Report NEP-ECM-2020-06-15

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:

• Fu Ouyang & Thomas Tao Yang, 2020, "Semiparametric Estimation of Dynamic Binary Choice Panel Data Models," ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics, number 2020-671, May.
• António Rua & Francisco Dias, 2020, "A non-hierarchical dynamic factor model for three-way data," Working Papers, Banco de Portugal, Economics and Research Department, number w202007.
• Tobias Hartl & Rolf Tschernig & Enzo Weber, 2020, "Fractional trends and cycles in macroeconomic time series," Papers, arXiv.org, number 2005.05266, May, revised May 2020.
• Escribano, Álvaro & Wang, Dandan, 2020, "Forecasting gasoline prices with mixed random forest error correction models," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 30557, Jun.
• Laurent Pauwels & Peter Radchenko & Andrey L. Vasnev, 2020, "High Moment Constraints for Predictive Density Combination," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2020-45, May, revised Jun 2023.
• Felix Elwert & Elan Segarra, 2020, "Instrumental Variables with Treatment-Induced Selection: Exact Bias Results," Papers, arXiv.org, number 2005.09583, May.
• Taras Bodnar & Solomiia Dmytriv & Yarema Okhrin & Nestor Parolya & Wolfgang Schmid, 2020, "Statistical inference for the EU portfolio in high dimensions," Papers, arXiv.org, number 2005.04761, May.
• Michael Creel, 2020, "Inference Using Simulated Neural Moments," Working Papers, Barcelona School of Economics, number 1182, Jun.
• Tobias Hartl, 2020, "Macroeconomic Forecasting with Fractional Factor Models," Papers, arXiv.org, number 2005.04897, May.
• Yasumasa Matsuda & Xin Yuan, 2020, "Multivariate Carma Random Fields," DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University, number 113, Apr.
• Bo E. Honor'e & Martin Weidner, 2020, "Moment Conditions for Dynamic Panel Logit Models with Fixed Effects," Papers, arXiv.org, number 2005.05942, May, revised Dec 2023.
• Helmut Lütkepohl, 2020, "Structural Vector Autoregressive Models with More Shocks than Variables Identified via Heteroskedasticity," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1871.
• Yue Qiu & Tian Xie & Jun Yu, 2020, "Forecast combinations in machine learning," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 13-2020, May.
• Canepa, Alessandra, 2020, "Improvement on the LR Test Statistic on the Cointegrating Relations in VAR Models: Bootstrap Methods and Applications," Department of Economics and Statistics Cognetti de Martiis. Working Papers, University of Turin, number 202007, Mar.
• Juan Carlos Escanciano, 2020, "Irregular Identification of Structural Models with Nonparametric Unobserved Heterogeneity," Papers, arXiv.org, number 2005.08611, May.
• Fu Ouyang & Thomas Tao Yang & Hanghui Zhang, 2020, "Semiparametric Identification and Estimation of Discrete Choice Models for Bundles," ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics, number 2020-672, May.
• Enrique Martínez García, 2020, "A Matter of Perspective: Mapping Linear Rational Expectations Models into Finite-Order VAR Form," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 389, May, DOI: 10.24149/gwp389.
• Sanghyun Hong & W. Robert Reed, 2020, "Using Monte Carlo Experiments to Select Meta-Analytic Estimators," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 20/10, Jun.
• Masato Hisakado & Shintaro Mori, 2020, "Parameter estimation of default portfolios using the Merton model and Phase transition," Papers, arXiv.org, number 2005.07967, May.
• Samuel Gingras & William J. McCausland, 2020, "A Flexible Stochastic Conditional Duration Model," Papers, arXiv.org, number 2005.09166, May.
• Christian Bongiorno & Damien Challet, 2020, "Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning," Papers, arXiv.org, number 2005.08703, May, revised Mar 2023.
• Håvard Hungnes, 2020, "Equal predictability test for multi-step-ahead system forecasts invariant to linear transformations," Discussion Papers, Statistics Norway, Research Department, number 931, May.
• Massimiliano Mazzanti & Antonio Musolesi, 2020, "A Semiparametric Analysis of Green Inventions and Environmental Policies," SEEDS Working Papers, SEEDS, Sustainability Environmental Economics and Dynamics Studies, number 0920, Jun, revised Jun 2020.
• Andrii Babii & Eric Ghysels & Jonas Striaukas, 2020, "Machine Learning Time Series Regressions with an Application to Nowcasting," Papers, arXiv.org, number 2005.14057, May, revised Dec 2020.
• Matteo Fontana & Gianluca Zeni & Simone Vantini, 2020, "Conformal Prediction: a Unified Review of Theory and New Challenges," Papers, arXiv.org, number 2005.07972, May, revised Jul 2022.
• Paolo Gelain & Simone Manganelli, 2020, "Monetary Policy with Judgment," Working Papers, Federal Reserve Bank of Cleveland, number 20-14, May, DOI: 10.26509/frbc-wp-202014.
• Yang Feng & Qingfeng Liu, 2020, "Nested Model Averaging on Solution Path for High-dimensional Linear Regression," Papers, arXiv.org, number 2005.08057, May.
• Eleni Kalamara & Arthur Turrell & Chris Redl & George Kapetanios & Sujit Kapadia, 2020, "Making text count: economic forecasting using newspaper text," Bank of England working papers, Bank of England, number 865, May.
• Michael Puglia & Adam Tucker, 2020, "Machine Learning, the Treasury Yield Curve and Recession Forecasting," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2020-038, May, DOI: 10.17016/FEDS.2020.038.

Report NEP-ECM-2020-06-15

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: