Report NEP-ECM-2018-07-23

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:

• Paul, Satya & Shankar, Sriram, 2018, "Modelling Efficiency Effects in a True Fixed Effects Stochastic Frontier," MPRA Paper, University Library of Munich, Germany, number 87437, Jun.
• Florian Huber & Gregor Kastner & Michael Pfarrhofer, 2018, "Introducing shrinkage in heavy-tailed state space models to predict equity excess returns," Papers, arXiv.org, number 1805.12217, May, revised Jul 2019.
• St'ephane Bonhomme & Martin Weidner, 2018, "Minimizing Sensitivity to Model Misspecification," Papers, arXiv.org, number 1807.02161, Jul, revised Oct 2021.
• Chia-Lin Chang & Michael McAleer, 2018, "The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2018-08, Mar.
• Badi Baltagi & Alain Pirotte & Zhenlin Yang, 2018, "Diagnostic Tests for Homoskedasticity in Spatial Cross-Sectional or Panel Models," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 12-2018, Jul.
• Jean-Bernard Chatelain & Kirsten Ralf, 2021, "Inference on time-invariant variables using panel data: a pretest estimator," Working Papers, HAL, number halshs-01719835, Jan.
• Chao Wang & Richard Gerlach & Qian Chen, 2018, "A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework," Papers, arXiv.org, number 1807.02422, Jul, revised Jan 2021.
• Joel L. Horowitz & Lars Nesheim, 2018, "Using penalized likelihood to select parameters in a random coefficients multinomial logit model," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP29/18, Apr.
• Andriy Norets & Justinas Pelenis, 2018, "Adaptive Bayesian Estimation of Mixed Discrete-Continuous Distributions under Smoothness and Sparsity," Papers, arXiv.org, number 1806.07484, Jun.
• Korobilis, Dimitris, 2018, "Machine Learning Macroeconometrics A Primer," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 22666, Jul.
• Toru Kitagawa & Martin Nybom & Jan Stuhler, 2018, "Measurement error and rank correlations," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP28/18, Apr.
• Cinzia Daraio & Leopold Simar & Paul W. Wilson, 2018, "Fast and Efficient Computation of Directional Distance Estimators," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2018/21, Jul.
• Korobilis, Dimitris & Koop, Gary, 2018, "Variational Bayes inference in high-dimensional time-varying parameter models," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 22665, Jul.
• Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2018, "Inference on winners," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP31/18, May.
• Yingyao Hu & Ruli Xiao, 2018, "Global estimation of finite mixture and misclassi fication models with an application to multiple equilibria," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP32/18, May.
• Markus Pelger & Ruoxuan Xiong, 2018, "State-Varying Factor Models of Large Dimensions," Papers, arXiv.org, number 1807.02248, Jul, revised Oct 2020.
• Dominique Guégan & Matteo Iacopini, 2018, "Nonparameteric forecasting of multivariate probability density functions," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 18012, Mar.
• Michael Pfaffermayr, 2018, "Trade creation and trade diversion of regional trade agreements revisited: A constrained panel pseudo-maximum likelihood approach," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2018-10, Jul.
• Rodrigo Ad~ao & Michal Koles'ar & Eduardo Morales, 2018, "Shift-Share Designs: Theory and Inference," Papers, arXiv.org, number 1806.07928, Jun, revised Aug 2019.
• Federico A. Bugni & Ivan A. Canay, 2018, "Testing continuity of a density via g -order statistics in the regression discontinuity design," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP20/18, Mar.
• Denis Chetverikov & Daniel Wilhelm & Dongwoo Kim, 2018, "An adaptive test of stochastic monotonicity," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP24/18, Apr.
• Ivan A. Canay & Andres Santos & Azeem M. Shaikh, 2018, "The wild bootstrap with a "small" number of "large" clusters," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP27/18, Apr.

Report NEP-ECM-2018-07-23

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: