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Report NEP-ECM-2020-08-17
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:
- Escanciano, J C. & Hoderlein, S. & Lewbel, A. & Linton, O. & Srisuma, S., 2020, "Nonparametric Euler Equation Identi?cation and Estimation," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2064, Jul.
- Donghang Luo & Ke Zhu & Huan Gong & Dong Li, 2020, "Testing error distribution by kernelized Stein discrepancy in multivariate time series models," Papers, arXiv.org, number 2008.00747, Aug.
- Sucarrat, Genaro, 2020, "Identification of Volatility Proxies as Expectations of Squared Financial Return," MPRA Paper, University Library of Munich, Germany, number 101953, Jul.
- Tzougas, George & Karlis, Dimitris, 2020, "An EM algorithm for fitting a new class of mixed exponential regression models with varying dispersion," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 104027, May.
- Vica Tendenan & Richard Gerlach & Chao Wang, 2020, "Tail risk forecasting using Bayesian realized EGARCH models," Papers, arXiv.org, number 2008.05147, Aug, revised Aug 2020.
- Schneider, Ulrich, 2019, "Identification of Time Preferences in Dynamic Discrete Choice Models: Exploiting Choice Restrictions," MPRA Paper, University Library of Munich, Germany, number 102137, Mar, revised 29 Jul 2020.
- Christian Francq & Jean-Michel Zakoïan, 2020, "Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models," Working Papers, HAL, number hal-02898909, Jul.
- Gianluca De Nard & Robert F. Engle & Olivier Ledoit & Michael Wolf, 2020, "Large dynamic covariance matrices: enhancements based on intraday data," ECON - Working Papers, Department of Economics - University of Zurich, number 356, Jul, revised Jan 2022.
- Hongjian Shi & Marc Hallin & Mathias Drton & Fang Han, 2020, "Rate-Optimality of Consistent Distribution-Free Tests of Independence Based on Center-Outward Ranks and Signs," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2020-23, Jul.
- Cheng Chou & Ruoyao Shi, 2020, "Utilizing Two Types of Survey Data to Enhance the Accuracy of Labor Supply Elasticity Estimation," Working Papers, University of California at Riverside, Department of Economics, number 202018, Jul.
- Andreas Dzemski & Ryo Okui, 2020, "Convergence rate of estimators of clustered panel models with misclassification," Papers, arXiv.org, number 2008.04708, Aug.
- Jan Pablo Burgard & Patricia Dörr & Ralf Münnich, 2020, "Monte-Carlo Simulation Studies in Survey Statistics – An Appraisal," Research Papers in Economics, University of Trier, Department of Economics, number 2020-04.
- Bruno Damásio & João Nicolau, 2020, "Time Inhomogeneous Multivariate Markov Chains: Detecting and Testing Multiple Structural Breaks Occurring at Unknown," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2020/0136, Jun.
- Timmermann, Allan & Qu, Ritong & Zhu, Yinchu, 2019, "Do Any Economists Have Superior Forecasting Skills?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14112, Nov.
- Ashesh Rambachan & Jonathan Roth, 2020, "Design-Based Uncertainty for Quasi-Experiments," Papers, arXiv.org, number 2008.00602, Aug, revised Jun 2025.
- Eliaz, Kfir & Spiegler, Ran & Weiss, Yair, 2019, "Cheating with (recursive) models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14100, Nov.
- Radchenko, Peter & Vasnev, Andrey & Wang, Wendun, 2020, "Too similar to combine? On negative weights in forecast combination," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number BAWP-2020-02, Jul.
- Yu-Chang Chen & Haitian Xie, 2020, "Global Representation of the Conditional LATE Model: A Separability Result," Papers, arXiv.org, number 2007.08106, Jul, revised Mar 2022.
- Andrea Carriero & Francesco Corsello & Massimiliano Marcellino, 2020, "The economic drivers of volatility and uncertainty," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1285, Jul.
- Silva Lopes, Artur, 2020, "Revisiting income convergence with DF-Fourier tests: old evidence with a new test," MPRA Paper, University Library of Munich, Germany, number 102208.