Report NEP-ECM-2020-01-13

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:

• Aknouche, Abdelhakim & Francq, Christian, 2019, "Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models," MPRA Paper, University Library of Munich, Germany, number 97382, Dec.
• Alexandre Belloni & Federico A. Bugni & Victor Chernozhukov, 2019, "Subvector inference in PI models with many moment inequalities," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP28/19, Jun.
• Zijian Zeng & Meng Li, 2020, "Bayesian Median Autoregression for Robust Time Series Forecasting," Papers, arXiv.org, number 2001.01116, Jan, revised Dec 2020.
• Victor Chernozhukov & Kaspar Wüthrich & Yinchu Zhu, 2019, "Inference on average treatment effects in aggregate panel data settings," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP32/19, Jun.
• Raffaella Giacomini & Toru Kitagawa & Matthew Read, 2019, "Robust Bayesian Inference in Proxy SVARs," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP38/19, Jul.
• Raffaella Giacomini & Toru Kitagawa & Harald Uhlig, 2019, "Estimation Under Ambiguity," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP24/19, May.
• Andrii Babii & Eric Ghysels & Jonas Striaukas, 2019, "High-Dimensional Granger Causality Tests with an Application to VIX and News," Papers, arXiv.org, number 1912.06307, Dec, revised Feb 2021.
• Xi Chen & Ye Luo & Martin Spindler, 2019, "Adaptive Discrete Smoothing for High-Dimensional and Nonlinear Panel Data," Papers, arXiv.org, number 1912.12867, Dec, revised Jan 2020.
• Joris Pinkse & Karl Schurter, 2019, "Estimation of Auction Models with Shape Restrictions," Papers, arXiv.org, number 1912.07466, Dec.
• Jiahe Lin & George Michailidis, 2019, "Regularized Estimation of High-dimensional Factor-Augmented Vector Autoregressive (FAVAR) Models," Papers, arXiv.org, number 1912.04146, Dec, revised May 2020.
• Mike Tsionas & Marwan Izzeldin & Lorenzo Trapani, 2019, "Bayesian estimation of large dimensional time varying VARs using copulas," Papers, arXiv.org, number 1912.12527, Dec.
• Florian Gunsilius & Susanne M. Schennach, 2019, "Independent nonlinear component analysis," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP46/19, Sep.
• Manuel Denzer, 2019, "Estimating Causal Effects in Binary Response Models with Binary Endogenous Explanatory Variables - A Comparison of Possible Estimators," Working Papers, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz, number 1916, Dec.
• Victor Chernozhukov & Christian Hansen & Yuan Liao & Yinchu Zhu, 2019, "Inference for heterogeneous effects using low-rank estimations," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP31/19, Jun.
• Holger Dette & Weichi Wu, 2020, "Prediction in locally stationary time series," Papers, arXiv.org, number 2001.00419, Jan, revised Jan 2020.
• Antonios Antypas & Guglielmo Maria Caporale & Nikolaos Kourogenis & Nikitas Pittis, 2019, "Estimation of Conditional Asset Pricing Models with Integrated Variables in the Beta Specification," CESifo Working Paper Series, CESifo, number 7969.
• Anand Deo & Sandeep Juneja, 2019, "Credit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator," Papers, arXiv.org, number 1912.12611, Dec.
• Negera Deresa & Ingrid Van Keilegom, 2019, "Flexible parametric model for survival data subject to dependent censoring," Working Papers of Department of Decision Sciences and Information Management, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven, number 632067, Jan.
• Jean-Pierre Florens & Léopold Simar & Ingrid Van Keilegom, 2018, "Estimation of the boundary of a variable observed with symmetric error," Working Papers of Department of Decision Sciences and Information Management, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven, number 630770, Dec.
• Azeem M. Shaikh, 2019, "Inference in Experiments with Matched Pairs," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP19/19, Apr.
• Dennis Kristensen & Patrick K. Mogensen & Jong-Myun Moon & Bertel Schjerning, 2019, "Solving dynamic discrete choice models using smoothing and sieve methods," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP15/19, Apr.
• Buil-Gil, David & Solymosi, Reka & Moretti, Angelo, 2019, "Non-parametric bootstrap and small area estimation to mitigate bias in crowdsourced data. Simulation study and application to perceived safety," SocArXiv, Center for Open Science, number 8hgjt, Oct, DOI: 10.31219/osf.io/8hgjt.
• Jiahe Lin & George Michailidis, 2019, "Approximate Factor Models with Strongly Correlated Idiosyncratic Errors," Papers, arXiv.org, number 1912.04123, Dec.
• Mathur, Maya B & VanderWeele, Tyler, 2018, "New metrics for multiple testing with correlated outcomes," OSF Preprints, Center for Open Science, number k9g3b, Sep, DOI: 10.31219/osf.io/k9g3b.
• Fries, Sébastien, 2018, "Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds," MPRA Paper, University Library of Munich, Germany, number 97353, May, revised Nov 2019.
• Semenova, Daria & Temirkaeva, Maria, 2019, "The Comparison of Methods for IndividualTreatment Effect Detection," MPRA Paper, University Library of Munich, Germany, number 97309, Sep, revised 23 Sep 2019.
• Mathur, Maya B & VanderWeele, Tyler, 2018, "New metrics for meta-analyses of heterogeneous effects," OSF Preprints, Center for Open Science, number v37j6, Nov, DOI: 10.31219/osf.io/v37j6.
• Bo E. Honoré & Thomas Jorgensen & Áureo de Paula, 2019, "Sensitivity of Estimation Precision to Moments with an Application to a Model of Joint Retirement Planning of Couples," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP36/19, Jul.
• van Erp, Sara & Oberski, Daniel L. & Mulder, Joris, 2018, "Shrinkage priors for Bayesian penalized regression," OSF Preprints, Center for Open Science, number cg8fq, Jan, DOI: 10.31219/osf.io/cg8fq.
• Nguyen, Loc PhD, MD, MBA, 2018, "A Maximum Likelihood Mixture Approach for Multivariate Hypothesis Testing in case of Incomplete Data," OSF Preprints, Center for Open Science, number kmg3r, Jan, DOI: 10.31219/osf.io/kmg3r.
• Manuel Arellano & Stephane Bonhomme, 2019, "Recovering Latent Variables by Matching," Papers, arXiv.org, number 1912.13081, Dec.
• Yingyao Hu & Yi Xin, 2019, "Identi?cation and estimation of dynamic structural models with unobserved choices," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP35/19, Jun.
• Gergely Ganics & Florens Odendahl, 2019, "Bayesian VAR forecasts, survey information and structural change in the euro area," Working Papers, Banco de España, number 1948, Dec.
• Antonia Reinecke & Hans-Jörg Schmerer, 2019, "Estimating the Local Effectiveness of Institutions: A Latent-Variable Approach," CESifo Working Paper Series, CESifo, number 7979.
• Arthur Lewbel & Lars Nesheim, 2019, "Sparse demand systems: corners and complements," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP45/19, Sep.
• Wayne Yuan Gao & Ming Li & Sheng Xu, 2020, "Logical Differencing in Dyadic Network Formation Models with Nontransferable Utilities," Papers, arXiv.org, number 2001.00691, Jan, revised Jul 2021.
• Mert Demirer & Vasilis Syrgkanis & Greg Lewis & Victor Chernozhukov, 2019, "Semi-Parametric Efficient Policy Learning with Continuous Actions," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP34/19, Jun.
• Benjamin Colling & Ingrid Van Keilegom, 2018, "Estimation of a semiparametric transformation model: a novel approach based on least squares minimization," Working Papers of Department of Decision Sciences and Information Management, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven, number 630751, Dec.
• Gergely Ganics & Barbara Rossi & Tatevik Sekhposyan, 2019, "From fixed-event to fixed-horizon density forecasts: obtaining measures of multi-horizon uncertainty from survey density forecasts," Working Papers, Banco de España, number 1947, Dec.
• Anneleen Verhasselt & Alvaro J Flórez & Ingrid Van Keilegom & Geert Molenberghs, 2019, "The impact of incomplete data on quantile regression for longitudinal data," Working Papers of Department of Decision Sciences and Information Management, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven, number 632541, Jan.
• Mkael Escobar & Ingrid Van Keilegom, 2018, "Non-parametric cure rate estimation under insufficient follow-up using extremes," Working Papers of Department of Decision Sciences and Information Management, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven, number 630759, Dec.
• Hohsuk Noh & Ingrid Van Keilegom, 2019, "On relaxing the distributional assumption of stochastic frontier models," Working Papers of Department of Decision Sciences and Information Management, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven, number 632085, Jan.
• Justin Chown & Cédric Heuchenne & Ingrid Van Keilegom, 2018, "The nonparametric location-scale mixture cure model," Working Papers of Department of Decision Sciences and Information Management, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven, number 630665, Dec.
• Alisa Yusupova & Nicos G. Pavlidis & Efthymios G. Pavlidis, 2019, "Adaptive Dynamic Model Averaging with an Application to House Price Forecasting," Papers, arXiv.org, number 1912.04661, Dec.
• Irène Gijbels & Ingrid Van Keilegom & Yue Zhao, 2018, "Inference for covariate-adjusted semiparametric Gaussian copula model using residual ranks," Working Papers of Department of Decision Sciences and Information Management, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven, number 630763, Dec.
• Mickaël De Backer & Anouar El Ghouch & Ingrid Van Keilegom, 2018, "Linear censored quantile regression: a novel minimum-distance approach," Working Papers of Department of Decision Sciences and Information Management, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven, number 630769, Dec.
• Jianfei Cao & Shirley Lu & Hang Wu, 2019, "Synthetic Control Inference for Staggered Adoption," Papers, arXiv.org, number 1912.06320, Dec, revised Nov 2025.
• Francesca Molinari, 2019, "Econometrics with Partial Identification," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP25/19, May.
• Valentin Patilea & Ingrid Van Keilegom, 2019, "A general approach for cure models in survival analysis," Working Papers of Department of Decision Sciences and Information Management, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven, number 632076, Jan.
• Candida Geerdens & Paul Janssen & Ingrid Van Keilegom, 2018, "Goodness-of-fit test for a parametric survival function with cure fraction," Working Papers of Department of Decision Sciences and Information Management, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven, number 630753, Dec.

Report NEP-ECM-2020-01-13

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: