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Report NEP-ECM-2020-03-09
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:
- Jaedo Choi & Jin Seo Cho & Hyungsik Roger Moon, 2020, "Sequentially Estimating the Structural Equation by Power Transformation," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2020rwp-162, Feb.
- Greg Lewis & Vasilis Syrgkanis, 2020, "Double/Debiased Machine Learning for Dynamic Treatment Effects via g-Estimation," Papers, arXiv.org, number 2002.07285, Feb, revised Jun 2021.
- Bernd Funovits, 2020, "Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation," Papers, arXiv.org, number 2002.04346, Feb, revised Feb 2021.
- Giuseppe Brandi & T. Di Matteo, 2020, "On the statistics of scaling exponents and the Multiscaling Value at Risk," Papers, arXiv.org, number 2002.04164, Feb, revised Mar 2021.
- Yunmi Kim & Lijuan Huo & Tae-Hwan Kim, 2020, "Dealing with Markov-Switching Parameters in Quantile Regression Models," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2020rwp-166, Feb.
- Niko Hauzenberger & Florian Huber & Luca Onorante, 2020, "Combining Shrinkage and Sparsity in Conjugate Vector Autoregressive Models," Papers, arXiv.org, number 2002.08760, Feb, revised Aug 2020.
- James A. Duffy & Jerome R. Simons, 2020, "Cointegration without Unit Roots," Papers, arXiv.org, number 2002.08092, Feb, revised Apr 2023.
- Giulia Carallo & Roberto Casarin & Christian P. Robert, 2020, "Generalized Poisson Difference Autoregressive Processes," Papers, arXiv.org, number 2002.04470, Feb.
- Tae-Hwan Kim & Dong Jin Lee & Paul Mizen, 2020, "Impulse Response Analysis in Conditional Quantile Models and an Application to Monetary Policy," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2020rwp-164, Feb.
- Yunmi Kim & Douglas Stone & Tae-Hwan Kim, 2020, "Testing for Structural Breaks in Return-Based Style Regression Models," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2020rwp-165, Feb.
- Yong Song & Tomasz Wo'zniak, 2020, "Markov Switching," Papers, arXiv.org, number 2002.03598, Feb.
- Wenjing Wang & Minjing Tao, 2020, "Forecasting Realized Volatility Matrix With Copula-Based Models," Papers, arXiv.org, number 2002.08849, Feb.
- Chi Chen & Li Zhao & Wei Cao & Jiang Bian & Chunxiao Xing, 2020, "Trimming the Sail: A Second-order Learning Paradigm for Stock Prediction," Papers, arXiv.org, number 2002.06878, Feb.
- Masahiro Kato & Masatoshi Uehara & Shota Yasui, 2020, "Off-Policy Evaluation and Learning for External Validity under a Covariate Shift," Papers, arXiv.org, number 2002.11642, Feb, revised Oct 2020.
- Zanetti Chini, Emilio, 2020, "Dynamic Asymmetry and Fiscal Policy," MPRA Paper, University Library of Munich, Germany, number 98499, Jan.
- Lajos Horv'ath & Zhenya Liu & Shanglin Lu, 2020, "Sequential Monitoring of Changes in Housing Prices," Papers, arXiv.org, number 2002.04101, Feb.
- Atkinson, Anthony C. & Riani, Marco & Corbellini, Aldo, 2021, "The box-cox transformation: review and extensions," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 103537, May.
- Daniel Buncic, 2020, "Econometric issues with Laubach and Williams' estimates of the natural rate of interest," Papers, arXiv.org, number 2002.11583, Feb, revised Aug 2020.
- Oksana Bashchenko & Alexis Marchal, 2020, "Deep Learning for Asset Bubbles Detection," Papers, arXiv.org, number 2002.06405, Feb.