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Report NEP-ECM-2019-08-12
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:
- Alessio Volpicella, 2019, "SVARs Identification through Bounds on the Forecast Error Variance," Working Papers, Queen Mary University of London, School of Economics and Finance, number 890, Jul.
- Yukitoshi Matsushita & Taisuke Otsu, 2019, "Jackknife, small bandwidth and high-dimensional asymptotics," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 605, Jul.
- Germano Ruisi, 2019, "Time-Varying Local Projections," Working Papers, Queen Mary University of London, School of Economics and Finance, number 891, Jul.
- Xuehai Zhang, 2019, "A Box-Cox semiparametric multiplicative error model," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 122, Aug.
- Rico Krueger & Taha H. Rashidi & Akshay Vij, 2019, "Semi-Parametric Hierarchical Bayes Estimates of New Yorkers' Willingness to Pay for Features of Shared Automated Vehicle Services," Papers, arXiv.org, number 1907.09639, Jul.
- Michael W. McCracken, 2019, "Diverging Tests of Equal Predictive Ability," Working Papers, Federal Reserve Bank of St. Louis, number 2019-018, Jul, revised 09 Mar 2020, DOI: 10.20955/wp.2019.018.
- Jon Danielsson & Lerby Ergun & Laurens de Haan & Casper G. de Vries, 2019, "Tail Index Estimation: Quantile-Driven Threshold Selection," Staff Working Papers, Bank of Canada, number 19-28, Aug, DOI: 10.34989/swp-2019-28.
- Bajzik, Jozef & Havranek, Tomas & Irsova, Zuzana & Schwarz, Jiri, 2019, "Estimating the Armington Elasticity: The Importance of Data Choice and Publication Bias," MPRA Paper, University Library of Munich, Germany, number 95031, Jul.
- Petr Koldanov, 2019, "Testing new property of elliptical model for stock returns distribution," Papers, arXiv.org, number 1907.10306, Jul.
- Anne Opschoor & André Lucas, 2019, "Time-varying tail behavior for realized kernels," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-051/IV, Jul.
- Jérôme TRINH, 2019, "Temporal disaggregation of short time series with structural breaks: Estimating quarterly data from yearly emerging economies data," Working Papers, Center for Research in Economics and Statistics, number 2019-11, Jun.
- Daisuke Kurisu & Taisuke Otsu, 2019, "On the uniform convergence of deconvolution estimators from repeated measurements," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 604, Jul.
- Manh D. Pham & Léopold Simar & Valentin Zelenyuk, 2019, "Statistical Inference for Aggregation of Malmquist Productivity Indices," CEPA Working Papers Series, School of Economics, University of Queensland, Australia, number WP082019, Jul.
- David S. Miller, 2019, "Predicting Future Recessions," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2019-05-06, May, DOI: 10.17016/2380-7172.2338.
- Item repec:wrk:wrkemf:27 is not listed on IDEAS anymore
- Keith Blackwell, 2019, "A Behavioral Foundation for Commonly Observed Distributions of Financial and Economic Data," Working Papers, New School for Social Research, Department of Economics, number 1912, Aug.
- Xuehai Zhang, 2019, "Value at Risk and Expected Shortfall under General Semi-parametric GARCH models," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 123, Aug.
- Ray C. Fair, 2019, "Variable Mismeasurement in a Class of DSGE Models: Comment," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2166R, Feb, revised Jul 2019.
- Thomas Despois & Catherine Doz, 2021, "Identifying and interpreting the factors in factor models via sparsity: Different approaches," PSE Working Papers, HAL, number halshs-02235543, Sep.
- Tara M. Sinclair, 2019, "Continuities and Discontinuities in Economic Forecasting," Working Papers, The George Washington University, The Center for Economic Research, number 2019-003, Aug.
- Michael Weylandt & Yu Han & Katherine B. Ensor, 2019, "Multivariate Modeling of Natural Gas Spot Trading Hubs Incorporating Futures Market Realized Volatility," Papers, arXiv.org, number 1907.10152, Jul.
- Anne Opschoor & André Lucas, 2019, "Observation-driven Models for Realized Variances and Overnight Returns," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-052/IV, Jul.
- Azam, Jean-Paul, 2019, "Let’s Call their Bluff: The Politics of Econometric Methodology," TSE Working Papers, Toulouse School of Economics (TSE), number 19-1030, Aug.
- Yong Li & Nianling Wang & Jun Yu, 2019, "Improved Marginal Likelihood Estimation via Power Posteriors and Importance Sampling," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 16-2019, Jul.