Report NEP-ECM-2020-11-09

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:

• Pellatt , Daniel & Sun, Yixiao, 2020, "Asymptotic F test in Regressions with Observations Collected at High Frequency over Long Span," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt19f0d9wz, Oct.
• Joshua C.C. Chan & Rodney W. Strachan, 2020, "Bayesian State Space Models in Macroeconometrics," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2020-90, Oct.
• Harold D. Chiang & Bing Yang Tan, 2020, "Empirical likelihood and uniform convergence rates for dyadic kernel density estimation," Papers, arXiv.org, number 2010.08838, Oct, revised May 2022.
• Martínez-Iriarte, Julian & Sun, Yixiao, 2021, "Identification and Estimation of Unconditional Policy Effects of an Endogenous Binary Treatment: an Unconditional MTE Approach," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt2bc57830, Jul.
• Bin Chen & Kenwin Maung, 2020, "Time-varying Forecast Combination for High-Dimensional Data," Papers, arXiv.org, number 2010.10435, Oct.
• Zongwu Cai & Xiyuan Liu, 2020, "A Functional-Coefficient VAR Model for Dynamic Quantiles with Constructing Financial Network," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202017, Oct, revised Oct 2020.
• Zhentao Shi & Liangjun Su & Tian Xie, 2020, "L2-Relaxation: With Applications to Forecast Combination and Portfolio Analysis," Papers, arXiv.org, number 2010.09477, Oct, revised Aug 2022.
• Lam, Clifford, 2020, "High-dimensional covariance matrix estimation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 101667, Mar.
• Chaojun Li & Yan Liu, 2020, "Asymptotic Properties of the Maximum Likelihood Estimator in Regime-Switching Models with Time-Varying Transition Probabilities," Papers, arXiv.org, number 2010.04930, Oct, revised Dec 2021.
• Jorg Stoye, 2020, "A Simple, Short, but Never-Empty Confidence Interval for Partially Identified Parameters," Papers, arXiv.org, number 2010.10484, Oct, revised Dec 2020.
• Tu, Yundong & Yao, Qiwei & Zhang, Rongmao, 2020, "Error-correction factor models for high-dimensional cointegrated time series," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 106994, Jul.
• Rahul Singh & Liyuan Xu & Arthur Gretton, 2020, "Kernel Methods for Causal Functions: Dose, Heterogeneous, and Incremental Response Curves," Papers, arXiv.org, number 2010.04855, Oct, revised Oct 2022.
• Patrik Guggenberger & Frank Kleibergen & Sophocles Mavroeidis, 2020, "A Test for Kronecker Product Structure Covariance Matrix," Papers, arXiv.org, number 2010.10961, Oct, revised Jan 2022.
• George Z. Gui, 2020, "Combining Observational and Experimental Data to Improve Efficiency Using Imperfect Instruments," Papers, arXiv.org, number 2010.05117, Oct, revised Dec 2023.
• Ollech, Daniel & Webel, Karsten, 2020, "A random forest-based approach to identifying the most informative seasonality tests," Discussion Papers, Deutsche Bundesbank, number 55/2020.
• Marcin Pitera & Thorsten Schmidt, 2020, "Estimating and backtesting risk under heavy tails," Papers, arXiv.org, number 2010.09937, Oct, revised Jan 2022.
• Obafèmi Philippe Koutchadé & Alain Carpentier & Fabienne Féménia, 2020, "Crop choices in micro-econometric multi-crop models: modelling corners, kinks and jumps," Working Papers SMART, INRAE UMR SMART, number 20-09.
• Ben Deaner, 2020, "Approximation-Robust Inference in Dynamic Discrete Choice," Papers, arXiv.org, number 2010.11482, Oct.
• Christian Glocker & Serguei Kaniovski, 2020, "Macroeconometric Forecasting Using a Cluster of Dynamic Factor Models," WIFO Working Papers, WIFO, number 614, Oct.
• Jonathan Roth & Pedro H. C. Sant'Anna, 2020, "When Is Parallel Trends Sensitive to Functional Form?," Papers, arXiv.org, number 2010.04814, Oct, revised Sep 2022.
• Annabelle Doerr & Anthony Strittmatter, 2020, "Identifying causal channels of policy reforms with multiple treatments and different types of selection," Papers, arXiv.org, number 2010.05221, Oct.
• Edward S. Knotek & Saeed Zaman, 2020, "Real-Time Density Nowcasts of US Inflation: A Model-Combination Approach," Working Papers, Federal Reserve Bank of Cleveland, number 20-31, Oct, DOI: 10.26509/frbc-wp-202031.
• Koki Fusejima, 2020, "Identification of multi-valued treatment effects with unobserved heterogeneity," Papers, arXiv.org, number 2010.04385, Oct, revised Apr 2023.
• Kang, Natasha & Marmer, Vadim, 2020, "Modeling Long Cycles," Economics working papers, Vancouver School of Economics, number vadim_marmer-2020-3, Oct, revised 26 Oct 2020.
• Bryan S. Graham, 2020, "Sparse Network Asymptotics for Logistic Regression under Possible Misspecification," NBER Working Papers, National Bureau of Economic Research, Inc, number 27962, Oct.
• David S. Lee & Justin McCrary & Marcelo J. Moreira & Jack Porter, 2020, "Valid t-ratio Inference for IV," Papers, arXiv.org, number 2010.05058, Oct.
• Yucheng Yang & Zhong Zheng & Weinan E, 2020, "Interpretable Neural Networks for Panel Data Analysis in Economics," Papers, arXiv.org, number 2010.05311, Oct, revised Nov 2020.

Report NEP-ECM-2020-11-09

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: