Report NEP-ECM-2018-12-24

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:

• David Harvey & Stephen Leybourne & Yang Zu, 2018, "Testing explosive bubbles with time-varying volatility," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 18/05, May.
• John Mullahy, 2018, "Treatment Effects with Multiple Outcomes," NBER Working Papers, National Bureau of Economic Research, Inc, number 25307, Nov.
• Tingting Cheng & Jiti Gao & Yayi Yan, 2018, "Regime switching panel data models with interative fixed effects," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 21/18.
• Marco Bee, 2018, "Estimating the wrapped stable distribution via indirect inference," DEM Working Papers, Department of Economics and Management, number 2018/11.
• Abdelhadi Akharif & Mohamed Fihri & Marc Hallin & Amal Mellouk, 2018, "Optimal Pseudo-Gaussian and Rank-Based Random Coefficient Detection in Multiple Regression," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2018-39, Dec.
• Peter C.B. Phillips & Yonghui Zhang & Xiaohu Wang, 2018, "HAR Testing for Spurious Regression in Trend," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2153, Dec.
• D.M. Nachane, , "Time-varying spectral analysis: Theory and applications," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2018-025.
• Fedotenkov, Igor, 2018, "A review of more than one hundred Pareto-tail index estimators," MPRA Paper, University Library of Munich, Germany, number 90072, Nov.
• Marco Bee & Julien Hambuckers & Luca Trapin, 2018, "Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach," DEM Working Papers, Department of Economics and Management, number 2018/08.
• Luigi Grossi & Fany Nan, 2018, "The influence of renewables on electricity price forecasting: a robust approach," Working Papers, Institut d'Economia de Barcelona (IEB), number 2018/10.
• Gil-Alana, Luis A. & Yaya, OlaOluwa S, 2018, "Testing Fractional Unit Roots with Non-linear Smooth Break Approximations using Fourier functions," MPRA Paper, University Library of Munich, Germany, number 90516, Nov.
• Peter C.B. Phillips, 2018, "Dynamic Panel Modeling of Climate Change," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2150, Dec.
• Lorenzo Trapani, 2018, "Testing for strict stationarity in a random coefficient autoregressive model," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 18/02, Feb.
• Carlo Fezzi & Luca Mosetti, 2018, "Size matters: Estimation sample length and electricity price forecasting accuracy," DEM Working Papers, Department of Economics and Management, number 2018/10.
• Kukacka, Jiri & Jang, Tae-Seok & Sacht, Stephen, 2018, "On the estimation of behavioral macroeconomic models via simulated maximum likelihood," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2018-11.
• Antonio Pacifico, 2018, "Panel Bayesian VAR Modeling for Policy and Forecasting when dealing with confounding and latent effects," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI RP 2018/15, Dec.
• Tan, Fei, 2018, "A Frequency-Domain Approach to Dynamic Macroeconomic Models," MPRA Paper, University Library of Munich, Germany, number 90487, Oct.
• Tue Gorgens & Allan H. Würtz, 2018, "Threshold regression with endogeneity for short panels," ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics, number 2018-665, Apr.
• Pablo Montero-Manso & George Athanasopoulos & Rob J Hyndman & Thiyanga S Talagala, 2018, "FFORMA: Feature-based forecast model averaging," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 19/18.
• Tingting Cheng & Jiti Gao & Yayi Yan, 2018, "Regime switching in the presence of endogeneity," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 9/18.
• Lajos Horvath & Lorenzo Trapani, 2018, "Testing for randomness in a random coefficient autoregression model," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 18/03, Mar.
• Loann D. Desboulets & Costin Protopopescu, 2018, "Local Linear Dependence Measure for Functionally Correlated Variables," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1853, Nov.
• Delgado, Miguel A. & García Suaza, Andrés Felipe, 2018, "Counterfactual Analysis Using Censored Duration Data," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 27821, Dec.
• Mario Forni & Luca Gambetti & Luca Sala, 2018, "Fundamentalness, Granger Causality and Aggregation," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi", number 139, Nov.
• Qihui Chen & Zheng Fang, 2018, "Improved Inference on the Rank of a Matrix," Papers, arXiv.org, number 1812.02337, Dec, revised Mar 2019.
• Christopher J. Ruhm, 2018, "Shackling the Identification Police?," NBER Working Papers, National Bureau of Economic Research, Inc, number 25320, Nov.
• Henry, Miguel & Mittelhammer, Ron & Loomis, John, 2018, "An Information-Theoretic Approach to Estimating Willingness To Pay for River Recreation Site Attributes," MPRA Paper, University Library of Munich, Germany, number 89842, Jan.
• Sung Jae Jun & Sokbae Lee, 2018, "Identifying the Effect of Persuasion," Papers, arXiv.org, number 1812.02276, Dec, revised Nov 2022.
• Loann D. Desboulets, 2017, "Co-movements in Market Prices and Fundamentals: A Semiparametric Multivariate GARCH Approach," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1851, Oct.
• Loann D. Desboulets, 2018, "A Review on Variable Selection in Regression Analysis," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1852, May.
• Gunnhildur H. Steinbakk & Alex Lenkoski & Ragnar Bang Huseby & Anders L{o}land & Tor Arne {O}ig{aa}rd, 2018, "Using published bid/ask curves to error dress spot electricity price forecasts," Papers, arXiv.org, number 1812.02433, Dec.
• Deepankar Basu, 2018, "Bias of OLS Estimators due to Exclusion of Relevant Variables and Inclusion of Irrelevant Variables," UMASS Amherst Economics Working Papers, University of Massachusetts Amherst, Department of Economics, number 2018-19.