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, or Bluesky.

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, Monash University, Department of Econometrics and Business Statistics, number 22/17.
• Songnian Chen & Shakeeb Khan & Xun Tang, 2018, "Exclusion Restrictions in Dynamic Binary Choice Panel Data Models," Boston College Working Papers in Economics, Boston College Department of Economics, number 947, Feb.
• Zhichao Liu & Catherine Forbes & Heather Anderson, 2017, "Robust Bayesian exponentially tilted empirical likelihood method," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 21/17.
• Chaohua Dong & Jiti Gao & Bin Peng, 2018, "Varying-coefficient panel data models with partially observed factor structure," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 1/18.
• Akshay Vij & Rico Krueger, 2018, "Random taste heterogeneity in discrete choice models: Flexible nonparametric finite mixture distributions," Papers, arXiv.org, number 1802.02299, Feb.
• Florian Maire & Nial Friel & Pierre ALQUIER, 2017, "Informed Sub-Sampling MCMC: Approximate Bayesian Inference for Large Datasets," Working Papers, Center for Research in Economics and Statistics, number 2017-40, Jun.
• 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, Boston College Department of Economics, number 946, Feb.
• David T. Frazier & Worapree Maneesoonthorn & Gael M. Martin & Brendan P.M. McCabe, 2018, "Approximate Bayesian forecasting," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/18.
• 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, Örebro University, School of Business, number 2018:1, Feb.
• Bauder, David & Bodnar, Taras & Mazur, Stepan & Okhrin, Yarema, 2018, "Bayesian inference for the tangent portfolio," Working Papers, Örebro University, School of Business, number 2018:2, Feb.
• Fabian Goessling, 2018, "Randomized Quasi Sequential Markov Chain Monte Carlo²," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 7018, Feb.
• Christophe Chesneau & Fabien Navarro & Oana Silvia Serea, 2017, "A note on the adaptive estimation of the di?erential entropy by wavelet methods," Working Papers, Center for Research in Economics and Statistics, number 2017-69, Feb.
• 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, Faculty of Economics, University of Cambridge, number 1808, Jan.
• 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, Tinbergen Institute, number 18-009/III, Jan.
• Foroni, Claudia & Marcellino, Massimiliano & Stevanović, Dalibor, 2018, "Mixed frequency models with MA components," Discussion Papers, Deutsche Bundesbank, number 02/2018.
• Johnstone, I. M & Onatski, A., 2018, "Testing in High-Dimensional Spiked Models," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1806, Jan.
• 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, IZA Network @ LISER, number 11294, Jan.
• Schüler, Yves S., 2018, "On the cyclical properties of Hamilton's regression filter," Discussion Papers, Deutsche Bundesbank, number 03/2018.
• Kohn, Robert & Nguyen, Nghia & Nott, David & Tran, Minh-Ngoc, 2017, "Random Effects Models with Deep Neural Network Basis Functions: Methodology and Computation," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2123/17877.
• 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, arXiv.org, number 1802.01540, Feb.
• Jonathan James, 2018, "Estimation of Factor Structured Covariance Mixed Logit Models," Working Papers, California Polytechnic State University, Department of Economics, number 1802.
• Pierre Alquier & James Ridgway, 2017, "Concentration of tempered posteriors and of their variational approximations," Working Papers, Center for Research in Economics and Statistics, number 2017-39, Jun.
• Daouia, Abdelaati & Florens, Jean-Pierre & Simar, Léopold, 2018, "Robustified expected maximum production frontiers," TSE Working Papers, Toulouse School of Economics (TSE), number 17-890, Feb.
• Till Weigt & Bernd Wilfling, 2018, "An approach to increasing forecast-combination accuracy through VAR error modeling," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 6818, Feb.
• Nicolas Chopin & Mathieu Gerber, 2017, "Sequential quasi-Monte Carlo: Introduction for Non-Experts, Dimension Reduction, Application to Partly Observed Diffusion Processes," Working Papers, Center for Research in Economics and Statistics, number 2017-35, Jun.
• Georgios Gioldasis & Antonio Musolesi & Michel Simioni, 2018, "Nonparametric estimation of international R&D spillovers," SEEDS Working Papers, SEEDS, Sustainability Environmental Economics and Dynamics Studies, number 0318, Mar, revised Mar 2018.
• Onatski, A. & Wang, C., 2018, "Extreme canonical correlations and high-dimensional cointegration analysis," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1805, Jan.

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, or Bluesky.

Other reports in NEP-ECM

The following items were announced in this report: