Report NEP-ECM-2020-09-14

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.

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Other reports in NEP-ECM

The following items were announced in this report:

• Jun Ma & Zhengfei Yu, 2020, "Empirical Likelihood Covariate Adjustment for Regression Discontinuity Designs," Papers, arXiv.org, number 2008.09263, Aug, revised May 2024.
• Vira Semenova, 2020, "Generalized Lee Bounds," Papers, arXiv.org, number 2008.12720, Aug, revised May 2025.
• Abhimanyu Gupta, 2020, "Efficient closed-form estimation of large spatial autoregressions," Papers, arXiv.org, number 2008.12395, Aug, revised May 2021.
• Alexander Chudik & M. Hashem Pesaran & Mahrad Sharifvaghefi, 2020, "Variable Selection in High Dimensional Linear Regressions with Parameter Instability," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 394, Aug, revised 05 Aug 2024, DOI: 10.24149/gwp394r3.
• Rami V. Tabri & Christopher D. Walker, 2020, "Inference for Moment Inequalities: A Constrained Moment Selection Procedure," Papers, arXiv.org, number 2008.09021, Aug, revised Aug 2020.
• Hartwig, Benny, 2020, "Robust inference intime-varying structural VAR models: The DC-Cholesky multivariate stochasticvolatility model," Discussion Papers, Deutsche Bundesbank, number 34/2020.
• Simon Hetland, 2020, "Spectral Targeting Estimation of $\lambda$-GARCH models," Papers, arXiv.org, number 2007.02588, Jul.
• Maria Guadarrama & Domingo Morales & Isabel Molina, 2020, "Time stable small area estimates of general parameters under a unit-level model," LISER Working Paper Series, Luxembourg Institute of Socio-Economic Research (LISER), number 2020-10, Jul.
• Haitian Xie, 2020, "Finite-Sample Average Bid Auction," Papers, arXiv.org, number 2008.10217, Aug, revised Feb 2022.
• Leonard Goff, 2020, "A Vector Monotonicity Assumption for Multiple Instruments," Papers, arXiv.org, number 2009.00553, Sep, revised Mar 2024.
• Rutger Jan Lange, 2020, "Bellman filtering for state-space models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 20-052/III, Aug, revised 19 May 2021.
• Anand Deo & Karthyek Murthy, 2020, "Optimizing tail risks using an importance sampling based extrapolation for heavy-tailed objectives," Papers, arXiv.org, number 2008.09818, Aug.
• Karol Kielak & Robert Ślepaczuk, 2020, "Value-at-risk — the comparison of state-of-the-art models on various assets," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2020-28.
• Savi Virolainen, 2020, "Structural Gaussian mixture vector autoregressive model with application to the asymmetric effects of monetary policy shocks," Papers, arXiv.org, number 2007.04713, Jul, revised Oct 2022.
• Cl'ement de Chaisemartin & Xavier D'Haultf{oe}uille, 2020, "Difference-in-Differences Estimators of Intertemporal Treatment Effects," Papers, arXiv.org, number 2007.04267, Jul, revised Dec 2024.
• Farkas, Mátyás & Tatar, Balint, 2020, "Bayesian estimation of DSGE models with Hamiltonian Monte Carlo," IMFS Working Paper Series, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS), number 144.
• Martin Ravallion, 2020, "Should the Randomistas (Continue to) Rule?," NBER Working Papers, National Bureau of Economic Research, Inc, number 27554, Jul.
• del Barrio Castro, Tomás & Cubada, Ginaluca & Osborn, Denise R., 2020, "On cointegration for processes integrated at different frequencies," MPRA Paper, University Library of Munich, Germany, number 102611, Aug.
• Florian Huber & Gary Koop & Luca Onorante & Michael Pfarrhofer & Josef Schreiner, 2020, "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs," Papers, arXiv.org, number 2008.12706, Aug, revised Dec 2020.
• Patrick Chang, 2020, "Fourier instantaneous estimators and the Epps effect," Papers, arXiv.org, number 2007.03453, Jul, revised Sep 2020.
• Isaiah Andrews & Anna Mikusheva, 2020, "Optimal Decision Rules for Weak GMM," Papers, arXiv.org, number 2007.04050, Jul, revised Jul 2021.
• Philippe Goulet Coulombe, 2020, "Time-Varying Parameters as Ridge Regressions," Papers, arXiv.org, number 2009.00401, Sep, revised Nov 2024.
• Francis X. Diebold, 2020, ""Big Data" and its Origins," Papers, arXiv.org, number 2008.05835, Aug, revised Jan 2021.

Report NEP-ECM-2020-09-14

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: