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Report NEP-ECM-2020-09-21
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:
- Jungyoon Lee & Peter C.B. Phillips & Francesca Rossi, 2020, "Consistent Misspecification Testing in Spatial Autoregressive Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2256, Aug.
- Zhenting Sun, 2020, "Instrument Validity for Heterogeneous Causal Effects," Papers, arXiv.org, number 2009.01995, Sep, revised Oct 2023.
- Enzo D'Innocenzo & Alessandra Luati & Mario Mazzocchi, 2020, "A Robust Score-Driven Filter for Multivariate Time Series," Papers, arXiv.org, number 2009.01517, Sep, revised Aug 2022.
- Guowei Cui & Milda Norkuté & Vasilis Sarafidis & Takashi Yamagata, 2020, "Two-Stage Instrumental Variable Estimation of Linear Panel Data Models with Interactive Effects," ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka, number 1101, Sep.
- Wayne Yuan Gao & Ming Li, 2020, "Identification of Semiparametric Panel Multinomial Choice Models with Infinite-Dimensional Fixed Effects," Papers, arXiv.org, number 2009.00085, Aug, revised Jan 2026.
- Marius Lux & Wolfgang Karl Hardle & Stefan Lessmann, 2020, "Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid," Papers, arXiv.org, number 2009.06910, Sep.
- Caio Vigo Pereira & Marcio Laurini, 2020, "Portfolio Efficiency Tests with Conditioning Information - Comparing GMM and GEL Estimators," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202014, Sep, revised Sep 2020.
- Lina Zhang & David T. Frazier & D. S. Poskitt & Xueyan Zhao, 2020, "Decomposing Identification Gains and Evaluating Instrument Identification Power for Partially Identified Average Treatment Effects," Papers, arXiv.org, number 2009.02642, Sep, revised Sep 2022.
- Xiaohong Chen & Sokbae Lee & Myung Hwan Seo & Myunghyun Song, 2020, "Inference for parameters identified by conditional moment restrictions using a generalized Bierens maximum statistic," Papers, arXiv.org, number 2008.11140, Aug, revised Oct 2024.
- Tzougas, George, 2020, "EM estimation for the Poisson-Inverse Gamma regression model with varying dispersion: an application to insurance ratemaking," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 106539, Sep.
- Lutz Kilian, 2020, "Understanding the Estimation of Oil Demand and Oil Supply Elasticities," Working Papers, Federal Reserve Bank of Dallas, number 2027, Sep, DOI: 10.24149/wp2027.
- Yang Ning & Sida Peng & Jing Tao, 2020, "Doubly Robust Semiparametric Difference-in-Differences Estimators with High-Dimensional Data," Papers, arXiv.org, number 2009.03151, Sep.
- Whitney K. Newey & Sami Stouli, 2020, "Heterogeneous Coefficients, Control Variables, and Identification of Multiple Treatment Effects," Papers, arXiv.org, number 2009.02314, Sep, revised Nov 2021.
- Tesary Lin & Sanjog Misra, 2020, "The Identity Fragmentation Bias," Papers, arXiv.org, number 2008.12849, Aug, revised Feb 2021.
- Ian R. White & Ella Marley-Zagar & Tim Morris & Mahesh K. B. Parmar & Abdel G. Babiker, 2020, "Sample size calculation for an ordered categorical outcome," London Stata Conference 2020, Stata Users Group, number 08, Sep.
- Wayne Yuan Gao & Sheng Xu & Kan Xu, 2020, "Two-Stage Maximum Score Estimator," Papers, arXiv.org, number 2009.02854, Sep, revised Sep 2022.
- Yingjie Feng, 2020, "Causal Inference in Possibly Nonlinear Factor Models," Papers, arXiv.org, number 2008.13651, Aug, revised Oct 2021.
- Walter Distaso & Rustam Ibragimov & Alexander Semenov & Anton Skrobotov, 2020, "COVID-19: Tail Risk and Predictive Regressions," Papers, arXiv.org, number 2009.02486, Sep, revised Oct 2021.
- Michelle Marcus & Pedro H. C. Sant'Anna, 2020, "The role of parallel trends in event study settings: An application to environmental economics," Papers, arXiv.org, number 2009.01963, Sep.
- Gianluca Cubadda & Alain Hecq, 2020, "Dimension Reduction for High Dimensional Vector Autoregressive Models," Papers, arXiv.org, number 2009.03361, Sep, revised Feb 2022.
- Steven T. Berry & Giovanni Compiani, 2020, "An Instrumental Variable Approach to Dynamic Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 27756, Aug.
- Yicong Lin & Hanno Reuvers, 2020, "Cointegrating Polynomial Regressions with Power Law Trends: Environmental Kuznets Curve or Omitted Time Effects?," Papers, arXiv.org, number 2009.02262, Sep, revised Dec 2021.
- Rossi, Barbara & Wang, Yiru, 2019, "Vector autoregressive-based Granger causality test in the presence of instabilities," MPRA Paper, University Library of Munich, Germany, number 101492, Dec.
- Ganesh Karapakula & James J. Heckman, 2020, "Using a Satisficing Model of Experimenter Decision-Making to Guide Finite-Sample Inference for Compromised Experiments," NBER Working Papers, National Bureau of Economic Research, Inc, number 27738, Aug.
- Xiaohong Chen & Matthew Gentry & Tong Li & Jingfeng Lu, 2020, "Identification and Inference in First-Price Auctions with Risk Averse Bidders and Selective Entry," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2257, Sep.
- Carlo Campajola & Fabrizio Lillo & Piero Mazzarisi & Daniele Tantari, 2020, "On the equivalence between the Kinetic Ising Model and discrete autoregressive processes," Papers, arXiv.org, number 2008.10666, Aug, revised Feb 2021.
- Victor Chernozhukov & Christian Hansen & Kaspar Wuthrich, 2020, "Instrumental Variable Quantile Regression," Papers, arXiv.org, number 2009.00436, Aug.