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.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

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, arXiv.org, number 1810.01370, Oct, 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, arXiv.org, number 1809.07203, Sep, 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, arXiv.org, number 1809.06996, Sep.
• 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, Monash University, Department of Econometrics and Business Statistics, number 12/18.
• Christoph Breunig & Peter Haan, 2018, "Nonparametric Regression with Selectively Missing Covariates," Papers, arXiv.org, number 1810.00411, Sep, 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, arXiv.org, number 1809.11052, Sep, revised Jun 2019.
• Zacharias Psaradakis & Marian Vavra, 2018, "Bootstrap Assisted Tests of Symmetry for Dependent Data," Working and Discussion Papers, Research Department, National Bank of Slovakia, number WP 5/2018, Oct.
• Ben Deaner, 2018, "Proxy Controls and Panel Data," Papers, arXiv.org, number 1810.00283, Sep, revised Nov 2023.
• Götz, Thomas B. & Hauzenberger, Klemens, 2018, "Large mixed-frequency VARs with a parsimonious time-varying parameter structure," Discussion Papers, Deutsche Bundesbank, number 40/2018.
• Michail Tsagris, 2018, "Modelling Structural Zeros in Compositional Data," Working Papers, University of Crete, Department of Economics, number 1803, Oct.
• Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz, 2018, "Prediction Regions for Interval-valued Time Series," Working Papers, University of California at Riverside, Department of Economics, number 201817, Oct.
• Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrian, 2018, "Seasonality Detection in Small Samples using Score-Driven Nonlinear Multivariate Dynamic Location Models," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 27483, Sep.
• Aknouche, Abdelhakim & Demouche, Nacer, 2018, "Ergodicity conditions for a double mixed Poisson autoregression," MPRA Paper, University Library of Munich, Germany, number 88843, Mar.
• Joshua Chan & Arnaud Doucet & Roberto Leon-Gonzalez & Rodney W. Strachan, 2018, "Multivariate Stochastic Volatility with Co-Heteroscedasticity," GRIPS Discussion Papers, National Graduate Institute for Policy Studies, number 18-12, Oct.
• 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, Monash University, Department of Econometrics and Business Statistics, number 15/18.
• Mark Andor & Christopher F. Parmeter & Stephan Sommer, 2018, "Combining Uncertainty with Uncertainty to Get Certainty? Efficiency Analysis for Regulation Purposes," Working Papers, University of Miami, Department of Economics, number 2018-02, Sep.
• 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, Norges Bank, number 2018/10, Oct.
• Walter Beckert, 2018, "A Note on Specification Testing in Some Structural Regression Models," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 1809, Aug.
• Carlos Carvalho & Jared D. Fisher & Davide Pettenuzzo, 2018, "Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models," Working Papers, Brandeis University, Department of Economics and International Business School, number 123, Sep.
• Blazsek, Szabolcs & Escribano, Álvaro & 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, Universidad Carlos III de Madrid. Departamento de Economía, number 27484, Sep.
• 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, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-446, Oct.
• Michail Tsagris & Abdulaziz Alenazi, 2018, "Discriminant Analysis with Spherical Data," Working Papers, University of Crete, Department of Economics, number 1804, Oct.
• 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, University of Essex, Essex Business School, number 23198, May.

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.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-ECM

The following items were announced in this report: