Report NEP-ECM-2019-12-23

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:

• Ping Yu & Qin Liao & Peter C.B. Phillips, 2019, "Inference and Specification Testing in Threshold Regression with Endogeneity," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2209, Nov.
• Siddhartha Chib & Minchul Shin & Anna Simoni, 2019, "Bayesian Estimation and Comparison of Conditional Moment Models," Working Papers, Federal Reserve Bank of Philadelphia, number 19-51, Dec, DOI: https://doi.org/10.21799/frbp.wp.20.
• Jin Seo Cho & Matthew Greenwood-Nimmo & Yongcheol Shin, 2019, "Two-Step Estimation of the Nonlinear Autoregressive Distributed Lag Model," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2019rwp-154, Dec.
• Hajivassiliou, Vassilis, 2019, "Estimation and specification testing of panel data models with non-ignorable persistent heterogeneity, contemporaneous and intertemporal simultaneity and observable and unobservable dynamics," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 102843, Sep.
• Maurizio Daniele & Julie Schnaitmann, 2019, "A Regularized Factor-augmented Vector Autoregressive Model," Papers, arXiv.org, number 1912.06049, Dec.
• Igor Kheifets & Peter C.B. Phillips, 2019, "Fully Modified Least Squares for Multicointegrated Systems," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2210, Nov.
• Halvarsson, Daniel, 2019, "Asymmetric Double Pareto Distributions: Maximum Likelihood Estimation with Application to the Growth Rate Distribution of Firms," Ratio Working Papers, The Ratio Institute, number 327, Dec.
• Simon Hetland & Rasmus Søndergaard Pedersen & Anders Rahbek, 2019, "Dynamic Conditional Eigenvalue GARCH," Discussion Papers, University of Copenhagen. Department of Economics, number 19-13, Dec.
• Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2019, "Forecasting with a Panel Tobit Model," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2019-005, May.
• Mohamed CHIKHI & Claude DIEBOLT & Tapas MISHRA, 2019, "Does Predictive Ability of an Asset Price Rest in 'Memory'? Insights from a New Approach," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2019-43.
• Cannon, Alex J., 2017, "Non-crossing nonlinear regression quantiles by monotone composite quantile regression neural network, with application to rainfall extremes," Earth Arxiv, Center for Open Science, number wg7sn, Dec, DOI: 10.31219/osf.io/wg7sn.
• Jan Bierlant & Sven Buitendag & Eustasio Del Barrio & Marc Hallin, 2019, "Center-Outward Quantiles And The Measurement Of Multivariate Risk," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2019-30, Dec.
• Dinghai Xu, 2019, "A Study on Volatility Spurious Almost Integration Effect: A Threshold Realized GARCH Approach," Working Papers, University of Waterloo, Department of Economics, number 1903, Dec, revised Dec 2019.
• Hui Chen & Winston Wei Dou & Leonid Kogan, 2019, "Measuring “Dark Matter” in Asset Pricing Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 26418, Nov.
• Mark Bognanni & John Zito, 2019, "Sequential Bayesian Inference for Vector Autoregressions with Stochastic Volatility," Working Papers, Federal Reserve Bank of Cleveland, number 19-29, Dec, DOI: 10.26509/frbc-wp-201929.
• Thomas Crossley & Peter Levell & Stavros Poupakis, 2019, "Regression with an Imputed Dependent Variable," IFS Working Papers, Institute for Fiscal Studies, number W19/16, Jun.
• Bryan T. Kelly & Asaf Manela & Alan Moreira, 2019, "Text Selection," NBER Working Papers, National Bureau of Economic Research, Inc, number 26517, Nov.
• Valérie Lechene & Krishna Pendakur & Alexander Wolf, 2019, "OLS estimation of the intra-household distribution of consumption," IFS Working Papers, Institute for Fiscal Studies, number W19/19, Jul.
• Item repec:eti:rdpsjp:19065 is not listed on IDEAS anymore

• Hirschauer, Norbert & Grüner, Sven & Mußhoff, Oliver & Becker, Claudia, 2019, "Inference in economic experiments," Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel), number 2019-65.
• Bartosz Uniejewski & Rafal Weron, 2019, "Regularized Quantile Regression Averaging for probabilistic electricity price forecasting," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/19/04, Nov.