Report NEP-ECM-2020-12-21

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.

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Other reports in NEP-ECM

The following items were announced in this report:

• Atsushi Inoue & Lutz Kilian, 2020, "The Role of the Prior in Estimating VAR Models with Sign Restrictions," Working Papers, Federal Reserve Bank of Dallas, number 2030, Dec, DOI: 10.24149/wp2030.
• Francesco Giancaterini & Alain Hecq, 2020, "Inference in mixed causal and noncausal models with generalized Student's t-distributions," Papers, arXiv.org, number 2012.01888, Dec, revised Nov 2022.
• Lee, K. & Linton, O. & Whang, Y-J., 2020, "Testing for Time Stochastic Dominance," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 20121, Dec.
• Vincent Tan & Stefan Zohren, 2020, "Estimation of Large Financial Covariances: A Cross-Validation Approach," Papers, arXiv.org, number 2012.05757, Dec, revised Jan 2023.
• Kevin Li, 2020, "Asymptotic Normality for Multivariate Random Forest Estimators," Papers, arXiv.org, number 2012.03486, Dec, revised Jan 2021.
• Jiti Gao & Fei Liu & Bin Peng & Yayi Yan, 2020, "Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects," Papers, arXiv.org, number 2012.03182, Dec, revised Nov 2021.
• Marco Barnabani, 2020, "Testing fixed and random effects in linear mixed models," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2020_09, Dec.
• Federico Martellosio, 2020, "Non-Identifiability in Network Autoregressions," Papers, arXiv.org, number 2011.11084, Nov, revised Jun 2022.
• Ilya Archakov & Peter Reinhard Hansen, 2020, "A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices," Papers, arXiv.org, number 2012.02698, Dec, revised Nov 2021.
• Philip Marx, 2020, "Sharp Bounds in the Latent Index Selection Model," Papers, arXiv.org, number 2012.02390, Dec, revised Apr 2023.
• Hess T. Chung & Cristina Fuentes-Albero & Matthias Paustian & Damjan Pfajfar, 2020, "Latent Variables Analysis in Structural Models: A New Decomposition of the Kalman Smoother," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2020-100, Dec, DOI: 10.17016/FEDS.2020.100.
• Dennis Umlandt, 2020, "Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models," Working Paper Series, University of Trier, Research Group Quantitative Finance and Risk Analysis, number 2020-06.
• Hugo Bodory & Martin Huber & Luk'av{s} Laff'ers, 2020, "Evaluating (weighted) dynamic treatment effects by double machine learning," Papers, arXiv.org, number 2012.00370, Dec, revised Jun 2021.
• Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2020, "Modeling Turning Points In Global Equity Market," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 195, Nov.
• Ilya Archakov & Peter Reinhard Hansen & Asger Lunde, 2020, "A Multivariate Realized GARCH Model," Papers, arXiv.org, number 2012.02708, Dec, revised Feb 2025.
• Paul Labonne, 2020, "Asymmetric uncertainty : Nowcasting using skewness in real-time data," Papers, arXiv.org, number 2012.02601, Dec, revised May 2024.
• Laurinaityte, Nora & Meinerding, Christoph & Schlag, Christian & Thimme, Julian, 2020, "GMM weighting matrices incross-sectional asset pricing tests," Discussion Papers, Deutsche Bundesbank, number 62/2020.
• Sean ELLIOTT & Christian GOURIEROUX, 2020, "Uncertainty on the Reproduction Ratio in the SIR Model," Working Papers, Center for Research in Economics and Statistics, number 2020-31, Dec.
• Jose Apesteguia & Miguel Ángel Ballester, 2020, "Separating predicted randomness from residual behavior," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1757, Feb.