Report NEP-ECM-2018-10-15

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.

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Other reports in NEP-ECM

The following items were announced in this report:

• Pedro H. C. Sant'Anna & Xiaojun Song & Qi Xu, 2018. "Covariate Distribution Balance via Propensity Scores," Papers 1810.01370, arXiv.org, revised Apr 2020.
• Junyan Liu & Sandeep Kumar & Daniel P. Palomar, 2018. "Parameter Estimation of Heavy-Tailed AR Model with Missing Data via Stochastic EM," Papers 1809.07203, arXiv.org, revised Feb 2019.
• Andres Ramirez-Hassan & Manuel Correa-Giraldo, 2018. "Focused econometric estimation for noisy and small datasets: A Bayesian Minimum Expected Loss estimator approach," Papers 1809.06996, arXiv.org.
• Svetlana Litvinova & Mervyn J Silvapulle, 2018. "Bootstrapping tail statistics: Tail quantile process, Hill estimator, and confidence intervals for highquantiles of heavy tailed distributions," Monash Econometrics and Business Statistics Working Papers 12/18, Monash University, Department of Econometrics and Business Statistics.
• Christoph Breunig & Peter Haan, 2018. "Nonparametric Regression with Selectively Missing Covariates," Papers 1810.00411, arXiv.org, revised Oct 2020.
• Mark Levene & Aleksejus Kononovicius, 2018. "Empirical Survival Jensen-Shannon Divergence as a Goodness-of-Fit Measure for Maximum Likelihood Estimation and Curve Fitting," Papers 1809.11052, arXiv.org, revised Jun 2019.
• Zacharias Psaradakis & Marian Vavra, 2018. "Bootstrap Assisted Tests of Symmetry for Dependent Data," Working and Discussion Papers WP 5/2018, Research Department, National Bank of Slovakia.
• Ben Deaner, 2018. "Proxy Controls and Panel Data," Papers 1810.00283, arXiv.org, revised Nov 2023.
• Götz, Thomas B. & Hauzenberger, Klemens, 2018. "Large mixed-frequency VARs with a parsimonious time-varying parameter structure," Discussion Papers 40/2018, Deutsche Bundesbank.
• Michail Tsagris, 2018. "Modelling Structural Zeros in Compositional Data," Working Papers 1803, University of Crete, Department of Economics.
• Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz, 2018. "Prediction Regions for Interval-valued Time Series," Working Papers 201817, University of California at Riverside, Department of Economics.
• Blazsek, Szabolcs & Licht, Adrian, 2018. "Seasonality Detection in Small Samples using Score-Driven Nonlinear Multivariate Dynamic Location Models," UC3M Working papers. Economics 27483, Universidad Carlos III de Madrid. Departamento de Economía.
• Aknouche, Abdelhakim & Demouche, Nacer, 2018. "Ergodicity conditions for a double mixed Poisson autoregression," MPRA Paper 88843, University Library of Munich, Germany.
• Joshua Chan & Arnaud Doucet & Roberto Leon-Gonzalez & Rodney W. Strachan, 2018. "Multivariate Stochastic Volatility with Co-Heteroscedasticity," GRIPS Discussion Papers 18-12, National Graduate Institute for Policy Studies.
• Yanfei Kang & Rob J Hyndman & Feng Li, 2018. "Efficient generation of time series with diverse and controllable characteristics," Monash Econometrics and Business Statistics Working Papers 15/18, Monash University, Department of Econometrics and Business Statistics.
• Mark Andor & Christopher F. Parmeter & Stephan Sommer, 2018. "Combining Uncertainty with Uncertainty to Get Certainty? Efficiency Analysis for Regulation Purposes," Working Papers 2018-02, University of Miami, Department of Economics.
• Nalan Basturk & Agnieszka Borowska & Stefano Grassi & Lennart Hoogerheide & Herman K. van Dijk, 2018. "Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies," Working Paper 2018/10, Norges Bank.
• Walter Beckert, 2018. "A Note on Specification Testing in Some Structural Regression Models," Birkbeck Working Papers in Economics and Finance 1809, Birkbeck, Department of Economics, Mathematics & Statistics.
• Carlos Carvalho & Jared D. Fisher & Davide Pettenuzzo, 2018. "Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models," Working Papers 123, Brandeis University, Department of Economics and International Business School.
• Blazsek, Szabolcs & Licht, Adrian, 2018. "Seasonal Quasi-Vector Autoregressive Models with an Application to Crude Oil Production and Economic Activity in the United States and Canada," UC3M Working papers. Economics 27484, Universidad Carlos III de Madrid. Departamento de Economía.
• Kiyohiko G. Nishimura & Seisho Sato & Akihiko Takahashi, 2018. "Term Structure Models During the Global Financial Crisis: A Parsimonious Text Mining Approach(Forthcoming in "Asia-Pacific Financial Markets". )," CARF F-Series CARF-F-446, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• Michail Tsagris & Abdulaziz Alenazi, 2018. "Discriminant Analysis with Spherical Data," Working Papers 1804, University of Crete, Department of Economics.
• Harvey, David I & Leybourne, Stephen J & Sollis, Robert & Taylor, AM Robert, 2018. "Detecting Regimes of Predictability in the U.S. Equity Premium," Essex Finance Centre Working Papers 23198, University of Essex, Essex Business School.