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Report NEP-ECM-2020-06-08
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:
- Baltagi, Badi H. & Bresson, Georges & Chaturvedi, Anoop & Lacroix, Guy, 2020, "Robust Dynamic Panel Data Models Using e-Contamination," IZA Discussion Papers, Institute of Labor Economics (IZA), number 13214, May.
- Liang Jiang & Xiaobin Liu & Yichong Zhang, 2020, "Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 15-2020, May.
- Sucarrat, Genaro, 2018, "The Log-GARCH Model via ARMA Representations," MPRA Paper, University Library of Munich, Germany, number 100386, Aug.
- Sergi Jiménez-Martín & José M. Labeaga & Majid al Sadoon, 2020, "Consistent estimation of panel data sample selection models," Working Papers, FEDEA, number 2020-06, May.
- Tong Fang & Tae-Hwy Lee & Zhi Su, 2020, "Predicting the Long-term Stock Market Volatility: A GARCH-MIDAS Model with Variable Selection," Working Papers, University of California at Riverside, Department of Economics, number 202009, May.
- Llorente Fernández, Fernando & Martino, Luca & Elvira Arregui, Víctor & Delgado Gómez, David & López Santiago, Javier, 2020, "Adaptive quadrature schemes for Bayesian inference via active learning," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 30537, May.
- Giuseppe Storti & Chao Wang, 2020, "Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles," Papers, arXiv.org, number 2005.04868, May, revised Mar 2021.
- Alexander Wehrli & Spencer Wheatley & Didier Sornette, 2020, "Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-39, May.
- Steven E. Pav, 2020, "Inference on Achieved Signal Noise Ratio," Papers, arXiv.org, number 2005.06171, May, revised May 2020.
- Laurent Ferrara & Anna Simoni, 2020, "When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2020-11.
- Fakih, Ali & Makdissi, Paul & Marrouch, Walid & Tabri, Rami V. & Yazbeck, Myra, 2020, "A stochastic dominance test under survey nonresponse with an application to comparing trust levels in Lebanese public institutions," Working Papers, University of Sydney, School of Economics, number 2020-05, May, revised Jun 2021.
- Harvey, David I & Leybourne, Stephen J & Sollis, Robert & Taylor, AM Robert, 2020, "Real-Time Detection of Regimes of Predictability in the U.S. Equity Premium," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 27775, Jun.
- Paulo M.M. Rodrigues & João Nicolau, 2020, "Measuring wage inequality under right censoring," Working Papers, Banco de Portugal, Economics and Research Department, number w202008.