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Report NEP-ECM-2019-10-28
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:
- Maria Kyriacou & Peter C.B. Phillips & Francesca Rossi, 2019, "Continuously Updated Indirect Inference in Heteroskedastic Spatial Models," Working Papers, University of Verona, Department of Economics, number 15/2019, Oct.
- Didier Nibbering, 2019, "A High-dimensional Multinomial Choice Model," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 19/19.
- Patrick Leung & Catherine S. Forbes & Gael M Martin & Brendan McCabe, 2019, "Forecasting Observables with Particle Filters: Any Filter Will Do!," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 22/19.
- Shi, Chengchun & Lu, Wenbin & Song, Rui, 2019, "Determining the number of latent factors in statistical multi-relational learning," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 102110.
- Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrian, 2019, "Markov-switching score-driven multivariate models: outlier-robust measurement of the relationships between world crude oil production and US industrial production," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa, number 29030, Oct.
- Ruoxuan Xiong & Markus Pelger, 2019, "Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference," Papers, arXiv.org, number 1910.08273, Oct, revised Jan 2022.
- Jushan Bai & Sung Hoon Choi & Yuan Liao, 2019, "Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations," Papers, arXiv.org, number 1910.09004, Oct, revised Aug 2020.
- Fei Liu & Jiti Gao & Yanrong Yang, 2019, "Nonparametric Estimation in Panel Data Models with Heterogeneity and Time Varyingness," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 24/19.
- Anastasios Panagiotelis & Puwasala Gamakumara & George Athanasopoulos & Rob J Hyndman, 2019, "Forecast Reconciliation: A geometric View with New Insights on Bias Correction," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 18/19.
- Niko Hauzenberger & Florian Huber & Gary Koop & Luca Onorante, 2019, "Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models," Papers, arXiv.org, number 1910.10779, Oct, revised Sep 2021.
- Yinchu Zhu, 2019, "How well can we learn large factor models without assuming strong factors?," Papers, arXiv.org, number 1910.10382, Oct, revised Nov 2019.
- Florian Gunsilius, 2019, "A path-sampling method to partially identify causal effects in instrumental variable models," Papers, arXiv.org, number 1910.09502, Oct, revised Jun 2020.
- Thiyanga S. Talagala & Feng Li & Yanfei Kang, 2019, "Feature-based Forecast-Model Performance Prediction," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 21/19.
- Paul Levine & Joseph Pearlman & Stephen Wright & Bo Yang, 2019, "Information, VARs and DSGE Models," School of Economics Discussion Papers, School of Economics, University of Surrey, number 1619, Oct.
- Matteo Barigozzi & Matteo Luciani, 2019, "Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models," Papers, arXiv.org, number 1910.09841, Oct.
- Milan Kumar Das & Anindya Goswami & Sharan Rajani, 2019, "Inference of Binary Regime Models with Jump Discontinuities," Papers, arXiv.org, number 1910.10606, Oct, revised Mar 2022.
- Weilun Zhou & Jiti Gao & David Harris & Hsein Kew, 2019, "Semiparametric Single-index Predictive Regression," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 25/19.
- Nathalie Gimenes & Emmanuel Guerre, 2019, "Nonparametric identification of an interdependent value model with buyer covariates from first-price auction bids," Papers, arXiv.org, number 1910.10646, Oct.
- Charpentier & Arthur & Mussard & Stephane & Tea Ouraga, 2019, "Principal Component Analysis: A Generalized Gini Approach," Papers, arXiv.org, number 1910.10133, Oct.
- Amit Gandhi & Jean-François Houde, 2019, "Measuring Substitution Patterns in Differentiated-Products Industries," NBER Working Papers, National Bureau of Economic Research, Inc, number 26375, Oct.
- Yaya, OlaOluwa S & Ogbonna, Ephraim A & Furuoka, Fumitaka & Gil-Alana, Luis A., 2019, "A new unit root analysis for testing hysteresis in unemployment," MPRA Paper, University Library of Munich, Germany, number 96621, Oct.
- Lu Bai & Lixin Cui & Lixiang Xu & Yue Wang & Zhihong Zhang & Edwin R. Hancock, 2019, "Entropic Dynamic Time Warping Kernels for Co-evolving Financial Time Series Analysis," Papers, arXiv.org, number 1910.09153, Oct.