván & van Vuuren, Aico & Vella, Francis, 2018. "Nonseparable Sample Selection Models with Censored Selection Rules: An Application to Wage Decompositions," IZA Discussion Papers 11294, Institute of Labor Economics (IZA).
• Schüler, Yves S., 2018. "On the cyclical properties of Hamilton's regression filter," Discussion Papers 03/2018, Deutsche Bundesbank.
• Kohn, Robert & Nguyen, Nghia & Nott, David & Tran, Minh-Ngoc, 2017. "Random Effects Models with Deep Neural Network Basis Functions: Methodology and Computation," Working Papers 2123/17877, University of Sydney Business School, Discipline of Business Analytics.
• Guglielmo D'Amico & Ada Lika & Filippo Petroni, 2018. "Indexed Markov Chains for financial data: testing for the number of states of the index process," Papers 1802.01540, arXiv.org.
• Jonathan James, 2018. "Estimation of Factor Structured Covariance Mixed Logit Models," Working Papers 1802, California Polytechnic State University, Department of Economics.
• Pierre Alquier & James Ridgway, 2017. "Concentration of tempered posteriors and of their variational approximations," Working Papers 2017-39, Center for Research in Economics and Statistics.
• Daouia, Abdelaati & Florens, Jean-Pierre & Simar, Léopold, 2018. "Robustified expected maximum production frontiers," TSE Working Papers 17-890, Toulouse School of Economics (TSE).
• Till Weigt & Bernd Wilfling, 2018. "An approach to increasing forecast-combination accuracy through VAR error modeling," CQE Working Papers 6818, Center for Quantitative Economics (CQE), University of Muenster.
• Nicolas Chopin & Mathieu Gerber, 2017. "Sequential quasi-Monte Carlo: Introduction for Non-Experts, Dimension Reduction, Application to Partly Observed Diffusion Processes," Working Papers 2017-35, Center for Research in Economics and Statistics.
• Georgios Gioldasis & Antonio Musolesi & Michel Simioni, 2018. "Nonparametric estimation of international R&D spillovers," SEEDS Working Papers 0318, SEEDS, Sustainability Environmental Economics and Dynamics Studies, revised Mar 2018.
• Onatski, A. & Wang, C., 2018. "Extreme canonical correlations and high-dimensional cointegration analysis," Cambridge Working Papers in Economics 1805, Faculty of Economics, University of Cambridge.