Report NEP-ECM-2019-05-20This 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.
The following items were announced in this report:
- Jerry A. Hausman & Haoyang Liu & Ye Luo & Christopher Palmer, 2019. "Errors in the Dependent Variable of Quantile Regression Models," NBER Working Papers 25819, National Bureau of Economic Research, Inc.
- Joel L. Horowitz & Sokbae Lee, 2019. "Inference in a class of optimization problems: Confidence regions and finite sample bounds on errors in coverage probabilities," Papers 1905.06491, arXiv.org, revised Sep 2020.
- Takayuki Toda & Ayako Wakano & Takahiro Hoshino, 2019. "Regression Discontinuity Design with Multiple Groups for Heterogeneous Causal Effect Estimation," Papers 1905.04443, arXiv.org.
- Hauber, Philipp & Schumacher, Christian & Zhang, Jiachun, 2019. "A flexible state-space model with lagged states and lagged dependent variables: Simulation smoothing," Discussion Papers 15/2019, Deutsche Bundesbank.
- Masaaki Fukasawa & Tetsuya Takabatake & Rebecca Westphal, 2019. "Is Volatility Rough ?," Papers 1905.04852, arXiv.org, revised May 2019.
- Perron, Pierre & Yamamoto, Yohei, 2019. "Pitfalls of Two Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model," Discussion Papers 2019-01, Graduate School of Economics, Hitotsubashi University.
- Perron, Pierre & Yamamoto, Yohei & Zhou, Jing, 2019. "Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model," Discussion paper series HIAS-E-85, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
- Fischer, Christoph, 2019. "Equilibrium real exchange rate estimates across time and space," Discussion Papers 14/2019, Deutsche Bundesbank.
- Régis Barnichon & Geert Mesters, 2019. "Identifying modern macro equations with old shocks," Economics Working Papers 1659, Department of Economics and Business, Universitat Pompeu Fabra.
- Muhummad Amjad & Vishal Misra & Devavrat Shah & Dennis Shen, 2019. "mRSC: Multi-dimensional Robust Synthetic Control," Papers 1905.06400, arXiv.org, revised Sep 2019.
- Ferman, Bruno, 2019. "Inference in Differences-in-Differences: How Much Should We Trust in Independent Clusters?," MPRA Paper 93746, University Library of Munich, Germany.
- Naimoli, Antonio & Storti, Giuseppe, 2019. "Heterogeneous component multiplicative error models for forecasting trading volumes," MPRA Paper 93802, University Library of Munich, Germany.
- Pietro Tebaldi & Alexander Torgovitsky & Hanbin Yang, 2019. "Nonparametric Estimates of Demand in the California Health Insurance Exchange," NBER Working Papers 25827, National Bureau of Economic Research, Inc.
- Takashi Yamashita & Ryozo Miura, 2019. "Improving Regression-based Event Study Analysis Using a Topological Machine-learning Method," Papers 1905.06536, arXiv.org.