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Report NEP-ECM-2019-04-01
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:
- Jiayuan Zhou & Feiyu Jiang & Ke Zhu & Wai Keung Li, 2019, "Time series models for realized covariance matrices based on the matrix-F distribution," Papers, arXiv.org, number 1903.12077, Mar, revised Jul 2020.
- Zea Bermúdez, Patricia de & Marín Díazaraque, Juan Miguel & Veiga, Helena, 2019, "Data cloning estimation for asymmetric stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 28214, Mar.
- Cheng, T. & Gao, J. & Linton, O., 2019, "Nonparametric Predictive Regressions for Stock Return Prediction," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1932, Mar.
- Benjamin Poignard & Jean-David Fermanian, 2019, "The finite sample properties of Sparse M-estimators with Pseudo-Observations," Working Papers, Center for Research in Economics and Statistics, number 2019-01, Jan.
- Magne Mogstad & Alexander Torgovitsky & Christopher R. Walters, 2019, "The Causal Interpretation of Two-Stage Least Squares with Multiple Instrumental Variables," NBER Working Papers, National Bureau of Economic Research, Inc, number 25691, Mar.
- Santiago Pereda Fernández, 2019, "Identification and estimation of triangular models with a binary treatment," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1210, Mar.
- Helmut Farbmacher & Alexander Kann, 2019, "On the Effect of Imputation on the 2SLS Variance," Papers, arXiv.org, number 1903.11004, Mar.
- Richard T. Baillie & Fabio Calonaci & George Kapetanios, 2019, "Hierarchical Time Varying Estimation of a Multi Factor Asset Pricing Model," Working Papers, Queen Mary University of London, School of Economics and Finance, number 879, Jan.
- Susan Athey & Mohsen Bayati & Guido Imbens & Zhaonan Qu, 2019, "Ensemble Methods for Causal Effects in Panel Data Settings," NBER Working Papers, National Bureau of Economic Research, Inc, number 25675, Mar.
- McAleer, M.J., 2019, "What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2019-13, Mar.
- Martin Bruns & Michele Piffer, 2019, "Bayesian Structural VAR Models: A New Approach for Prior Beliefs on Impulse Responses," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1796.
- Asai, M. & Gupta, R. & McAleer, M.J., 2019, "The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2019-16, Mar.
- Haroon Mumtaz & Katerina Petrova, 2018, "Changing impact of shocks: a time-varying proxy SVAR approach," Working Papers, Queen Mary University of London, School of Economics and Finance, number 875, Nov.
- Wickens, Michael R., 2019, "Idiosyncratic shocks: a new procedure for identifying shocks in a VAR with application to the New Keynesian model," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13613, Mar.
- Susan Athey & Guido Imbens, 2019, "Machine Learning Methods Economists Should Know About," Papers, arXiv.org, number 1903.10075, Mar.
- Richard T. Baillie & Fabio Calonaci & Dooyeon Cho & Seunghwa Rho, 2019, "Long Memory, Realized Volatility and HAR Models," Working Papers, Queen Mary University of London, School of Economics and Finance, number 881, Jan.
- Markus Hersche & Elias Moor, 2018, "Identification of Causal Intensive Margin Effects by Difference-in-Difference Methods," CER-ETH Economics working paper series, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich, number 18/302, Nov.
- Mundt, Philipp & Oh, Ilfan, 2019, "Asymmetric competition, risk, and return distribution," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 145.
- Pedro Dal Bo & Andrew Foster & Kenju Kamei, 2019, "The Democracy Effect: a weights-based identification strategy," Working Papers, Brown University, Department of Economics, number 2019-4.
- Eric Auerbach, 2019, "Testing for Differences in Stochastic Network Structure," Papers, arXiv.org, number 1903.11117, Mar, revised Nov 2020.
- Eric Auerbach, 2019, "Identification and Estimation of a Partially Linear Regression Model using Network Data," Papers, arXiv.org, number 1903.09679, Mar, revised Jun 2021.
- Hector Galindo Silva; Nibene Habib Somé; Guy Tchuente & Nibene Habib Som� & Guy Tchuente, 2019, "Does Obamacare Care? A Fuzzy Difference-in-discontinuities Approach," Vniversitas Económica, Universidad Javeriana - Bogotá, volume 0, issue 0, pages 1-47.
- Fan Li & Andrea Mercatanti & Taneli Mäkinen & Andrea Silvestrini, 2019, "A regression discontinuity design for categorical ordered running variables with an application to central bank purchases of corporate bonds," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1213, Mar.