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 (2017-2023 papers hosted by The National Institute of Economic and Social Research), 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: