Report NEP-ECM-2020-08-31

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:

• Kylie-Anne Richards & William T. M. Dunsmuir & Gareth W. Peters, 2019, "Score Test for Marks in Hawkes Processes," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 405, May.
• Francesca Rossi & Peter M. Robinson, 2020, "Higher-Order Least Squares Inference for Spatial Autoregressions," Working Papers, University of Verona, Department of Economics, number 04/2020, Mar.
• Peter C.B. Phillips & Ying Wang, 2020, "When Bias Contributes to Variance: True Limit Theory in Functional Coefficient Cointegrating Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2250, Aug.
• Ke Miao & Peter C.B. Phillips & Liangjun Su, 2020, "High-Dimensional VARs with Common Factors," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2252, Aug.
• Yang, Bill Huajian & Yang, Jenny & Yang, Haoji, 2020, "Modeling Portfolio Loss by Interval Distributions," MPRA Paper, University Library of Munich, Germany, number 102219, Jul.
• Yuya Sasaki & Takuya Ura & Yichong Zhang, 2020, "Unconditional Quantile Regression with High Dimensional Data," Papers, arXiv.org, number 2007.13659, Jul, revised Feb 2022.
• Mathur, Maya B & VanderWeele, Tyler, 2020, "Meta-regression estimates of the percentage of meaningfully strong population effects," OSF Preprints, Center for Open Science, number bmtdq, Jul, DOI: 10.31219/osf.io/bmtdq.
• Kwok, Simon, 2020, "Nonparametric Inference of Jump Autocorrelation," Working Papers, University of Sydney, School of Economics, number 2020-09, Aug, revised Jan 2021.
• Dzemski, Andreas & Okui, Ryo, 2020, "Convergence rate of estimators of clustered panel models with misclassication," Working Papers in Economics, University of Gothenburg, Department of Economics, number 790, Aug.
• Chen, Yunxiao & Li, Xiaoou & Zhang, Siliang, 2019, "Structured latent factor analysis for large-scale data: identifiability, estimability, and their implications," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 101122, Jul.
• Abhimanyu Gupta & Javier Hidalgo, 2020, "Nonparametric prediction with spatial data," Papers, arXiv.org, number 2008.04269, Aug, revised Nov 2021.
• Jos'e Luis Montiel Olea & Mikkel Plagborg-M{o}ller, 2020, "Local Projection Inference is Simpler and More Robust Than You Think," Papers, arXiv.org, number 2007.13888, Jul, revised Jan 2026.
• Simon Clinet & William T. M. Dunsmuir & Gareth W. Peters & Kylie-Anne Richards, 2019, "Asymptotic Distribution of the Score Test for Detecting Marks in Hawkes Processes," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 404, May.
• Tetsuya Kaji & Elena Manresa & Guillaume Pouliot, 2020, "An Adversarial Approach to Structural Estimation," Papers, arXiv.org, number 2007.06169, Jul, revised Oct 2022.
• Glocker, Christian & Kaniovski, Serguei, 2020, "Structural modeling and forecasting using a cluster of dynamic factor models," MPRA Paper, University Library of Munich, Germany, number 101874, Jul.
• Chen, Yunxiao & Zhang, Siliang, 2020, "A latent Gaussian process model for analysing intensive longitudinal data," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 101121, May.
• Federico A. Bugni & Jia Li & Qiyuan Li, 2020, "Permutation-based tests for discontinuities in event studies," Papers, arXiv.org, number 2007.09837, Jul, revised Jul 2022.
• Ruijun Bu & Jihyun Kim & Bin Wang, 2020, "Uniform and Lp Convergences of Nonparametric Estimation for Diffusion Models," Working Papers, University of Liverpool, Department of Economics, number 202021, Jul.
• Shuping Shi & Peter C.B. Phillips, 2020, "Diagnosing Housing Fever with an Econometric Thermometer," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2248, Aug.
• Ye Chen & Peter C.B. Phillips & Shuping Shi, 2020, "Common Bubble Detection in Large Dimensional Financial Systems," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2251, Aug.
• Ryan Cumings-Menon & Minchul Shin, 2020, "Probability Forecast Combination via Entropy Regularized Wasserstein Distance," Working Papers, Federal Reserve Bank of Philadelphia, number 20-31/R, Aug, DOI: 10.21799/frbp.wp.2020.31.
• Carlo Campajola & Domenico Di Gangi & Fabrizio Lillo & Daniele Tantari, 2020, "Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model," Papers, arXiv.org, number 2007.15545, Jul, revised Aug 2021.
• Sokbae Lee & Bernard Salani'e, 2020, "Treatment Effects with Targeting Instruments," Papers, arXiv.org, number 2007.10432, Jul, revised Jan 2026.
• Leandro De Magalhaes & Dominik Hangartner & Salomo Hirvonen & Jaakko Meriläinen & Nelson A. Ruiz, 2020, "How Much Should We Trust Regression Discontinuity Design Estimates? Evidence from Experimental Benchmarks of the Incumbency Advantage," Discussion Papers, Aboa Centre for Economics, number 135, Aug.
• Claudia Foroni & Francesco Ravazzolo & Luca Rossini, 2020, "Are low frequency macroeconomic variables important for high frequency electricity prices?," Papers, arXiv.org, number 2007.13566, Jul, revised Dec 2022.
• Andrii Babii & Ryan T. Ball & Eric Ghysels & Jonas Striaukas, 2020, "Machine Learning Panel Data Regressions with Heavy-tailed Dependent Data: Theory and Application," Papers, arXiv.org, number 2008.03600, Aug, revised Nov 2021.
• Bhattacharjee, A. & Ditzen, J. & Holly, S., 2020, "Spatial and Spatio-temporal Engle-Granger representations, Networks and Common Correlated Effects," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2075, Aug.
• Deborah Kim, 2020, "On the Size Control of the Hybrid Test for Predictive Ability," Papers, arXiv.org, number 2008.02318, Aug, revised Sep 2021.

Report NEP-ECM-2020-08-31

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: