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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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
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, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2019-05-24, May.
- Chang, Jinyuan & Qiu, Yumou & Yao, Qiwei & Zou, Tao, 2018, "Confidence regions for entries of a large precision matrix," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 87513, Sep.
- Shakeeb Khan & Fu Ouyang & Elie Tamer, 2019, "Inference on Semiparametric Multinomial Response Models," Boston College Working Papers in Economics, Boston College Department of Economics, number 980, May.
- Federico Belotti & Giuseppe Ilardi & Andrea Piano Mortari, 2019, "Estimation of Stochastic Frontier Panel Data Models with Spatial Inefficiency," CEIS Research Paper, Tor Vergata University, CEIS, number 459, May, 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, ULB -- Universite Libre de Bruxelles, number 2019-14, Jun.
- 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, University of Copenhagen, Department of Food and Resource Economics, number 2019/04, May.
- Florian Huber & Gary Koop & Luca Onorante, 2019, "Inducing Sparsity and Shrinkage in Time-Varying Parameter Models," Working Papers in Economics, University of Salzburg, number 2019-2, May.
- Shakeeb Khan & Maria Ponomareva & Elie Tamer, 2019, "Identification of Dynamic Panel Binary Response Models," Boston College Working Papers in Economics, Boston College Department of Economics, number 979, Mar.
- Harvey, A. & Palumbo, D., 2019, "Score-Driven Models for Realized Volatility," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1950, May.
- 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, Universidad Carlos III de Madrid. Departamento de EconomÃa, number 28451, May.
- Randolph Luca Bruno & Laura Magazzini & Marco Stampini, 2018, "The Joint Estimate of Singleton and Longitudinal Observations: a GMM Approach for Improved Efficiency," Working Papers, University of Verona, Department of Economics, number 04/2018, May.
- 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, arXiv.org, number 1905.11184, May.
- Gentry Johnson & Brian Quistorff & Matt Goldman, 2019, "Matching on What Matters: A Pseudo-Metric Learning Approach to Matching Estimation in High Dimensions," Papers, arXiv.org, number 1905.12020, May.
- Guofang Huang & K. Sudhir, 2019, "The Causal Effect of Service Satisfaction on Customer Loyalty," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2177, May.
- Vasilis Syrgkanis & Victor Lei & Miruna Oprescu & Maggie Hei & Keith Battocchi & Greg Lewis, 2019, "Machine Learning Estimation of Heterogeneous Treatment Effects with Instruments," Papers, arXiv.org, number 1905.10176, May, revised Jun 2019.
- Mawuli Segnon & Manuel Stapper, 2019, "Long Memory Conditional Heteroscedasticity in Count Data," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 8219, May.
- Xing Yan & Qi Wu & Wen Zhang, 2019, "Cross-sectional Learning of Extremal Dependence among Financial Assets," Papers, arXiv.org, number 1905.13425, May, revised Oct 2019.
- Yibei Li & Ximei Wang & Boualem Djehiche & Xiaoming Hu, 2019, "Credit Scoring by Incorporating Dynamic Networked Information," Papers, arXiv.org, number 1905.11795, May, revised Oct 2019.
- Dmitry Arkhangelsky & Vasily Korovkin, 2019, "On Policy Evaluation with Aggregate Time-Series Shocks," Papers, arXiv.org, number 1905.13660, May, revised Mar 2024.
- Yoonseok Lee & Yulong Wang, 2019, "Threshold Regression with Nonparametric Sample Splitting," Papers, arXiv.org, number 1905.13140, May, 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, arXiv.org, number 1905.10806, May, 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, Einaudi Institute for Economics and Finance (EIEF), number 1911, revised Jun 2019.