Report NEP-ECM-2018-11-05

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:

• Myrto Kalouptsidi & Paul T. Scott & Eduardo Souza-Rodrigues, 2018. "Linear IV Regression Estimators for Structural Dynamic Discrete Choice Models," NBER Working Papers 25134, National Bureau of Economic Research, Inc.
• Chang, Jinyuan & Guo, Bin & Yao, Qiwei, 2018. "Principal component analysis for second-order stationary vector time series," LSE Research Online Documents on Economics 84106, London School of Economics and Political Science, LSE Library.
• Robin C. Sickles & Wonho Song & Valentin Zelenyuk, 2018. "Econometric Analysis of Productivity: Theory and Implementation in R," CEPA Working Papers Series WP082018, School of Economics, University of Queensland, Australia.
• Jia Chen & Degui Li & Oliver Linton, 2018. "A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables," Discussion Papers 18/14, Department of Economics, University of York.
• JoonHwan Cho & Thomas M. Russell, 2018. "Simple Inference on Functionals of Set-Identified Parameters Defined by Linear Moments," Papers 1810.03180, arXiv.org, revised May 2023.
• Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2018. "Factor-Driven Two-Regime Regression," Department of Economics Working Papers 2018-14, McMaster University.
• Jia Chen, 2018. "Estimating Latent Group Structure in Time-Varying Coefficient Panel Data Models," Discussion Papers 18/15, Department of Economics, University of York.
• Xi Chen & Weidong Liu & Yichen Zhang, 2018. "Quantile Regression Under Memory Constraint," Papers 1810.08264, arXiv.org.
• Olivier Ledoit & Michael Wolf, 2018. "Robust performance hypothesis testing with smooth functions of population moments," ECON - Working Papers 305, Department of Economics - University of Zurich.
• Elvin Isufi & Andreas Loukas & Nathanael Perraudin & Geert Leus, 2018. "Forecasting Time Series with VARMA Recursions on Graphs," Papers 1810.08581, arXiv.org, revised Jul 2019.
• Szabolcs Majoros & Andr'as Zempl'eni, 2018. "Multivariate stable distributions and their applications for modelling cryptocurrency-returns," Papers 1810.09521, arXiv.org.
• Tadao Hoshino & Takahide Yanagi, 2018. "Treatment Effect Models with Strategic Interaction in Treatment Decisions," Papers 1810.08350, arXiv.org, revised Feb 2023.
• Hannah Druckenmiller & Solomon Hsiang, 2018. "Accounting for Unobservable Heterogeneity in Cross Section Using Spatial First Differences," NBER Working Papers 25177, National Bureau of Economic Research, Inc.
• Xinwei Ma & Jingshen Wang, 2018. "Robust Inference Using Inverse Probability Weighting," Papers 1810.11397, arXiv.org, revised May 2019.
• Arturo Lamadrid-Contreras & N.R. Ramírez-Rondán, 2018. "Panel Models with Two Threshold Variables: The Case of Financial Constraints," Working Papers 128, Peruvian Economic Association.
• Tzougas, George & Karlis, Dimitris & Frangos, Nicholas, 2017. "Confidence intervals of the premiums of optimal Bonus Malus Systems," LSE Research Online Documents on Economics 70926, London School of Economics and Political Science, LSE Library.
• Manganelli, Simone, 2018. "Selecting models with judgment," Working Paper Series 2188, European Central Bank.
• Ollech, Daniel, 2018. "Seasonal adjustment of daily time series," Discussion Papers 41/2018, Deutsche Bundesbank.
• Timothy B. Armstrong, 2018. "Adaptation Bounds for Confidence Bands under Self-Similarity," Cowles Foundation Discussion Papers 2146, Cowles Foundation for Research in Economics, Yale University.
• Ji Hyung Lee & Zhentao Shi & Zhan Gao, 2018. "On LASSO for Predictive Regression," Papers 1810.03140, arXiv.org, revised Feb 2021.
• Jinook Jeong & Hyunwoo Lee, 2018. "An Econometric Identification of Abnormally Low Bids in Procurement Market: Discriminant Analysis," Working papers 2018rwp-129, Yonsei University, Yonsei Economics Research Institute.
• Léopold Simar & Valentin Zelenyuk, 2018. "Improving Finite Sample Approximation by Central Limit Theorems for DEA and FDH efficiency scores," CEPA Working Papers Series WP072018, School of Economics, University of Queensland, Australia.