Report NEP-ECM-2019-07-22

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:

• Gilles de Truchis & Elena Ivona Dumitrescu, 2019, "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2019-14.
• Claudia Noack & Christoph Rothe, 2019, "Bias-Aware Inference in Fuzzy Regression Discontinuity Designs," Papers, arXiv.org, number 1906.04631, Jun, revised Sep 2023.
• Feiyu Jiang & Dong Li & Ke Zhu, 2019, "Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model," Papers, arXiv.org, number 1907.04147, Jul, revised Oct 2020.
• Dan Li & Adam Clements & Christopher Drovandi, 2019, "Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo," Papers, arXiv.org, number 1906.03828, Jun, revised Mar 2020.
• Isaac Loh, 2019, "Nonparametric Identification and Estimation with Independent, Discrete Instruments," Papers, arXiv.org, number 1906.05231, Jun.
• Gilles de Truchis & Elena Ivona Dumitrescu & Florent Dubois, 2019, "Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2019-15.
• Donald W.K. Andrews & Soonwoo Kwon, 2019, "Inference in Moment Inequality Models That Is Robust to Spurious Precision under Model Misspecification," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2184, Jul.
• Zhihua Ma & Yishu Xue & Guanyu Hu, 2019, "Heterogeneous Regression Models for Clusters of Spatial Dependent Data," Papers, arXiv.org, number 1907.02212, Jul, revised Apr 2020.
• Mika Meitz & Daniel Preve & Pentti Saikkonen, 2018, "A mixture autoregressive model based on Student’s t–distribution," GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit, number GRU_2018_013, Jun.
• Sokbae Lee & Serena Ng, 2019, "An Econometric Perspective on Algorithmic Subsampling," Papers, arXiv.org, number 1907.01954, Jul, revised Apr 2020.
• Xinyu Song, 2019, "Large Volatility Matrix Prediction with High-Frequency Data," Papers, arXiv.org, number 1907.01196, Jul, revised Sep 2019.
• Bo Honore & Thomas Jorgensen & Aureo de Paula, 2019, "The Informativeness of Estimation Moments," Papers, arXiv.org, number 1907.02101, Jul, revised Jan 2020.
• Zihao Zhang & Stefan Zohren & Stephen Roberts, 2019, "Extending Deep Learning Models for Limit Order Books to Quantile Regression," Papers, arXiv.org, number 1906.04404, Jun.
• Bajzik, Jozef & Havranek, Tomas & Irsova, Zuzana & Schwarz, Jiri, 2019, "The Elasticity of Substitution between Domestic and Foreign Goods: A Quantitative Survey," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 200207.
• Elías Fernández, Antonio & Jiménez Recaredo, Raúl José & Paganoni, Anna M. & Paganoni, Anna Maria, 2019, "A Depth for Censured Functional Data," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 28579, Jul.
• Donovan Platt, 2019, "Bayesian Estimation of Economic Simulation Models using Neural Networks," Papers, arXiv.org, number 1906.04522, Jun.
• Andreas Hagemann, 2019, "Permutation inference with a finite number of heterogeneous clusters," Papers, arXiv.org, number 1907.01049, Jul, revised Feb 2023.
• Nicolas Apfel, 2019, "Relaxing the Exclusion Restriction in Shift-Share Instrumental Variable Estimation," Papers, arXiv.org, number 1907.00222, Jun, revised Jul 2022.
• Matias D. Cattaneo & Rocio Titiunik & Gonzalo Vazquez-Bare, 2019, "The Regression Discontinuity Design," Papers, arXiv.org, number 1906.04242, Jun, revised Jun 2020.
• Lotfi Boudabsa & Damir Filipovic, 2019, "Machine learning with kernels for portfolio valuation and risk management," Papers, arXiv.org, number 1906.03726, Jun, revised May 2021.
• Philip Dawid & Macartan Humphreys & Monica Musio, 2019, "Bounding Causes of Effects with Mediators," Papers, arXiv.org, number 1907.00399, Jun.
• Matthieu Garcin, 2019, "Estimation of Hurst exponents in a stationary framework
  [Estimation d'exposants de Hurst dans un cadre stationnaire]," Post-Print, HAL, number hal-02163662, Jun.
• Kibrom A. Abay & Leah Bevis & Christopher B. Barrett, 2019, "Measurement Error Mechanisms Matter: Agricultural Intensification with Farmer Misperceptions and Misreporting," NBER Working Papers, National Bureau of Economic Research, Inc, number 26066, Jul.
• Fabrice Daniel, 2019, "Financial Time Series Data Processing for Machine Learning," Papers, arXiv.org, number 1907.03010, Jul.
• Jean-Franc{c}ois B'egin & Mathieu Boudreault, 2019, "Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters," Papers, arXiv.org, number 1906.04322, Jun, revised Jun 2019.
• Trong-Nghia Nguyen & Minh-Ngoc Tran & David Gunawan & R. Kohn, 2019, "A Statistical Recurrent Stochastic Volatility Model for Stock Markets," Papers, arXiv.org, number 1906.02884, Jun, revised Jan 2022.
• Gonzalo, Jesús & Pitarakis, Jean-Yves, 2019, "Predictive Regressions," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 28554, Jul.

Report NEP-ECM-2019-07-22

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: