Report NEP-ECM-2019-02-11

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:

• Torben G. Andersen & Rasmus T. Varneskov, 2018, "Consistent Inference for Predictive Regressions in Persistent VAR Economies," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-09, Feb.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov & Rasmus T. Varneskov, 2018, "Option Panels in Pure-Jump Settings," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-04, Jan.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov & Rasmus T. Varneskov, 2018, "Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-03, Jan.
• Jean-Jacques Forneron, 2019, "A Sieve-SMM Estimator for Dynamic Models," Papers, arXiv.org, number 1902.01456, Feb, revised Jan 2023.
• Liang, Chong & Schienle, Melanie, 2019, "Determination of vector error correction models in high dimensions," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 124, DOI: 10.5445/IR/1000092474.
• Yunus Emre Ergemen & Carlos Velasco, 2018, "Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-11, Mar.
• Niels Haldrup & Carsten P. T. Rosenskjold, 2018, "A Parametric Factor Model of the Term Structure of Mortality," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-06, Jan.
• Liangjun Su & Ke Miao & Sainan Jin, 2019, "On Factor Models with Random Missing: EM Estimation, Inference, and Cross Validation," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 4-2019, Jan.
• Conrad, Christian & Schienle, Melanie, 2019, "Testing for an omitted multiplicative long-term component in GARCH models," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 121, DOI: 10.5445/IR/1000090371.
• Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang, 2018, "The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-15, Apr.
• Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov, 2018, "Time-Varying Periodicity in Intraday Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-05, Jan.
• Alexander Heinemann, 2019, "A Bootstrap Test for the Existence of Moments for GARCH Processes," Papers, arXiv.org, number 1902.01808, Feb, revised Jul 2019.
• Ulrich Hounyo & Rasmus T. Varneskov, 2018, "Inference for Local Distributions at High Sampling Frequencies: A Bootstrap Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-16, Apr.
• Bormann, Carsten & Schienle, Melanie, 2019, "Detecting structural differences in tail dependence of financial time series," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 122, DOI: 10.5445/IR/1000092468.
• Bruce E. Hansen & Seojeong Lee, 2019, "Asymptotic Theory for Clustered Samples," Papers, arXiv.org, number 1902.01497, Feb.
• Zervopoulos, Panagiotis & Emrouznejad, Ali & Sklavos, Sokratis, 2019, "A Bayesian approach for correcting bias of data envelopment analysis estimators," MPRA Paper, University Library of Munich, Germany, number 91886, Jan.
• Mathias Kloss & Thomas Kirschstein & Steffen Liebscher & Martin Petrick, 2019, "Robust Productivity Analysis: An application to German FADN data," Papers, arXiv.org, number 1902.00678, Feb, revised Feb 2019.
• Yagi, Daisuke & Chen, Yining & Johnson, Andrew L. & Kuosmanen, Timo, 2018, "Shape constrained kernel-weighted least squares: Estimating production functions for Chilean manufacturing industries," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 86556, Jan.
• Wenxin Huang & Sainan Jin & Liangjun Su, 2018, "Identifying Latent Grouped Patterns in Cointegrated Panels," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 3-2019, Nov.
• Millimet, Daniel L. & Li, Hao & Roychowdhury, Punarjit, 2019, "Partial Identification of Economic Mobility: With an Application to the United States," IZA Discussion Papers, IZA Network @ LISER, number 12085, Jan.
• Grossmann, Volker & Osikominu, Aderonke, 2019, "Let the Data Speak? On the Importance of Theory-Based Instrumental Variable Estimations," IZA Discussion Papers, IZA Network @ LISER, number 12080, Jan.
• Schmidheiny, Kurt & Siegloch, Sebastian, 2019, "On Event Study Designs and Distributed-Lag Models: Equivalence, Generalization and Practical Implications," IZA Discussion Papers, IZA Network @ LISER, number 12079, Jan.
• Francisco (F.) Blasques & Marc Nientker, 2019, "Transformed Perturbation Solutions for Dynamic Stochastic General Equilibrium Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-012/III, Feb, revised 09 Feb 2020.
• Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2019, "A General Framework for Prediction in Time Series Models," Papers, arXiv.org, number 1902.01622, Feb.
• Karlson Pfannschmidt & Pritha Gupta & Bjorn Haddenhorst & Eyke Hullermeier, 2019, "Learning Context-Dependent Choice Functions," Papers, arXiv.org, number 1901.10860, Jan, revised Oct 2021.
• Jeffrey P. Cohen & Cletus C. Coughlin & Jeffrey Zabel, 2019, "Time-Geographically Weighted Regressions and Residential Property Value Assessment," Working Papers, Federal Reserve Bank of St. Louis, number 2019-5, Jan, DOI: 10.20955/wp.2019.005.
• Leopoldo Catania & Tommaso Proietti, 2019, "Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects," CEIS Research Paper, Tor Vergata University, CEIS, number 450, Feb, revised 06 Feb 2019.
• Murasawa, Yasutomo, 2019, "Bayesian multivariate Beveridge--Nelson decomposition of I(1) and I(2) series with cointegration," MPRA Paper, University Library of Munich, Germany, number 91979, Feb.

Report NEP-ECM-2019-02-11

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: