Report NEP-ECM-2020-10-05

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:

• Anoek Castelein & Dennis Fok & Richard Paap, 2020, "Heterogeneous variable selection in nonlinear panel data models: A semiparametric Bayesian approach," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 20-061/III, Sep.
• Cui, Guowei & Norkute, Milda & Sarafidis, Vasilis & Yamagata, Takashi, 2020, "Two-Stage Instrumental Variable Estimation of Linear Panel Data Models with Interactive Effects," MPRA Paper, University Library of Munich, Germany, number 102827, Sep.
• Alfelt, Gustav & Mazur, Stepan, 2020, "On the mean and variance of the estimated tangency portfolio weights for small samples," Working Papers, Örebro University, School of Business, number 2020:8, Sep.
• Alexander Klein & Guy Tchuente, 2020, "Spatial Differencing for Sample Selection Models with Unobserved Heterogeneity," Papers, arXiv.org, number 2009.06570, Sep.
• Martin,William J., 2020, "Making Gravity Great Again," Policy Research Working Paper Series, The World Bank, number 9391, Sep.
• Harold D. Chiang & Kengo Kato & Yuya Sasaki, 2020, "Inference for high-dimensional exchangeable arrays," Papers, arXiv.org, number 2009.05150, Sep, revised Jul 2021.
• Kumbhakar, Subal C. & Peresetsky, Anatoly & Shchetynin, Yevgenii & Zaytsev, Alexey, 2020, "Technical efficiency and inefficiency: Reassurance of standard SFA models and a misspecification problem," MPRA Paper, University Library of Munich, Germany, number 102797, Sep.
• Rico Krueger & Michel Bierlaire & Thomas Gasos & Prateek Bansal, 2020, "Robust discrete choice models with t-distributed kernel errors," Papers, arXiv.org, number 2009.06383, Sep, revised Dec 2022.
• del Barrio Castro, Tomás & Rachinger, Heiko, 2020, "Aggregation of Seasonal Long-Memory Processes," MPRA Paper, University Library of Munich, Germany, number 102890, Apr.
• Carolina Caetano & Gregorio Caetano & Eric R. Nielsen, 2020, "Correcting for Endogeneity in Models with Bunching," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2020-080, Sep, DOI: 10.17016/FEDS.2020.080.
• Sayar Karmakar & Arkaprava Roy, 2020, "Bayesian modelling of time-varying conditional heteroscedasticity," Papers, arXiv.org, number 2009.06007, Sep, revised Mar 2021.
• Kirill Borusyak & Peter Hull, 2020, "Non-Random Exposure to Exogenous Shocks: Theory and Applications," NBER Working Papers, National Bureau of Economic Research, Inc, number 27845, Sep.
• Yanqin Fan & Marc Henry, 2020, "Vector copulas," Papers, arXiv.org, number 2009.06558, Sep, revised Apr 2021.
• Marc-Aurèle Divernois, 2020, "A Deep Learning Approach to Estimate Forward Default Intensities," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-79, Jul.
• Kazunari KAINOU, 2020, "Development of new treatment/causal effect evaluation methodology with synthetic control group Difference In Difference where stable unit treatment value assumption (SUTVA) may not hold (Japanese)," Discussion Papers (Japanese), Research Institute of Economy, Trade and Industry (RIETI), number 20035, Sep.
• Damjana Kokol Bukovv{s}ek & Tomav{z} Kov{s}ir & Blav{z} Mojv{s}kerc & Matjav{z} Omladiv{c}, 2020, "Spearman's footrule and Gini's gamma: Local bounds for bivariate copulas and the exact region with respect to Blomqvist's beta," Papers, arXiv.org, number 2009.06221, Sep, revised Jan 2021.
• Alejandro Puerta & Andr'es Ram'irez-Hassan, 2020, "Inferring hidden potentials in analytical regions: uncovering crime suspect communities in Medell\'in," Papers, arXiv.org, number 2009.05360, Sep.
• Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2020, "No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates," Working Papers, Federal Reserve Bank of Cleveland, number 20-27, Sep, DOI: 10.26509/frbc-wp-202027.
• Peng Ding, 2020, "The Frisch--Waugh--Lovell Theorem for Standard Errors," Papers, arXiv.org, number 2009.06621, Sep.

Report NEP-ECM-2020-10-05

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: