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Report NEP-ECM-2019-05-13
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:
- Kerem Tuzcuoglu, 2019, "Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects," Staff Working Papers, Bank of Canada, number 19-16, May, DOI: 10.34989/swp-2019-16.
- Martin Burda & Louis Belisle, 2019, "Copula Multivariate GARCH Model with Constrained Hamiltonian Monte Carlo," Working Papers, University of Toronto, Department of Economics, number tecipa-638, Apr.
- Milda Norkuté & Vasilis Sarafidis & Takashi Yamagata & Guowei Cui, 2018, "Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure," ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka, number 1019r, Feb, revised Apr 2019.
- Phillips, Garry David Alan & Wang, Dandan, 2019, "Bias assessment and reduction for the 2SLS estimator in general dynamic simultaneous equations models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 28322, Apr.
- Olivier Ledoit & Michael Wolf, 2019, "The power of (non-)linear shrinking: a review and guide to covariance matrix estimation," ECON - Working Papers, Department of Economics - University of Zurich, number 323, May, revised Feb 2020.
- Feiyu Jiang & Dong Li & Ke Zhu, 2019, "Non-standard inference for augmented double autoregressive models with null volatility coefficients," Papers, arXiv.org, number 1905.01798, May.
- Felix Chan & Ágoston Reguly & László Mátyás, 2019, "Modelling with Discretized Ordered Choice Covariates," CEU Working Papers, Department of Economics, Central European University, number 2019_2, May.
- Xin Shi & Robert Qiu, 2019, "Estimation of high-dimensional factor models and its application in power data analysis," Papers, arXiv.org, number 1905.02061, May, revised Oct 2019.
- Carsen Jentsch & Kurt Graden Lunsford, 2019, "Asymptotically Valid Bootstrap Inference for Proxy SVARs," Working Papers, Federal Reserve Bank of Cleveland, number 19-08, May, DOI: 10.26509/frbc-wp-201908.
- Harold D. Chiang & Yuya Sasaki, 2019, "Lasso under Multi-way Clustering: Estimation and Post-selection Inference," Papers, arXiv.org, number 1905.02107, May, revised Aug 2019.
- Adam Golinski & Peter Spencer, 2019, "Estimating the term structure with linear regressions: Getting to the roots of the problem," Discussion Papers, Department of Economics, University of York, number 19/05, May.
- Grigory Franguridi & Hyungsik Roger Moon, 2019, "A Uniform Bound on the Operator Norm of Sub-Gaussian Random Matrices and Its Applications," Papers, arXiv.org, number 1905.01096, May, revised Apr 2021.
- Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen, 2019, "The analysis of marked and weighted empirical processes of estimated residuals," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-06, Apr.
- Máximo Camacho & María Dolores Gadea & Ana Gómez Loscos, 2019, "A new approach to dating the reference cycle," Working Papers, Banco de España, number 1914, May.
- Yang, Bill Huajian & Wu, Biao & Cui, Kaijie & Du, Zunwei & Fei, Glenn, 2019, "IFRS9 Expected Credit Loss Estimation: Advanced Models for Estimating Portfolio Loss and Weighting Scenario Losses," MPRA Paper, University Library of Munich, Germany, number 93634, Apr.
- Jaap H. Abbring & Tim Salimans, 2019, "The Likelihood of Mixed Hitting Times," Papers, arXiv.org, number 1905.03463, May, revised Apr 2021.
- Amit Goyal & Zhongzhi Lawrence He & Sahn-Wook Huh, 2018, "Distance-Based Metrics: A Bayesian Solution to the Power and Extreme-Error Problems in Asset-Pricing Tests," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-78, Dec.
- Kai Feng & Han Hong & Ke Tang & Jingyuan Wang, 2019, "Decision Making with Machine Learning and ROC Curves," Papers, arXiv.org, number 1905.02810, May.
- Dupas, Pascaline & Bhattacharya, Debopam & ,, 2019, "Demand and Welfare Analysis in Discrete Choice Models with Social Interactions," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13707, Apr.
- Tarun Chordia & Amit Goyal & Alessio Saretto, 2017, "p-Hacking: Evidence from Two Million Trading Strategies," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-37, Aug, revised Apr 2018.