Report NEP-ECM-2019-04-08

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:

• Junlong Feng, 2019, "Matching Points: Supplementing Instruments with Covariates in Triangular Models," Papers, arXiv.org, number 1904.01159, Apr, revised Jul 2020.
• Tingting Cheng & Jiti Gao & Oliver Linton, 2019, "Nonparametric Predictive Regressions for Stock Return Prediction," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 4/19.
• Bulat Gafarov, 2019, "Simple subvector inference on sharp identified set in affine models," Papers, arXiv.org, number 1904.00111, Mar, revised Jul 2024.
• Timothy Christensen & Benjamin Connault, 2019, "Counterfactual Sensitivity and Robustness," Papers, arXiv.org, number 1904.00989, Apr, revised May 2022.
• Tommaso Proietti, 2019, "Predictability, Real Time Estimation, and the Formulation of Unobserved Components Models," CEIS Research Paper, Tor Vergata University, CEIS, number 455, Mar, revised 22 Mar 2019.
• Harold D. Chiang & Joel Rodrigue & Yuya Sasaki, 2019, "Post-Selection Inference in Three-Dimensional Panel Data," Papers, arXiv.org, number 1904.00211, Mar, revised Apr 2019.
• Atsushi Inoue & Lutz Kilian, 2019, "The uniform validity of impulse response inference in autoregressions," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 19-00001, Mar.
• Goga, Camelia & Ruiz-Gazen, Anne, 2019, "Improving the Estimation of the Odds Ratio in Sampling Surveys using Auxiliary Information," TSE Working Papers, Toulouse School of Economics (TSE), number 19-1000, Mar, revised Jul 2020.
• James G. MacKinnon & Morten Ø. Nielsen & Matthew D. Webb, 2019, "Wild Bootstrap and Asymptotic Inference with Multiway Clustering," Working Paper, Economics Department, Queen's University, number 1415, Mar.
• Rainer Winkelmann & Lin Xu, 2019, "Testing the binomial fixed effects logit model; with an application to female labor supply," ECON - Working Papers, Department of Economics - University of Zurich, number 321, Apr, revised Oct 2019.
• Furukawa, Chishio, 2019, "Publication Bias under Aggregation Frictions: Theory, Evidence, and a New Correction Method," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 194798.
• Pauwels, Laurent & Radchenko, Peter & Vasnev, Andrey, 2019, "Higher Moment Constraints for Predictive Density Combinations," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number BAWP-2019-01, Mar.
• Atsushi Inoue & Lutz Kilian, 2019, "The uniform validity of impulse response inference in autoregressions," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 19-00001, Mar.
• Daniel Borup & Bent Jesper Christensen & Yunus Emre Ergemen, 2019, "Assessing predictive accuracy in panel data models with long-range dependence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-04, Mar.
• Michael McAleer, 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," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2019-17, Mar.
• Christian Gourieroux & Yang Lu, 2019, "Least Impulse Response Estimator for Stress Test Exercises," CEPN Working Papers, Centre d'Economie de l'Université de Paris Nord, number 2019-05, Mar.
• Davide Viviano & Jelena Bradic, 2019, "Synthetic learner: model-free inference on treatments over time," Papers, arXiv.org, number 1904.01490, Apr, revised Aug 2022.
• Amsler, Christine & Prokhorov, Artem & Schmidt, Peter, 2019, "A New Family of Copulas, with Application to Estimation of a Production Frontier System," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number BAWP-2019-04, Mar.
• Christoph Engel, 2019, "Estimating Heterogeneous Reactions to Experimental Treatments," Discussion Paper Series of the Max Planck Institute for Behavioral Economics, Max Planck Institute for Behavioral Economics, number 2019_01, Jan.
• Ben Jann, 2019, "Influence functions for linear regression (with an application to regression adjustment)," University of Bern Social Sciences Working Papers, University of Bern, Department of Social Sciences, number 32, Mar, revised 30 Mar 2019.
• Antoine Lejay & Paolo Pigato, 2019, "A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data," Post-Print, HAL, number hal-01669082, DOI: 10.1142/S0219024919500171.
• Vladimir Markov & Olga Vilenskaia & Vlad Rashkovich, 2019, "Quintet Volume Projection," Papers, arXiv.org, number 1904.01412, Apr.
• Lee, L. & Linton, O. & Whang, Y-J., 0000, "Quantilograms under Strong Dependence," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1936, 00.
• LeSage, James & Fischer, Manfred M., 2019, "Cross-sectional dependence model specifications in a static trade panel data setting," Working Papers in Regional Science, WU Vienna University of Economics and Business, number 2019/03, Mar.

Report NEP-ECM-2019-04-08

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: