Report NEP-ECM-2020-05-11

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:

• Zongwu Cai & Ying Fang & Qiuhua Xu, 2020, "Testing Capital Asset Pricing Models using Functional-Coefficient Panel Data Models with Cross-Sectional Dependence," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202009, Jul, revised Jul 2020.
• Eric Hillebrand & Manuel Lukas & Wei Wei, 2020, "Bagging Weak Predictors," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 16/20.
• Kim, Jihyun & Meddahi, Nour, 2020, "Volatility Regressions with Fat Tails," TSE Working Papers, Toulouse School of Economics (TSE), number 20-1097, May.
• Svetlana Litvinova & Mervyn J. Silvapulle, 2020, "Consistency of full-sample bootstrap for estimating high-quantile, tail probability, and tail index," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 15/20.
• Piero Mazzarisi & Silvia Zaoli & Carlo Campajola & Fabrizio Lillo, 2020, "Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages," Papers, arXiv.org, number 2005.01160, May, revised May 2021.
• Poncela, Pilar & Ruiz, Esther, 2020, "A comment on the dynamic factor model with dynamic factors," Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel), number 2020-7.
• Masayuki Sawada & Kohei Kawaguchi, 2020, "Estimating High-Dimensional Discrete Choice Model of Differentiated Products with Random Coefficients," Papers, arXiv.org, number 2004.08791, Apr.
• Chen, J.; & Gu, Y.; & Jones, A.M.; & Peng, B.;, 2020, "Modelling healthcare costs: a semiparametric extension of generalised linear models," Health, Econometrics and Data Group (HEDG) Working Papers, HEDG, c/o Department of Economics, University of York, number 20/03, Feb.
• Dimitris Korobilis & Davide Pettenuzzo, 2020, "Machine Learning Econometrics: Bayesian algorithms and methods," Papers, arXiv.org, number 2004.11486, Apr.
• Karlsson, Sune & Mazur, Stepan, 2020, "Flexible Fat-tailed Vector Autoregression," Working Papers, Örebro University, School of Business, number 2020:5, Apr.
• Yeonwoo Rho & Yun Liu & Hie Joo Ahn, 2020, "Revealing Cluster Structures Based on Mixed Sampling Frequencies," Papers, arXiv.org, number 2004.09770, Apr, revised Feb 2021.
• Mengya Liu & Fukan Zhu & Ke Zhu, 2020, "Multi-frequency-band tests for white noise under heteroskedasticity," Papers, arXiv.org, number 2004.09161, Apr.
• Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2020, "An Introduction To Bootstrap Theory In Time Series Econometrics," Discussion Papers, University of Copenhagen. Department of Economics, number 20-02, Dec.
• Andreas Tryphonides, 2020, "Identifying Preferences when Households are Financially Constrained," Papers, arXiv.org, number 2005.02010, May, revised Feb 2023.
• Kim, Jihyun & Park, Joon & Wang, Bin, 2020, "Estimation of Volatility Functions in Jump Diffusions Using Truncated Bipower Increments," TSE Working Papers, Toulouse School of Economics (TSE), number 20-1096, May.
• Jean-Jacques Forneron & Serena Ng, 2020, "Inference by Stochastic Optimization: A Free-Lunch Bootstrap," Papers, arXiv.org, number 2004.09627, Apr, revised Sep 2020.
• Thomas-Agnan, Christine & Laurent, Thibault & Ruiz-Gazen, Anne & Nguyen, T.H.A & Chakir, Raja & Lungarska, Anna, 2020, "Spatial simultaneous autoregressive models for compositional data: Application to land use," TSE Working Papers, Toulouse School of Economics (TSE), number 20-1098, May.
• Gael M. Martin & David T. Frazier & Christian P. Robert, 2020, "Computing Bayes: Bayesian Computation from 1763 to the 21st Century," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 14/20.
• Zolotareva, Anna (Золотарева, Анна) & Kireeva, Anastasia (Киреева, Анастасия), 2020, "Prospects and options for codification of payments levied in order to compensate for harm (damage) to the environment
  [Перспективы И Варианты Кодификации Платежей, Взимаемых В Целях Возмещения Вред," Working Papers, Russian Presidential Academy of National Economy and Public Administration, number 032015, Mar.
• Ursula Laa & Dianne Cook & Andreas Buja & German Valencia, 2020, "Hole or grain? A Section Pursuit Index for Finding Hidden Structure in Multiple Dimensions," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 17/20.
• Ruda Zhang & Patrick Wingo & Rodrigo Duran & Kelly Rose & Jennifer Bauer & Roger Ghanem, 2020, "Environmental Economics and Uncertainty: Review and a Machine Learning Outlook," Papers, arXiv.org, number 2004.11780, Apr.
• Chan, Mark K. & Kwok, Simon, 2020, "The PCDID Approach: Difference-in-Differences when Trends are Potentially Unparallel and Stochastic," Working Papers, University of Sydney, School of Economics, number 2020-03, Mar.
• Francesca Molinari, 2020, "Microeconometrics with Partial Identification," Papers, arXiv.org, number 2004.11751, Apr.
• Michael Roberts & Indranil SenGupta, 2020, "Sequential hypothesis testing in machine learning, and crude oil price jump size detection," Papers, arXiv.org, number 2004.08889, Apr, revised Dec 2020.
• Mattia Guerini & Patrick Musso & Lionel Nesta, 2020, "Estimation of Threshold Distributions for Market Participation," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2020/09, May.
• Marc-Oliver Pohle, 2020, "The Murphy Decomposition and the Calibration-Resolution Principle: A New Perspective on Forecast Evaluation," Papers, arXiv.org, number 2005.01835, May.
• Arjun Prakash & Nick James & Max Menzies & Gilad Francis, 2020, "Structural clustering of volatility regimes for dynamic trading strategies," Papers, arXiv.org, number 2004.09963, Apr, revised Nov 2021.
• Jesper R.-V. Soerensen & Mogens Fosgerau, 2020, "How McFadden met Rockafellar and learnt to do more with less," Discussion Papers, University of Copenhagen. Department of Economics, number 20-01, Dec.
• Alexander Arimond & Damian Borth & Andreas Hoepner & Michael Klawunn & Stefan Weisheit, 2020, "Neural Networks and Value at Risk," Papers, arXiv.org, number 2005.01686, May, revised May 2020.

Report NEP-ECM-2020-05-11

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: