Report NEP-ECM-2020-10-26

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:

• Luidas Giraitis & George Kapetanios & Massimiliano Marcellino, 2020, "Time-Varying Instrumental Variable Estimation," Working Papers, Queen Mary University of London, School of Economics and Finance, number 911, Aug.
• Qiang Liu & Zhi Liu & Chuanhai Zhang, 2020, "Heteroscedasticity test of high-frequency data with jumps and microstructure noise," Papers, arXiv.org, number 2010.07659, Oct.
• Timo Dimitriadis & Xiaochun Liu & Julie Schnaitmann, 2020, "Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary," Papers, arXiv.org, number 2009.07341, Sep.
• Karlsson, Sune & Mazur, Stepan & Muhinyuza, Stanislas, 2020, "Statistical Inference for the Tangency Portfolio in High Dimension," Working Papers, Örebro University, School of Business, number 2020:10, Oct.
• Laurent Davezies & Xavier D'Haultfoeuille & Martin Mugnier, 2020, "Fixed Effects Binary Choice Models with Three or More Periods," Papers, arXiv.org, number 2009.08108, Sep, revised Sep 2022.
• Dean Eckles & Nikolaos Ignatiadis & Stefan Wager & Han Wu, 2020, "Noise-Induced Randomization in Regression Discontinuity Designs," Papers, arXiv.org, number 2004.09458, Apr, revised Mar 2025.
• Zheng Fang & Andres Santos & Azeem M. Shaikh & Alexander Torgovitsky, 2020, "Inference for Large-Scale Linear Systems with Known Coefficients," Papers, arXiv.org, number 2009.08568, Sep, revised Sep 2021.
• Bas Werker & Bo Zhou, 2020, "Semiparametric Testing with Highly Persistent Predictors," Papers, arXiv.org, number 2009.08291, Sep.
• Cem Cakmakli & Hamza Demircan, 2020, "Using Survey Information for Improving the Density Nowcasting of US GDP with a Focus on Predictive Performance during Covid-19 Pandemic," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 2016, Oct.
• Ban, Kyunghoon & Kedagni, Desire, 2020, "Nonparametric Bounds on Treatment Effects with Imperfect Instruments," ISU General Staff Papers, Iowa State University, Department of Economics, number 202010120700001113, Oct.
• Dimitrakopoulos, Stefanos & Tsionas, Mike G. & Aknouche, Abdelhakim, 2020, "Ordinal-response models for irregularly spaced transactions: A forecasting exercise," MPRA Paper, University Library of Munich, Germany, number 103250, Oct, revised 01 Oct 2020.
• Jianqing Fan & Kunpeng Li & Yuan Liao, 2020, "Recent Developments on Factor Models and its Applications in Econometric Learning," Papers, arXiv.org, number 2009.10103, Sep.
• Zongwu Cai & Chaoqun Ma & Xianhua Mi, 2020, "Realized Volatility Forecasting Based on Dynamic Quantile Model Averaging," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202016, Sep, revised Sep 2020.
• Kedagni, Desire & Li, Lixiong & Mourifie, Ismael, 2018, "Bounding Average Returns to Schooling using Unconditional Moment Restrictions," ISU General Staff Papers, Iowa State University, Department of Economics, number 201812290800001086, Dec.
• Badi H. Baltagi & Sophia Ding & Peter H. Egger, 2020, "A Panel Data Model with Generalized Higher-Order Network Effects," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 233, Oct.
• Javed, Farrukh & Loperfido, Nicola & Mazur, Stepan, 2020, "Edgeworth Expansions for Multivariate Random Sums," Working Papers, Örebro University, School of Business, number 2020:9, Oct.
• Klaus Wälde, 2020, "How to remove the testing bias in CoV-2 statistics," Working Papers, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz, number 2021, Oct.
• Jesus Otero & Theodore Panagiotidis & Georgios Papapanagiotou, 2020, "Multivariate cointegration and temporal aggregation: some further simulation results," Discussion Paper Series, Department of Economics, University of Macedonia, number 2020_05, Oct, revised Oct 2020.
• Baranowski, Rafal & Chen, Yining & Fryzlewicz, Piotr, 2020, "Ranking-based variable selection for high-dimensional data," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 90233, Jul.
• Bernd Funovits, 2020, "Comment on Gouri\'eroux, Monfort, Renne (2019): Identification and Estimation in Non-Fundamental Structural VARMA Models," Papers, arXiv.org, number 2010.02711, Oct.
• Yayi Yan & Jiti Gao & Bin peng, 2020, "A Class of Time-Varying Vector Moving Average (infinity) Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 39/20.
• Haroon Mumtaz, 2020, "A Generalised Stochastic Volatility in Mean VAR. An Updated Algorithm," Working Papers, Queen Mary University of London, School of Economics and Finance, number 908, Jul.
• Lina Zhang, 2020, "Spillovers of Program Benefits with Missing Network Links," Papers, arXiv.org, number 2009.09614, Sep, revised Aug 2024.
• Hugo Kruiniger, 2020, "Further results on the estimation of dynamic panel logit models with fixed effects," Papers, arXiv.org, number 2010.03382, Oct, revised Feb 2023.
• Federico A. Bugni & Jackson Bunting & Takuya Ura, 2020, "Testing homogeneity in dynamic discrete games in finite samples," Papers, arXiv.org, number 2010.02297, Oct, revised Aug 2024.
• Gomez-Ruano, Gerardo, 2020, "Data Science: A Primer for Economists," MPRA Paper, University Library of Munich, Germany, number 102928.
• Moyu Liao, 2020, "Identification and Estimation of A Rational Inattention Discrete Choice Model with Bayesian Persuasion," Papers, arXiv.org, number 2009.08045, Sep.
• Takuya Ishihara & Masayuki Sawada, 2020, "Manipulation-Robust Regression Discontinuity Designs," Papers, arXiv.org, number 2009.07551, Sep, revised Sep 2024.
• Martin Mugnier, 2020, "On the Existence of Conditional Maximum Likelihood Estimates of the Binary Logit Model with Fixed Effects," Papers, arXiv.org, number 2009.09998, Sep, revised Sep 2020.
• Dennis Guignet & Christoper Moore & Haoluan Wang, 2020, "Hot Spots, Cold Feet, and Warm Glow: Identifying Spatial Heterogeneity in Willingness to Pay," NCEE Working Paper Series, National Center for Environmental Economics, U.S. Environmental Protection Agency, number 202001, Mar.

Report NEP-ECM-2020-10-26

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: