Report NEP-ECM-2019-07-08This 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:
- Peter Boswijk & Yang Zu, 2019. "Adaptive Testing for Cointegration with Nonstationary Volatility," Tinbergen Institute Discussion Papers 19-043/III, Tinbergen Institute.
- Guowei Cui & Kazuhiko Hayakawa & Shuichi Nagata & Takashi Yamagata, 2018. "A robust approach to heteroskedasticity, error serial correlation and slope heterogeneity for large linear panel data models with interactive effects," ISER Discussion Paper 1037r, Institute of Social and Economic Research, Osaka University, revised Jun 2019.
- Federico Belotti & Giancarlo Ferrara, 2019. "Imposing monotonicity in stochastic frontier models: an iterative nonlinear least squares procedure," CEIS Research Paper 462, Tor Vergata University, CEIS, revised 29 Jan 2021.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2019. "An automated prior robustness analysis in Bayesian model comparison," CAMA Working Papers 2019-45, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Fok, D. & Paap, R., 2019. "New Misspecification Tests for Multinomial Logit Models," Econometric Institute Research Papers EI2019-24, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Adrian Pagan & Tim Robinson, 2019. "Implications of partial information for econometric modeling of macroeconomic systems," CAMA Working Papers 2019-41, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Anthony Garratt & Timo Henckel & Shaun P. Vahey, 2019. "Empirically-transformed linear opinion pools," CAMA Working Papers 2019-47, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Burak Alparslan Eroglu & J. Isaac Miller & Taner Yigit, 2019. "Time-Varying Cointegration and the Kalman Filter," Working Papers 1905, Department of Economics, University of Missouri.
- Carbajal-De-Nova, Carolina & Venegas-Martínez, Francisco, 2019. "Synthetic Estimation of Dynamic Panel Models When Either N or T or Both Are Not Large: Bias Decomposition in Systematic and Random Components," MPRA Paper 94405, University Library of Munich, Germany.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2019. "Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation," CAMA Working Papers 2019-46, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Alessandra Canepa, & Menelaos G. Karanasos & Alexandros G. Paraskevopoulos,, 2019. "Second Order Time Dependent Inflation Persistence in the United States: a GARCH-in-Mean Model with Time Varying Coefficients," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201911, University of Turin.
- Crossley, Thomas F. & Levell, Peter & Poupakis, Stavros, 2019. "Regression with an imputed dependent variable," ISER Working Paper Series 2019-07, Institute for Social and Economic Research.
- Federico Zincenko, 2019. "Testing for Risk Aversion in First-Price Sealed-Bid Auctions," Working Paper 6641, Department of Economics, University of Pittsburgh.
- Christian Bontemps & Raquel Menezes Bezerra Sampaio, 2020. "Entry games for the airline industry," Working Papers hal-02137358, HAL.
- Rodrigues, Paulo M.M. & Sibbertsen, Philipp & Voges, Michelle, 2019. "Testing for breaks in the cointegrating relationship: On the stability of government bond markets' equilibrium," Hannover Economic Papers (HEP) dp-656, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Kajal Lahiri & Wuwei Wang, 2019. "Estimating macroeconomic uncertainty and discord using info-metrics," CESifo Working Paper Series 7674, CESifo.
- Isabel Hovdahl, 2019. "On the use of machine learning for causal inference in climate economics," Working Papers No 05/2019, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.