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Report NEP-ECM-2021-01-04
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:
- Tamara Broderick & Ryan Giordano & Rachael Meager, 2020, "An Automatic Finite-Sample Robustness Metric: When Can Dropping a Little Data Make a Big Difference?," Papers, arXiv.org, number 2011.14999, Nov, revised Jul 2023.
- Fukang Zhu & Mengya Liu & Shiqing Ling & Zongwu Cai, 2020, "Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202021, Dec, revised Dec 2020.
- Mingfeng Zhan & Zongwu Cai & Ying Fang & Ming Lin, 2020, "Covariate Balance Weighting Methods in Estimating Treatment Effects: An Empirical Comparison," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202020, Dec, revised Dec 2020.
- Gregory P. Casey & Marc P. B. Klemp, 2020, "Historical Instruments and Contemporary Endogenous Regressors," CESifo Working Paper Series, CESifo, number 8716.
- Yacine Aït-Sahalia & Jean Jacod & Dacheng Xiu, 2020, "Inference on Risk Premia in Continuous-Time Asset Pricing Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 28140, Nov.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2020, "Spurious relationships in high dimensional systems with strong or mild persistence," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa, number 31553, Dec.
- Jianghao Chu & Tae-Hwy Lee & Aman Ullah & Haifeng Xu, 2020, "Exact Distribution of the F-statistic under Heteroskedasticity of Unknown Form for Improved Inference," Working Papers, University of California at Riverside, Department of Economics, number 202027, Dec.
- Item repec:ehu:biltok:48980 is not listed on IDEAS anymore
- Michela Bia & Martin Huber & Luk'av{s} Laff'ers, 2020, "Double machine learning for sample selection models," Papers, arXiv.org, number 2012.00745, Nov, revised Jul 2021.
- Da Silva Neto, Anibal Emiliano & Gonzalo, Jesús & Pitarakis, Jean-Yves, 2020, "Uncovering regimes in out of sample forecast errors from predictive regressions," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa, number 31555, Dec.
- Julien Albertini & Stéphane Moyen, 2020, "A General and Efficient Method for Solving Regime-Switching DSGE Models," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon, number 2035.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2020, "Out of sample predictability in predictive regressions with many predictor candidates," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa, number 31554, Dec.
- Item repec:rim:rimwps:20-27 is not listed on IDEAS anymore
- Léa BOU SLEIMAN & Germain GAUTHIER, 2020, "COVID-19: Reduced forms have gone viral, but what do they tell us?," Working Papers, Center for Research in Economics and Statistics, number 2020-32, Dec, revised 18 Jan 2021.
- Marc Hallin & Carlos Trucíos, 2020, "Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2020-50, Dec.
- Michael W. McCracken, 2020, "Tests of Conditional Predictive Ability: Existence, Size, and Power," Working Papers, Federal Reserve Bank of St. Louis, number 2020-050, Dec, DOI: 10.20955/wp.2020.050.
- Shuo Liu & Nick Netzer, 2020, "Happy times: measuring happiness using response times," ECON - Working Papers, Department of Economics - University of Zurich, number 371, Dec, revised Mar 2023.
- Camilla Mastromarco & Léopold Simar & Valentin Zelenyuk, 2020, "Predicting Recessions with a Frontier Measure of Output Gap: An Application to Italian Economy," CEPA Working Papers Series, School of Economics, University of Queensland, Australia, number WP102020, Oct.