Report NEP-ECM-2019-07-29

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:

• Shengjie Hong & Liangjun Su & Yaqi Wang, 2019, "Inference in partially identified panel data models with interactive fixed effects," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 14-2019, Mar.
• Frédérique Bec & Heino Bohn Nielsen & Sarra Saïdi, 2019, "Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing
  [Modèles auto-régressifs non-causaux mixtes: Problèmes de bimodalité pour l'estimation et le test de racine unitaire]," Working Papers, HAL, number hal-02175760, Jul.
• Herwartz, Helmut & Lange, Alexander & Maxand, Simone, 2019, "Statistical identification in SVARs - Monte Carlo experiments and a comparative assessment of the role of economic uncertainties for the US business cycle," University of Göttingen Working Papers in Economics, University of Goettingen, Department of Economics, number 375.
• Ayala, Astrid & Blazsek, Szabolcs & Escribano, Álvaro, 2019, "Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 28638, Jul.
• Item repec:wyi:wpaper:002481 is not listed on IDEAS anymore

• Stefano Tonellato, 2019, "Bayesian nonparametric clustering as a community detection problem," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2019: 20.
• Valentina Corradi & Daniel Gutknecht, 2019, "Testing for Quantile Sample Selection," Papers, arXiv.org, number 1907.07412, Jul, revised Jan 2021.
• Michael Cai & Marco Del Negro & Edward Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2019, "Online Estimation of DSGE Models," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 19-014, Jul.
• Victor H. Aguiar & Nail Kashaev, 2019, "Identification and Estimation of Discrete Choice Models with Unobserved Choice Sets," Papers, arXiv.org, number 1907.04853, Jul, revised Jun 2021.
• Peter Knaus & Angela Bitto-Nemling & Annalisa Cadonna & Sylvia Fruhwirth-Schnatter, 2019, "Shrinkage in the Time-Varying Parameter Model Framework Using the R Package shrinkTVP," Papers, arXiv.org, number 1907.07065, Jul, revised Nov 2020.
• Marcel Bräutigam & Marie Kratz, 2019, "Bivariate FCLT for the Sample Quantile and Measures of Dispersion for Augmented GARCH(p, q) processes," Working Papers, HAL, number hal-02176276, Jun.
• Miao Ke & Liangjun Su & Wendun Wang, 2019, "Panel threshold regressions with latent group structures," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 13-2019, Jul.
• Joshua C. C. Chan, 2019, "Asymmetric Conjugate Priors for Large Bayesian VARs," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2019-51, Jul.
• Nguyen, T.H.A & Thomas-Agnan, Christine & Laurent, Thibault & Ruiz-Gazen, Anne, 2019, "A simultaneous spatial autoregressive model for compositional data," TSE Working Papers, Toulouse School of Economics (TSE), number 19-1028, Jul, revised Apr 2020.
• Gregory Cox & Xiaoxia Shi, 2019, "Simple Adaptive Size-Exact Testing for Full-Vector and Subvector Inference in Moment Inequality Models," Papers, arXiv.org, number 1907.06317, Jul, revised Aug 2020.
• Andrew J. Patton & Brian M. Weller, 2019, "Testing for Unobserved Heterogeneity via k-means Clustering," Papers, arXiv.org, number 1907.07582, Jul.
• Carballo González, Alba & Durbán Reguera, María Luz & Lee, Dae-Jin, 2019, "Out-of-sample prediction in multidimensional P-spline models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 28630, Jul.
• Alexis Bogroff & Dominique Guégan, 2019, "Artificial Intelligence, Data, Ethics. An Holistic Approach for Risks and Regulation," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2019: 19.
• Bucci, Andrea, 2019, "Cholesky-ANN models for predicting multivariate realized volatility," MPRA Paper, University Library of Munich, Germany, number 95137, Jul.
• Fredrik Savje, 2019, "On the inconsistency of matching without replacement," Papers, arXiv.org, number 1907.07288, Jul, revised Jun 2021.
• Riccardo Marcaccioli & Giacomo Livan, 2019, "Maximum Entropy approach to multivariate time series randomization," Papers, arXiv.org, number 1907.04925, Jul, revised Jun 2020.
• Magnus Wiese & Robert Knobloch & Ralf Korn & Peter Kretschmer, 2019, "Quant GANs: Deep Generation of Financial Time Series," Papers, arXiv.org, number 1907.06673, Jul, revised Dec 2019.

Report NEP-ECM-2019-07-29

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: