Report NEP-ECM-2020-06-29

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:

• Fabrizio Iacone & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2020, "Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks," Working Paper, Economics Department, Queen's University, number 1431, Nov.
• Linton, O. & Tang, H., 2020, "Estimation of the Kronecker Covariance Model by Quadratic Form," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2050, Jun.
• Christoph Breunig & Xiaohong Chen, 2020, "Adaptive, Rate-Optimal Hypothesis Testing in Nonparametric IV Models," Papers, arXiv.org, number 2006.09587, Jun, revised Nov 2024.
• Rustam Ibragimov & Jihyun Kim & Anton Skrobotov, 2020, "New robust inference for predictive regressions," Papers, arXiv.org, number 2006.01191, Jun, revised Mar 2023.
• Jochmans, K., 2020, "Heteroskedasticity-Robust Inference in Linear Regression Models with Many Covariates," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2033, Apr.
• Zhang, Haoran & Chen, Yunxiao & Li, Xiaoou, 2020, "A note on exploratory item factor analysis by singular value decomposition," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 104166, Jun.
• Sobin Joseph & Lekhapriya Dheeraj Kashyap & Shashi Jain, 2020, "Shallow Neural Hawkes: Non-parametric kernel estimation for Hawkes processes," Papers, arXiv.org, number 2006.02460, Jun.
• Paolo Frumento & Matteo Bottai & Iv'an Fern'andez-Val, 2020, "Parametric Modeling of Quantile Regression Coefficient Functions with Longitudinal Data," Papers, arXiv.org, number 2006.00160, May.
• Yuya Sasaki & Yulong Wang, 2020, "Testing Finite Moment Conditions for the Consistency and the Root-N Asymptotic Normality of the GMM and M Estimators," Papers, arXiv.org, number 2006.02541, Jun, revised Sep 2020.
• Joris Pinkse & Karl Schurter, 2020, "Estimates of derivatives of (log) densities and related objects," Papers, arXiv.org, number 2006.01328, Jun.
• Bao-Gen Li & Dian-Yi Ling & Zu-Guo Yu, 2020, "Multifractal temporally weighted detrended partial cross-correlation analysis to quantify intrinsic power-law cross-correlation of two non-stationary time series affected by common external factors," Papers, arXiv.org, number 2006.09154, May.
• Nicklas Werge & Olivier Wintenberger, 2020, "AdaVol: An Adaptive Recursive Volatility Prediction Method," Papers, arXiv.org, number 2006.02077, Jun, revised Jan 2021.
• Poncela, Pilar & Ruiz Ortega, Esther & Miranda Gualdrón, Karen Alejandra, 2020, "Factor extraction using Kalman filter and smoothing: this is not just another survey," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 30644, Jun.
• Juan Carlos Escanciano, 2020, "Uniform Rates for Kernel Estimators of Weakly Dependent Data," Papers, arXiv.org, number 2005.09951, May.
• Ghattas Badih & Michel Pierre & Boyer Laurent, 2019, "Assessing variable importance in clustering: a new method based on unsupervised binary decision trees," Post-Print, HAL, number hal-02007388, Mar, DOI: 10.1007/s00180-018-0857-0.
• Xu Cheng & Winston Wei Dou & Zhipeng Liao, 2020, "Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 20-019, May.
• Kaeding, Matthias, 2020, "Efficient Bayesian nonparametric hazard regression," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 850, DOI: 10.4419/86788985.
• Martin Huber, 2020, "On the plausibility of the latent ignorability assumption," Papers, arXiv.org, number 2006.01703, Jun, revised Jun 2020.
• Marin Drlje, 2020, "Identification of School Admission Effects Using Propensity Scores Based on a Matching Market Structure," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp658, May.
• Marcin Chlebus & Maciej Stefan Świtała, 2020, "So close and so far. Finding similar tendencies in econometrics and machine learning papers. Topic models comparison," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2020-16.
• Paul Hunermund & Beyers Louw, 2020, "On the Nuisance of Control Variables in Regression Analysis," Papers, arXiv.org, number 2005.10314, May, revised Jan 2024.
• Jochmans, K., 2020, "Testing Random Assignment to Peer Groups," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2024, Apr.
• Henrik Kleven, 2020, "Sufficient Statistics Revisited," NBER Working Papers, National Bureau of Economic Research, Inc, number 27242, May.
• Patrick Chang & Etienne Pienaar & Tim Gebbie, 2020, "Detecting discrete processes with the Epps effect," Papers, arXiv.org, number 2005.10568, May, revised Dec 2024.

Report NEP-ECM-2020-06-29

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: