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Report NEP-ECM-2020-08-24
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:
- Zongwu Cai & Ted Juhl, 2020, "The Distribution Of Rolling Regression Estimators," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202013, Aug, revised Aug 2020.
- Anastasios Panagiotelis & Puwasala Gamakumara & George Athanasopoulos & Rob J Hyndman, 2020, "Probabilistic Forecast Reconciliation: Properties, Evaluation and Score Optimisation," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 26/20.
- Ruben Loaiza-Maya & Didier Nibbering, 2020, "Scalable Bayesian Estimation in the Multinomial Probit Model," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 25/20.
- Silvia Goncalves & Ana María Herrera & Lutz Kilian & Elena Pesavento, 2020, "Impulse Response Analysis for Structural Dynamic Models with Nonlinear Regressors," Working Papers, Federal Reserve Bank of Dallas, number 2019, Jun, DOI: 10.24149/wp2019.
- Robert Adamek & Stephan Smeekes & Ines Wilms, 2020, "Lasso Inference for High-Dimensional Time Series," Papers, arXiv.org, number 2007.10952, Jul, revised Sep 2022.
- Riani, Marco & Atkinson, Anthony C. & Corbellini, Aldo & Perrotta, Domenico, 2020, "Robust regression with density power divergence: theory, comparisons, and data analysis," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 103931, Apr.
- Jesper R.-V. Soerensen, 2020, "Testing a Class of Semi- or Nonparametric Conditional Moment Restriction Models using Series Methods," Discussion Papers, University of Copenhagen. Department of Economics, number 20-04, Aug.
- Christian Schluter, 2021, "On Zipf’s law and the bias of Zipf regressions," Post-Print, HAL, number hal-02880544, Aug, DOI: 10.1007/s00181-020-01879-3.
- Zhenzhong Wang & Zhengyuan Zhu & Cindy Yu, 2020, "Variable Selection in Macroeconomic Forecasting with Many Predictors," Papers, arXiv.org, number 2007.10160, Jul.
- Jushan Bai & Serena Ng, 2020, "Simpler Proofs for Approximate Factor Models of Large Dimensions," Papers, arXiv.org, number 2008.00254, Aug.
- Nishihat, Masaya & Otsu, Taisuke, 2020, "Conditional GMM estimation for gravity models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 105083, Apr.
- Nicolas Van de Sijpe & Frank Windmeijer, 2021, "On the Power of the Conditional Likelihood Ratio and Related Tests for Weak-Instrument Robust Inference," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2020-W09, Jul.
- Gilles Zumbach, 2020, "Tile test for back-testing risk evaluation," Papers, arXiv.org, number 2007.12431, Jul.
- Gandy, Axel & Veraart, Luitgard A. M., 2021, "Compound poisson models for weighted networks with applications in finance," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 104185, Jan.
- Neng-Chieh Chang, 2020, "The Mode Treatment Effect," Papers, arXiv.org, number 2007.11606, Jul.
- Denis Belomestny & Ekaterina Krymova & Andrey Polbin, 2020, "Estimating TVP-VAR models with time invariant long-run multipliers," Papers, arXiv.org, number 2008.00718, Aug.
- Paolo Andreini & Cosimo Izzo & Giovanni Ricco, 2020, "Deep Dynamic Factor Models," Papers, arXiv.org, number 2007.11887, Jul, revised May 2023.
- Chris Muris & Pedro Raposo & Sotiris Vandoros, 2020, "A Dynamic Ordered Logit Model with Fixed Effects," Department of Economics Working Papers, McMaster University, number 2020-14, Aug.
- Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & St'ephane Surprenant, 2020, "Macroeconomic Data Transformations Matter," Papers, arXiv.org, number 2008.01714, Aug, revised Mar 2021.
- Hong Shaopeng, 2020, "Generalized Autoregressive Score asymmetric Laplace Distribution and Extreme Downward Risk Prediction," Papers, arXiv.org, number 2008.01277, Aug, revised Oct 2020.
- Jose Blanchet & Henry Lam & Yang Liu & Ruodu Wang, 2020, "Convolution Bounds on Quantile Aggregation," Papers, arXiv.org, number 2007.09320, Jul, revised Sep 2024.
- Tam'as Krisztin & Philipp Piribauer & Michael Wogerer, 2020, "A spatial multinomial logit model for analysing urban expansion," Papers, arXiv.org, number 2008.00673, Aug.