Report NEP-ECM-2019-02-18

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:

• Pang, Tianxiao & Du, Lingjie & Chong, Terence Tai Leung, 2018, "Estimating Multiple Breaks in Nonstationary Autoregressive Models," MPRA Paper, University Library of Munich, Germany, number 92074, Aug.
• Raffaella Giacomini & Toru Kitagawa, 2018, "Robust Bayesian inference for set-identified models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP61/18, Nov.
• Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2018, "Inference on causal and structural parameters using many moment inequalities," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP60/18, Oct.
• Andrew Chesher & Adam Rosen, 2018, "Generalized instrumental variable models, methods, and applications," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP43/18, Jul.
• Tiemen M. Woutersen & Jerry Hausman, 2018, "Increasing the power of specification tests," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP46/18, Jul.
• Dmitry Arkhangelsky & Susan Athey & David A. Hirshberg & Guido W. Imbens & Stefan Wager, 2019, "Synthetic Difference In Differences," NBER Working Papers, National Bureau of Economic Research, Inc, number 25532, Feb.
• Vitaliy Oryshchenko & Richard J. Smith, 2018, "Improved density and distribution function estimation," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP47/18, Jul.
• Daniel Wilhelm, 2018, "Testing for the presence of measurement error," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP45/18, Jul.
• Joel L. Horowitz, 2018, "Bootstrap methods in econometrics," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP53/18, Sep.
• Nick James & Roman Marchant & Richard Gerlach & Sally Cripps, 2019, "Bayesian Nonparametric Adaptive Spectral Density Estimation for Financial Time Series," Papers, arXiv.org, number 1902.03350, Feb.
• Paulo Parente & Richard J. Smith, 2018, "Kernel block bootstrap," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP48/18, Jul.
• Paolo Andreini & Donato Ceci, 2019, "A Horse Race in High Dimensional Space," CEIS Research Paper, Tor Vergata University, CEIS, number 452, Feb, revised 14 Feb 2019.
• Kanaya, S. & Bhattacharya, D., 2017, "Uniform Convergence of Smoothed Distribution Functions with an Application to Delta Method for the Lorenz Curve," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1760, Dec.
• Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos & Touche, Nassim, 2019, "Integer-valued stochastic volatility," MPRA Paper, University Library of Munich, Germany, number 91962, Feb, revised 04 Feb 2019.
• Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2019, "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2019-09, Feb.
• Brigham R. Frandsen & Lars J. Lefgren & Emily C. Leslie, 2019, "Judging Judge Fixed Effects," NBER Working Papers, National Bureau of Economic Research, Inc, number 25528, Feb.
• Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2019, "Density Forecasting," BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen, number BEMPS59, Feb.
• Federico Carlini & Paolo Santucci de Magistris, 2019, "Resuscitating the co-fractional model of Granger (1986)," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-02, Jan.
• Mingli Chen & Ivan Fernandez-Val & Martin Weidner, 2018, "Nonlinear factor models for network and panel data," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP38/18, Jul.
• Nicky L. Grant & Richard J. Smith, 2019, "Generalised Anderson-Rubin statistic based inference in the presence of a singular moment variance matrix," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP05/19, Jan.
• Richard Blundell & Joel L. Horowitz & Matthias Parey, 2018, "Estimation of a nonseparable heterogenous demand function with shape restrictions and Berkson errors," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP67/18, Nov.
• Masato Hisakado & Shintaro Mori, 2019, "Phase transition in the Bayesian estimation of the default portfolio," Papers, arXiv.org, number 1902.03797, Feb, revised Nov 2019.
• Ozer Karagedikli & Shaun P. Vahey & Elizabeth C. Wakerly, 2019, "Improved Methods for Combining Point Forecasts for an Asymmetrically Distributed Variable," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2019-15, Feb.
• Alexander Hanbo Li & Jelena Bradic, 2019, "Censored Quantile Regression Forests," Papers, arXiv.org, number 1902.03327, Feb.
• Verena Monschang & Bernd Wilfling, 2019, "Sup-ADF-style bubble-detection methods under test," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 7819, Feb.
• Roger Koenker & Ivan Mizera, 2018, "Shape constrained density estimation via penalized Rényi divergence," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP54/18, Sep.
• Spiliotis, Evangelos & Petropoulos, Fotios & Kourentzes, Nikolaos & Assimakopoulos, Vassilios, 2018, "Cross-temporal aggregation: Improving the forecast accuracy of hierarchical electricity consumption," MPRA Paper, University Library of Munich, Germany, number 91762, Jul.
• Harvey, A. & Liao, Y., 2019, "Dynamic Tobit models," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1913, Feb.
• Victor Chernozhukov & Vira Semenova, 2018, "Simultaneous inference for Best Linear Predictor of the Conditional Average Treatment Effect and other structural functions," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP40/18, Jul.
• Marco Bottone & Mauro Bernardi & Lea Petrella, 2019, "Unified Bayesian Conditional Autoregressive Risk Measures using the Skew Exponential Power Distribution," Papers, arXiv.org, number 1902.03982, Feb, revised Sep 2019.
• Kazuo YAMAGUCHI, 2019, "Three Issues in the Use of RCT and Their Solutions―Precision, noncompliance, and truncation-by-death (Japanese)," Discussion Papers (Japanese), Research Institute of Economy, Trade and Industry (RIETI), number 19003, Jan.
• Serafin J. Grundl & Yu Zhu, 2019, "Robust Inference in First-Price Auctions : Experimental Findings as Identifying Restrictions," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2019-006, Feb, DOI: 10.17016/FEDS.2019.006.
• Susanne M. Schennach, 2018, "Long memory via networking," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP49/18, Jul.
• Kenichiro McAlinn & Knut Are Aastveit & Jouchi Nakajima & Mike West, 2019, "Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 01/2019, Jan.
• Frank Windmeijer, 2019, "Weak Instruments, First-Stage Heteroskedasticity and the Robust F-test," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 19/708, Feb.
• Oliver Kley & Claudia Kluppelberg & Sandra Paterlini, 2019, "Modelling Extremal Dependence for Operational Risk by a Bipartite Graph," Papers, arXiv.org, number 1902.03041, Feb.
• Maria Bolboaca & Sarah Fischer, 2019, "News Shocks: Different Effects in Boom and Recession?," Working Papers, Swiss National Bank, Study Center Gerzensee, number 19.01, Feb.
• Charles F. Manski, 2019, "Remarks on statistical inference for statistical decisions," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP06/19, Jan.
• Charles D. Kolstad & Frances C. Moore, 2019, "Estimating the Economic Impacts of Climate Change Using Weather Observations," NBER Working Papers, National Bureau of Economic Research, Inc, number 25537, Feb.

Report NEP-ECM-2019-02-18

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: