Report NEP-ECM-2019-01-07

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:

• Otilia Boldea & Adriana Cornea-Madeira & Alastair R. Hall, 2018, "Bootstrapping Structural Change Tests," Papers, arXiv.org, number 1811.04125, Nov.
• Daniel J. Lewis, 2018, "Robust inference in models identified via heteroskedasticity," Staff Reports, Federal Reserve Bank of New York, number 876, Dec.
• Pedro H. C. Sant'Anna & Jun B. Zhao, 2018, "Doubly Robust Difference-in-Differences Estimators," Papers, arXiv.org, number 1812.01723, Nov, revised May 2020.
• Tian, Maoshan & Dixon, Huw David, 2018, "The Cross-sectional Distribution of Completed Lifetimes: Some New Inferences from Survival Analysis," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2018/27, Dec.
• Sébastien Laurent & Shuping Shi, 2018, "Volatility Estimation and Jump Detection for drift-diffusion Processes," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1843, Dec.
• Antonio Fidalgo, 2018, "Testing for normality in truncated anthropometric samples," Working Papers, European Historical Economics Society (EHES), number 0142, Dec.
• Lidan Tan & Khai X. Chiong & Hyungsik Roger Moon, 2018, "Estimation of High-Dimensional Seemingly Unrelated Regression Models," Papers, arXiv.org, number 1811.05567, Nov.
• Stefan Richter & Weining Wang & Wei Biao Wu, 2018, "A supreme test for periodic explosive GARCH," Papers, arXiv.org, number 1812.03475, Dec.
• Yiu Lim Lui & Weilin Xiao & Jun Yu, 2018, "Mild-explosive and Local-to-mild-explosive Autoregressions with Serially Correlated Errors," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 22-2018, Dec.
• Eli Ben-Michael & Avi Feller & Jesse Rothstein, 2018, "The Augmented Synthetic Control Method," Papers, arXiv.org, number 1811.04170, Nov, revised Jul 2020.
• Tsionas, Efthymios G. & Tran, Kien C. & Michaelides, Panayotis G., 2017, "Bayesian inference in threshold stochastic frontier models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 86848, Dec.
• Andries C. van Vlodrop & Andre (A.) Lucas, 2018, "Estimation Risk and Shrinkage in Vast-Dimensional Fundamental Factor Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 18-099/III, Dec.
• Damian Jelito & Marcin Pitera, 2018, "New fat-tail normality test based on conditional second moments with applications to finance," Papers, arXiv.org, number 1811.05464, Nov, revised Apr 2020.
• Kolokolov, Aleksey & Livieri, Giulia & Pirino, Davide, 2018, "Statistical inferences for price staleness," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 236, DOI: 10.2139/ssrn.3283628.
• Luisa Corrado & Melvyn Weeks & Thanasis Stengos & M. Ege Yazgan, 2018, "Robust Tests for Convergence Clubs," Papers, arXiv.org, number 1812.09518, Dec.
• Yaein Baek, 2018, "Estimation of a Structural Break Point in Linear Regression Models," Papers, arXiv.org, number 1811.03720, Nov, revised Jun 2020.
• Jos'e E. Figueroa-L'opez & Cheng Li & Jeffrey Nisen, 2018, "Optimal Iterative Threshold-Kernel Estimation of Jump Diffusion Processes," Papers, arXiv.org, number 1811.07499, Nov, revised Apr 2020.
• Shenhao Wang & Qingyi Wang & Jinhua Zhao, 2018, "Deep Neural Networks for Choice Analysis: Extracting Complete Economic Information for Interpretation," Papers, arXiv.org, number 1812.04528, Dec, revised Apr 2021.
• Paul Labonne & Martin Weale, 2018, "Temporal disaggregation of overlapping noisy quarterly data using state space models: Estimation of monthly business sector output from Value Added Tax data in the UK," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE), number ESCoE DP-2018-18, Dec.
• Qiang Zhang & Rui Luo & Yaodong Yang & Yuanyuan Liu, 2018, "Benchmarking Deep Sequential Models on Volatility Predictions for Financial Time Series," Papers, arXiv.org, number 1811.03711, Nov.
• Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018, "Generating Univariate Fractional Integration within a Large VAR(1)," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1844, Dec.
• Matyas Barczy & Adam Dudas & Jozsef Gall, 2018, "On approximations of Value at Risk and Expected Shortfall involving kurtosis," Papers, arXiv.org, number 1811.06361, Nov, revised Dec 2020.
• Doretti, Marco & Geneletti, Sara & Stanghellini, Elena, 2018, "Missing data: a unified taxonomy guided by conditional independence," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 87227, Aug.
• Keiji Nagai & Yoshihiko Nishiyama & Kohtaro Hitomi, 2018, "Sequential test for unit root in AR(1) model," KIER Working Papers, Kyoto University, Institute of Economic Research, number 1003, Oct.
• Peter Pedroni, 2018, "Panel Cointegration Techniques and Open Challenges," Department of Economics Working Papers, Department of Economics, Williams College, number 2018-09, Oct.

Report NEP-ECM-2019-01-07

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: