Report NEP-ECM-2019-06-10

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.

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Other reports in NEP-ECM

The following items were announced in this report:

• Xuexin Wang & Yixiao Sun, 2019. "An Asymptotic F Test for Uncorrelatedness in the Presence of Time Series Dependence," Working Papers 2019-05-24, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
• Chang, Jinyuan & Qiu, Yumou & Yao, Qiwei & Zou, Tao, 2018. "Confidence regions for entries of a large precision matrix," LSE Research Online Documents on Economics 87513, London School of Economics and Political Science, LSE Library.
• Shakeeb Khan & Fu Ouyang & Elie Tamer, 2019. "Inference on Semiparametric Multinomial Response Models," Boston College Working Papers in Economics 980, Boston College Department of Economics.
• Federico Belotti & Giuseppe Ilardi & Andrea Piano Mortari, 2019. "Estimation of Stochastic Frontier Panel Data Models with Spatial Inefficiency," CEIS Research Paper 459, Tor Vergata University, CEIS, revised 30 May 2019.
• Marc Hallin & Luis K. Hotta & João H. G Mazzeu & Carlos Cesar Trucios-Maza & Pedro L. Valls Pereira & Mauricio Zevallos, 2019. "Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach," Working Papers ECARES 2019-14, ULB -- Universite Libre de Bruxelles.
• Anders Rønn-Nielsen & Dorte Kronborg & Mette Asmild, 2019. "Exact tests on returns to scale and comparisons of production frontiers in nonparametric models," IFRO Working Paper 2019/04, University of Copenhagen, Department of Food and Resource Economics.
• Florian Huber & Gary Koop & Luca Onorante, 2019. "Inducing Sparsity and Shrinkage in Time-Varying Parameter Models," Working Papers in Economics 2019-2, University of Salzburg.
• Shakeeb Khan & Maria Ponomareva & Elie Tamer, 2019. "Identification of Dynamic Panel Binary Response Models," Boston College Working Papers in Economics 979, Boston College Department of Economics.
• Harvey, A. & Palumbo, D., 2019. "Score-Driven Models for Realized Volatility," Cambridge Working Papers in Economics 1950, Faculty of Economics, University of Cambridge.
• Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrian, 2019. "Co-integration and common trends analysis with score-driven models : an application to the federal funds effective rate and US inflation rate," UC3M Working papers. Economics 28451, Universidad Carlos III de Madrid. Departamento de Economía.
• Randolph Luca Bruno & Laura Magazzini & Marco Stampini, 2018. "The Joint Estimate of Singleton and Longitudinal Observations: a GMM Approach for Improved Efficiency," Working Papers 04/2018, University of Verona, Department of Economics.
• Oliver Wichert & I. Gaia Becheri & Feike C. Drost & Ramon van den Akker, 2019. "Local Asymptotic Equivalence of the Bai and Ng (2004) and Moon and Perron (2004) Frameworks for Panel Unit Root Testing," Papers 1905.11184, arXiv.org.
• Gentry Johnson & Brian Quistorff & Matt Goldman, 2019. "Matching on What Matters: A Pseudo-Metric Learning Approach to Matching Estimation in High Dimensions," Papers 1905.12020, arXiv.org.
• Guofang Huang & K. Sudhir, 2019. "The Causal Effect of Service Satisfaction on Customer Loyalty," Cowles Foundation Discussion Papers 2177, Cowles Foundation for Research in Economics, Yale University.
• Vasilis Syrgkanis & Victor Lei & Miruna Oprescu & Maggie Hei & Keith Battocchi & Greg Lewis, 2019. "Machine Learning Estimation of Heterogeneous Treatment Effects with Instruments," Papers 1905.10176, arXiv.org, revised Jun 2019.
• Mawuli Segnon & Manuel Stapper, 2019. "Long Memory Conditional Heteroscedasticity in Count Data," CQE Working Papers 8219, Center for Quantitative Economics (CQE), University of Muenster.
• Xing Yan & Qi Wu & Wen Zhang, 2019. "Cross-sectional Learning of Extremal Dependence among Financial Assets," Papers 1905.13425, arXiv.org, revised Oct 2019.
• Yibei Li & Ximei Wang & Boualem Djehiche & Xiaoming Hu, 2019. "Credit Scoring by Incorporating Dynamic Networked Information," Papers 1905.11795, arXiv.org, revised Oct 2019.
• Dmitry Arkhangelsky & Vasily Korovkin, 2019. "On Policy Evaluation with Aggregate Time-Series Shocks," Papers 1905.13660, arXiv.org, revised Mar 2024.
• Yoonseok Lee & Yulong Wang, 2019. "Threshold Regression with Nonparametric Sample Splitting," Papers 1905.13140, arXiv.org, revised Jan 2021.
• Domenico Di Gangi & Giacomo Bormetti & Fabrizio Lillo, 2019. "Score-Driven Exponential Random Graphs: A New Class of Time-Varying Parameter Models for Dynamical Networks," Papers 1905.10806, arXiv.org, revised Oct 2024.
• Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2019. "Posterior moments and quantiles for the normal location model with Laplace prior," EIEF Working Papers Series 1911, Einaudi Institute for Economics and Finance (EIEF), revised Jun 2019.