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Report NEP-ECM-2019-03-25
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:
- Patrick Marsh, 2019, "Nonparametric conditional density specification testing and quantile estimation; with application to S&P500 returns," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 19/02, Feb.
- Katsuto Tanaka & Weilin Xiao & Jun Yu, 2019, "Maximum Likelihood Estimation for the Fractional Vasicek Model," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 8-2019, Mar.
- Guohua Feng & Jiti Gao & Bin Peng, 2019, "An Integrated Panel Data Approach to Modelling Economic Growth," Papers, arXiv.org, number 1903.07948, Mar.
- Patrick Marsh, 2019, "The role of information in nonstationary regression," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 19/04, Apr.
- Jun Ma & Vadim Marmer & Artyom Shneyerov, 2019, "Inference for First-Price Auctions with Guerre, Perrigne, and Vuong's Estimator," Papers, arXiv.org, number 1903.06401, Mar.
- James G. MacKinnon, 2019, "How cluster-robust inference is changing applied econometrics," Working Paper, Economics Department, Queen's University, number 1413, Mar.
- Bachoc, François & Genton, Mark G. & Nordhausen, Klaus & Ruiz-Gazen, Anne & Virta, Joni, 2019, "Spatial Blind Source Separation," TSE Working Papers, Toulouse School of Economics (TSE), number 19-998, Mar.
- Matteo Mogliani & Anna Simoni, 2019, "Bayesian MIDAS Penalized Regressions: Estimation, Selection, and Prediction," Papers, arXiv.org, number 1903.08025, Mar, revised Jun 2020.
- Simon Beyeler, 2019, "Streamlining Time-varying VAR with a Factor Structure in the Parameters," Working Papers, Swiss National Bank, Study Center Gerzensee, number 19.03, Mar.
- Diewert, Erwin & Feenstra, Robert, 2019, "Estimating the Benefits of New Products: Some Approximations," Microeconomics.ca working papers, Vancouver School of Economics, number erwin_diewert-2019-3, Mar, revised 13 Mar 2019.
- Yue Qiu & Tian Xie & Jun Yu & Qiankun Zhou, 2019, "Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 7-2019, Mar.
- Yao Luo & Ruli Xiao, 2019, "Identification of Auction Models Using Order Statistics," Working Papers, University of Toronto, Department of Economics, number tecipa-630, Mar.
- Patrick Marsh, 2019, "Properties of the power envelope for tests against both stationary and explosive alternatives: the effect of trends," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 19/03, Mar.
- Amanda E. Kowalski, 2019, "Counting Defiers," NBER Working Papers, National Bureau of Economic Research, Inc, number 25671, Mar.
- Leopoldo Catania & Roberto Di Mari & Paolo Santucci de Magistris, 2019, "Dynamic discrete mixtures for high frequency prices," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 19/05, May.
- Atsushi Inoue & Barbara Rossi, 2018, "A new approach to measuring economic policy shocks, with an application to conventional and unconventional monetary policy," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1638, Oct, revised Apr 2021.
- Barbara Rossi, 2018, "Identifying and estimating the effects of unconventional monetary policy in the data: How to do It and what have we learned?," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1641, Jan, revised Jul 2020.
- Zura Kakushadze & Willie Yu, 2019, "Machine Learning Risk Models," Papers, arXiv.org, number 1903.06334, Mar, revised Apr 2019.
- Yiru Wang & Barbara Rossi, 2019, "VAR-based Granger-causality test in the presence of instabilities," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1642, Jan.
- Mark Fisher & Mark J. Jensen & Paula A. Tkac, 2019, "Bayesian Nonparametric Learning of How Skill Is Distributed across the Mutual Fund Industry," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2019-3, Mar, DOI: 10.29338/wp2019-03.
- John Deke & Mariel Finucane, , "Moving Beyond Statistical Significance: The BASIE (BAyeSian Interpretation of Estimates) Framework for Interpreting Findings from Impact Evaluations," Mathematica Policy Research Reports, Mathematica Policy Research, number d25e5487a50f417586956dac1.
- Duo Qin & Sophie van Huellen & Raghda Elshafie & Yimeng Liu & Thanos Moraitis, 2019, "A Principled Approach to Assessing Missing-Wage Induced Selection Bias," Working Papers, Department of Economics, SOAS University of London, UK, number 216, Jan.