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Report NEP-ECM-2019-06-17
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:
- Li, Z. M. & Laeven, R. J. A. & Vellekoop, M. H., 2019, "Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1952, Jun.
- Matteo Iacopini & Luca Rossini, 2019, "Bayesian nonparametric graphical models for time-varying parameters VAR," Papers, arXiv.org, number 1906.02140, Jun.
- George Kapetanios & Laura Serlenga & Yongcheol Shin, 2019, "Testing for Correlated Factor Loadings in Cross Sectionally Dependent Panels," SERIES, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro", number 02-2019, Jun, revised Jun 2019.
- Ivan Mendieta-Munoz & Mengheng Li, 2019, "The Multivariate Simultaneous Unobserved Compenents Model and Identification via Heteroskedasticity," Working Paper Series, Department of Economics, University of Utah, University of Utah, Department of Economics, number 2019_06.
- David Frazier & Bonsoo Koo, 2019, "Indirect Inference for Locally Stationary Models," Papers, arXiv.org, number 1906.01768, Jun, revised May 2020.
- Arthur Charpentier & Ndéné Ka & Stéphane Mussard & Oumar Hamady Ndiaye, 2019, "Gini Regressions and Heteroskedasticity," Post-Print, HAL, number hal-02131746, Mar, DOI: 10.3390/econometrics7010004.
- Nathaniel Tomasetti & Catherine Forbes & Anastasios Panagiotelis, 2019, "Updating Variational Bayes: Fast Sequential Posterior Inference," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 13/19.
- Nathan Canen & Kyungchul Song, 2019, "Counterfactual Analysis under Partial Identification Using Locally Robust Refinement," Papers, arXiv.org, number 1906.00003, May, revised Jan 2021.
- Andrew Bennett & Nathan Kallus & Tobias Schnabel, 2019, "Deep Generalized Method of Moments for Instrumental Variable Analysis," Papers, arXiv.org, number 1905.12495, May, revised Apr 2020.
- Mohamed Chikhi & Claude Diebolt & Tapas Mishra, 2019, "Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2019-24.
- Steven E. Pav, 2019, "Conditional inference on the asset with maximum Sharpe ratio," Papers, arXiv.org, number 1906.00573, Jun, revised Jan 2026.
- Cl'ement de Chaisemartin & Jaime Ramirez-Cuellar, 2019, "At What Level Should One Cluster Standard Errors in Paired and Small-Strata Experiments?," Papers, arXiv.org, number 1906.00288, Jun, revised Jun 2023.
- Cabana Garceran del Vall, Elisa & Lillo Rodríguez, Rosa Elvira & Laniado Rodas, Henry, 2019, "Shrinkage reweighted regression," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 28500, Jun.
- Rahul Singh & Maneesh Sahani & Arthur Gretton, 2019, "Kernel Instrumental Variable Regression," Papers, arXiv.org, number 1906.00232, Jun, revised Jul 2020.
- Timmermann, Allan & Zhu, Yinchu, 2019, "Comparing Forecasting Performance with Panel Data," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13746, May.
- Tenglong Li & Kenneth A. Frank, 2019, "On the probability of a causal inference is robust for internal validity," Papers, arXiv.org, number 1906.08726, Jun.
- Bo Zhang & Jiti Gao & Guangming Pan, 2019, "A Near Unit Root Test for High-Dimensional Nonstationary Time Series," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/19.
- Hjalmarsson, Erik & Kiss, Tamás, 2019, "Testing Return Predictability with the Dividend-Growth Equation: An Anatomy of the Dog," Working Papers in Economics, University of Gothenburg, Department of Economics, number 768, Jun.
- Sylvain Barde, 2019, "Macroeconomic simulation comparison with a multivariate extension of the Markov Information Criterion," Studies in Economics, School of Economics, University of Kent, number 1908, Jun.
- Xue Guo & Hu Zhang & Tianhai Tian, 2019, "Multi-Likelihood Methods for Developing Stock Relationship Networks Using Financial Big Data," Papers, arXiv.org, number 1906.08088, Jun.
- Earo Wang & Dianne Cook & Rob J Hyndman, 2019, "A New Tidy Data Structure to Support Exploration and Modeling of Temporal Data," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 12/19.
- Bruno Perdigão, 2019, "“Still" an Agnostic Procedure to Identify Monetary Policy Shocks with Sign Restrictions," Working Papers Series, Central Bank of Brazil, Research Department, number 494, Jun.
- Grätz, Michael, 2019, "When Less Conditioning Provides Better Estimates: Overcontrol and Collider Bias in Research on Intergenerational Mobility," Working Paper Series, Stockholm University, Swedish Institute for Social Research, number 2/2019, Jun.
- Rob Donnelly & Francisco R. Ruiz & David Blei & Susan Athey, 2019, "Counterfactual Inference for Consumer Choice Across Many Product Categories," Papers, arXiv.org, number 1906.02635, Jun, revised Aug 2023.
- Item repec:wrk:wrkemf:24 is not listed on IDEAS anymore
- Jef Boeckx & Maarten Dossche & Alessandro Galesi & Boris Hofmann & Gert Peersman, 2019, "Do SVARs with Sign Restrictions Not Identify Unconventional Monetary Policy Shocks?," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 19/973, Jun.
- Rom'an Salmer'on G'omez & Catalina Garc'ia Garc'ia y Jos'e Garc'ia P'erez, 2019, "Centered and non-centered variance inflation factor," Papers, arXiv.org, number 1905.12293, May.