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Report NEP-ECM-2020-07-27
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:
- Xiaohong Chen & Zhijie Xiao & Bo Wang, 2020, "Copula-Based Time Series With Filtered Nonstationarity," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2242, Jul.
- Zhishui Hu & Ioannis Kasparis & Qiying Wang, 2020, "Locally trimmed least squares: conventional inference in possibly nonstationary models," Papers, arXiv.org, number 2006.12595, Jun.
- Donggyu Kim & Xinyu Song & Yazhen Wang, 2020, "Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency," Papers, arXiv.org, number 2006.12039, Jun.
- David A. Benson & Matthew A. Masten & Alexander Torgovitsky, 2020, "ivcrc: An Instrumental Variables Estimator for the Correlated Random Coefficients Model," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2020-046r1, Jun, revised 04 Apr 2022, DOI: 10.17016/FEDS.2020.046r1.
- Deborah Gefang & Gary Koop & Aubrey Poon, 2020, "Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE), number ESCoE DP-2020-07, May.
- Atsushi Inoue & Lutz Kilian, 2020, "Joint Bayesian Inference about Impulse Responses in VAR Models," Working Papers, Federal Reserve Bank of Dallas, number 2022, Jul, DOI: 10.24149/wp2022.
- Roberto Molinari & Gaetan Bakalli & Stéphane Guerrier & Cesare Miglioli & Samuel Orso & O. Scaillet, 2020, "Swag: A Wrapper Method for Sparse Learning," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-49, Jun.
- Carolina Caetano & Gregorio Caetano & Juan Carlos Escanciano, 2020, "Regression Discontinuity Design with Multivalued Treatments," Papers, arXiv.org, number 2007.00185, Jun.
- Florian Huber & Luca Rossini, 2020, "Inference in Bayesian Additive Vector Autoregressive Tree Models," Papers, arXiv.org, number 2006.16333, Jun, revised Mar 2021.
- Alexander Giessing & Jianqing Fan, 2020, "Bootstrapping $\ell_p$-Statistics in High Dimensions," Papers, arXiv.org, number 2006.13099, Jun, revised Aug 2020.
- Masahiro Kato, 2020, "Confidence Interval for Off-Policy Evaluation from Dependent Samples via Bandit Algorithm: Approach from Standardized Martingales," Papers, arXiv.org, number 2006.06982, Jun.
- Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini, 2020, "Large Time-Varying Volatility Models for Electricity Prices," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 05/2020, Jul.
- Ulrich K. Mueller, 2020, "A More Robust t-Test," Papers, arXiv.org, number 2007.07065, Jul.
- Cl'ement de Chaisemartin & Xavier D'Haultf{oe}uille, 2020, "Empirical MSE Minimization to Estimate a Scalar Parameter," Papers, arXiv.org, number 2006.14667, Jun.
- Simon Freyaldenhoven, 2020, "Identification Through Sparsity in Factor Models," Working Papers, Federal Reserve Bank of Philadelphia, number 20-25, Jun, DOI: 10.21799/frbp.wp.2020.25.
- Young Shin Kim & Kum-Hwan Roh & Raphael Douady, 2020, "Tempered Stable Processes with Time Varying Exponential Tails," Papers, arXiv.org, number 2006.07669, Jun, revised Aug 2020.
- Subrato Banerjee & Benno Torgler, 2020, "A Non-Bayesian Approach to Scientific Inference on Treatment-Effects," CREMA Working Paper Series, Center for Research in Economics, Management and the Arts (CREMA), number 2020-14, Jul.
- Jozef Barunik & Michael Ellington, 2020, "Persistence in Financial Connectedness and Systemic Risk," Papers, arXiv.org, number 2007.07842, Jul, revised Nov 2023.
- Jungsik Hwang, 2020, "Modeling Financial Time Series using LSTM with Trainable Initial Hidden States," Papers, arXiv.org, number 2007.06848, Jul.
- Pesendorfer, Martin & Otsu, Taisuke & Sasaki, Yuya & Takahashi, Yuya, 2020, "Estimation of (static or dynamic) games under equilibrium multiplicity," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14342, Jan.
- Elena Andreou & Eric Ghysels, 2020, "Predicting the VIX and the Volatility Risk Premium: The Role of Short-run Funding Spreads Volatility Factors," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics, number 04-2020, Mar.
- Shankhyajyoti De & Arabin Kumar Dey & Deepak Gauda, 2020, "Construction of confidence interval for a univariate stock price signal predicted through Long Short Term Memory Network," Papers, arXiv.org, number 2007.00254, Jul.