Report NEP-ECM-2021-01-25

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:

• Andrea A. Naghi & Máté Váradi & Mikhail Zhelonkin, 2021, "Robust Estimation of Probit Models with Endogeneity," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-004/III, Jan.
• Joshua C.C. Chan & Xuewen Yu, 2020, "Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2020-108, Dec.
• Yiyan Huang & Cheuk Hang Leung & Xing Yan & Qi Wu & Nanbo Peng & Dongdong Wang & Zhixiang Huang, 2020, "The Causal Learning of Retail Delinquency," Papers, arXiv.org, number 2012.09448, Dec.
• Item repec:kan:wpaper:202105 is not listed on IDEAS anymore

• Laura Liu & Mikkel Plagborg-M{o}ller, 2021, "Full-Information Estimation of Heterogeneous Agent Models Using Macro and Micro Data," Papers, arXiv.org, number 2101.04771, Jan, revised Jun 2022.
• Daniel Fehrle & Christopher Heiberger & Johannes Huber, 2020, "Polynomial chaos expansion: Efficient evaluation and estimation of computational models," Discussion Paper Series, Universitaet Augsburg, Institute for Economics, number 341, Dec.
• Shoya Ishimaru, 2021, "Empirical Decomposition of the IV-OLS Gap with Heterogeneous and Nonlinear Effects," Papers, arXiv.org, number 2101.04346, Jan, revised Jun 2022.
• Andrew Bennett & Nathan Kallus, 2020, "The Variational Method of Moments," Papers, arXiv.org, number 2012.09422, Dec, revised Mar 2023.
• Zongwu Cai & Xiyuan Liu, 2021, "Solving the Price Puzzle Via A Functional Coefficient Factor-Augmented VAR Model," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202106, Jan, revised Jan 2021.
• Li, Chenxing & Maheu, John M, 2020, "A Multivariate GARCH-Jump Mixture Model," MPRA Paper, University Library of Munich, Germany, number 104770, Dec.
• Jiaying Gu & Thomas M. Russell, 2021, "Partial Identification in Nonseparable Binary Response Models with Endogenous Regressors," Papers, arXiv.org, number 2101.01254, Jan, revised Jul 2022.
• Shane Lubold & Arun G. Chandrasekhar & Tyler H. McCormick, 2020, "Identifying the Latent Space Geometry of Network Models through Analysis of Curvature," NBER Working Papers, National Bureau of Economic Research, Inc, number 28273, Dec.
• Joshua Angrist & Peter Hull & Parag A. Pathak & Christopher R. Walters, 2020, "Simple and Credible Value-Added Estimation Using Centralized School Assignment," NBER Working Papers, National Bureau of Economic Research, Inc, number 28241, Dec.
• Pacifico, Antonio, 2020, "A Two-step System for Hierarchical Bayesian Dynamic Panel Data to deal with Endogeneity Issues, Structural Model Uncertainty, and Causal Relationship," MPRA Paper, University Library of Munich, Germany, number 104291.
• Marinho Bertanha, 2021, "Regression Discontinuity Design with Many Thresholds," Papers, arXiv.org, number 2101.01245, Jan.
• Arnab Bhattacharjee & Jan Ditzen & Sean Holly, 2021, "Spatial and Spatio-temporal Error Correction, Networks and Common Correlated Effects," BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen, number BEMPS76, Jan.
• Pacifico, Antonio, 2020, "Structural Panel Bayesian VAR with Multivariate Time-varying Volatility to jointly deal with Structural Changes, Policy Regime Shifts, and Endogeneity Issues," MPRA Paper, University Library of Munich, Germany, number 104292.
• Daniel Borup & David E. Rapach & Erik Christian Montes Schütte, 2021, "Now- and Backcasting Initial Claims with High-Dimensional Daily Internet Search-Volume Data," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2021-02, Jan.
• Giuseppe De Luca & Jan R. Magnus, 2021, "Weak versus strong dominance of shrinkage estimators," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-007/III, Jan.
• Mariia Artemova & Francisco Blasques & Siem Jan Koopman & Zhaokun Zhang, 2021, "Forecasting in a changing world: from the great recession to the COVID-19 pandemic," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-006/III, Jan.
• Bruno P. C. Levy & Hedibert F. Lopes, 2021, "Dynamic Ordering Learning in Multivariate Forecasting," Papers, arXiv.org, number 2101.04164, Jan, revised Nov 2021.
• Kentaro Imajo & Kentaro Minami & Katsuya Ito & Kei Nakagawa, 2020, "Deep Portfolio Optimization via Distributional Prediction of Residual Factors," Papers, arXiv.org, number 2012.07245, Dec.
• Jos'e E. Figueroa-L'opez & Ruoting Gong & Yuchen Han, 2021, "Estimation of Tempered Stable L\'{e}vy Models of Infinite Variation," Papers, arXiv.org, number 2101.00565, Jan, revised Feb 2022.
• Mattia Guerini & Patrick Musso & Lionel Nesta, 2020, "Estimation of threshold distributions for market participation," Working Papers, HAL, number halshs-03040260, Dec.
• Hilde Christiane Bjørnland & Roberto Casarin & Marco Lorusso & Francesco Ravazzolo, 2020, "Oil and Fiscal Policy Regimes," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 11/2020, Dec.
• Marinho Bertanha & Andrew H. McCallum & Nathan Seegert, 2021, "Better Bunching, Nicer Notching," Papers, arXiv.org, number 2101.01170, Jan, revised Jun 2023.

Report NEP-ECM-2021-01-25

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: