Report NEP-ECM-2019-11-25

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.

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Other reports in NEP-ECM

The following items were announced in this report:

• Liang Chen & Yulong Huo, 2019. "A Simple Estimator for Quantile Panel Data Models Using Smoothed Quantile Regressions," Papers 1911.04729, arXiv.org.
• Sladana Babic & Laetitia Gelbgras & Marc Hallin & Christophe Ley, 2019. "Optimal tests for elliptical symmetry: specified and unspecified location," Working Papers ECARES 2019-26, ULB -- Universite Libre de Bruxelles.
• Tauchmann, Harald, 2019. "Fixed-effects estimation of the linear discrete-time hazard model: An adjusted first-differences estimator," FAU Discussion Papers in Economics 09/2019, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
• Fabio Franco, 2019. "Efficient Particle MCMC with GMM likelihood representation," CEIS Research Paper 473, Tor Vergata University, CEIS, revised 18 Nov 2019.
• Richard Y. Chen, 2018. "Inference for Volatility Functionals of Multivariate It\^o Semimartingales Observed with Jump and Noise," Papers 1810.04725, arXiv.org, revised Nov 2019.
• Taylor, Marshall A., 2019. "Visualization Strategies for Regression Estimates with Randomization Inference," SocArXiv bsd7g, Center for Open Science.
• Emmanuelle Jay & Thibault Soler & Jean-Philippe Ovarlez & Philippe De Peretti & Christophe Chorro, 2019. "Robust covariance matrix estimation and portfolio allocation: the case of non-homogeneous assets," Documents de travail du Centre d'Economie de la Sorbonne 19023, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Giuseppe Brandi & Ruggero Gramatica & Tiziana Di Matteo, 2019. "Unveil stock correlation via a new tensor-based decomposition method," Papers 1911.06126, arXiv.org, revised Apr 2020.
• Ruoxuan Xiong & Susan Athey & Mohsen Bayati & Guido Imbens, 2019. "Optimal Experimental Design for Staggered Rollouts," Papers 1911.03764, arXiv.org, revised Sep 2023.
• Yixiao Sun & Xuexin Wang, 2019. "An Asymptotically F-Distributed Chow Test in the Presence of Heteroscedasticity and Autocorrelation," Papers 1911.03771, arXiv.org.
• Cristina Gualdani & Shruti Sinha, 2019. "Identification in discrete choice models with imperfect information," Papers 1911.04529, arXiv.org, revised Dec 2023.
• Mirela Miescu & Haroon Mumtaz, 2019. "Proxy structural vector autoregressions, informational sufficiency and the role of monetary policy," Working Papers 280730188, Lancaster University Management School, Economics Department.
• Brendan K. Beare & Juwon Seo, 2019. "Randomization tests of copula symmetry," Papers 1911.05307, arXiv.org.
• Martin Bruns, 2019. "Proxy VAR models in a data-rich environment," University of East Anglia School of Economics Working Paper Series 2019-03, School of Economics, University of East Anglia, Norwich, UK..
• Zeng-Hua Lu, 2019. "Extended MinP Tests for Global and Multiple testing," Papers 1911.04696, arXiv.org, revised Aug 2024.
• Alloza, Mario & Gonzalo, Jesús & Sanz, Carlos, 2019. "Dynamic Effects of Persistent Shocks," UC3M Working papers. Economics 29187, Universidad Carlos III de Madrid. Departamento de Economía.
• Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2019. "Multimodality in Macro-Financial Dynamics," Staff Reports 903, Federal Reserve Bank of New York.
• R Verbelen & K Antonio & Gerda Claeskens & J Crevecoeur, 2018. "An EM algorithm to model the occurrence of events subject to a reporting delay," Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven 623951, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven.