Report NEP-ECM-2021-02-01

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:

• Gabriel Montes Rojas & Andrés Sebastián Mena, 2020, "Density estimation using bootstrap quantile variance and quantile-mean covariance," Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET), Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET), number 2020-50, Feb.
• Xiaohu Wang & Weilin Xiao & Jun Yu, 2020, "Asymptotic Properties of Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noises," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 27-2020, Dec.
• Jayeeta Bhattacharya, 2020, "Quantile regression with generated dependent variable and covariates," Papers, arXiv.org, number 2012.13614, Dec.
• Sam Ouliaris & Adrian Pagan, 2020, "Three Questions Regarding Impulse Responses and Their Interpretation Found from Sign Restrictions," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2020-101, Nov.
• Mochen Yang & Edward McFowland III & Gordon Burtch & Gediminas Adomavicius, 2020, "Achieving Reliable Causal Inference with Data-Mined Variables: A Random Forest Approach to the Measurement Error Problem," Papers, arXiv.org, number 2012.10790, Dec.
• Sayar Karmakar & Marek Chudy & Wei Biao Wu, 2020, "Long-term prediction intervals with many covariates," Papers, arXiv.org, number 2012.08223, Dec, revised Sep 2021.
• Gregory Fletcher Cox, 2020, "Weak Identification with Bounds in a Class of Minimum Distance Models," Papers, arXiv.org, number 2012.11222, Dec, revised Oct 2025.
• Timothy B. Armstrong & Michal Koles'ar & Soonwoo Kwon, 2020, "Bias-Aware Inference in Regularized Regression Models," Papers, arXiv.org, number 2012.14823, Dec, revised Aug 2023.
• Gabriel Montes Rojas, 2019, "Subgraph Network Random Effects Error Components Models: Specification and Testing," Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET), Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET), number 2019-44, May.
• Marc Hallin, 2021, "Measure Transportation and Statistical Decision Theory," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2021-04, Jan.
• Pacifico, Antonio, 2020, "Bayesian Fuzzy Clustering with Robust Weighted Distance for Multiple ARIMA and Multivariate Time-Series," MPRA Paper, University Library of Munich, Germany, number 104379.
• Billy Ferguson & Brad Ross, 2020, "Assessing the Sensitivity of Synthetic Control Treatment Effect Estimates to Misspecification Error," Papers, arXiv.org, number 2012.15367, Dec, revised Feb 2021.
• Philip Erickson, 2020, "Identification of inferential parameters in the covariate-normalized linear conditional logit model," Papers, arXiv.org, number 2012.08022, Dec.
• Dongcheng Zhang & Kunpeng Zhang, 2020, "Weighting-Based Treatment Effect Estimation via Distribution Learning," Papers, arXiv.org, number 2012.13805, Dec, revised May 2023.
• Eiji Kurozumi & Anton Skrobotov & Alexey Tsarev, 2020, "Time-Transformed Test for the Explosive Bubbles under Non-stationary Volatility," Papers, arXiv.org, number 2012.13937, Dec, revised Nov 2021.
• Victor Chernozhukov & Whitney Newey & Rahul Singh & Vasilis Syrgkanis, 2020, "Adversarial Estimation of Riesz Representers," Papers, arXiv.org, number 2101.00009, Dec, revised Apr 2024.
• Bryan S. Graham & Fengshi Niu & James L. Powell, 2020, "Minimax Risk and Uniform Convergence Rates for Nonparametric Dyadic Regression," Papers, arXiv.org, number 2012.08444, Dec, revised Mar 2021.
• Wüthrich, Kaspar, 2019, "A closed-form estimator for quantile treatment effects with endogeneity," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt99n9197q, Jun.
• Lixiong Li & D'esir'e K'edagni & Ismael Mourifi'e, 2020, "Discordant Relaxations of Misspecified Models," Papers, arXiv.org, number 2012.11679, Dec, revised Apr 2024.
• Kajal Lahiri & Huaming Peng & Xuguang Sheng, 2020, "Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity," CESifo Working Paper Series, CESifo, number 8810.
• Zea Bermúdez, Patricia de & Marín Díazaraque, Juan Miguel & Rue, Havard & Veiga, Helena, 2021, "Integrated nested Laplace approximations for threshold stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 31804, Jan.
• Justyna Wr'oblewska, 2020, "Bayesian analysis of seasonally cointegrated VAR model," Papers, arXiv.org, number 2012.14820, Dec, revised Apr 2021.
• Mehmet Caner & Kfir Eliaz, 2021, "Shoiuld Humans Lie to Machines: The Incentive Compatibility of Lasso and General Weighted Lasso," Papers, arXiv.org, number 2101.01144, Jan, revised Sep 2021.
• Lukas Boeckelmann & Arthur Stalla-Bourdillon, 2021, "Structural Estimation of Time-Varying Spillovers: An Application to International Credit Risk Transmission," Working papers, Banque de France, number 798.
• Tzougas, George & Jeong, Himchan, 2021, "An expectation-maximization algorithm for the exponential-generalized inverse Gaussian regression model with varying dispersion and shape for modelling the aggregate claim amount," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 108210, Jan.
• Xavier Gabaix & Ralph S. J. Koijen, 2020, "Granular Instrumental Variables," NBER Working Papers, National Bureau of Economic Research, Inc, number 28204, Dec.
• Bora Kim, 2020, "Analysis of Randomized Experiments with Network Interference and Noncompliance," Papers, arXiv.org, number 2012.13710, Dec.
• Matthew A. Masten & Alexandre Poirier & Linqi Zhang, 2020, "Assessing Sensitivity to Unconfoundedness: Estimation and Inference," Papers, arXiv.org, number 2012.15716, Dec.
• Manganelli, Simone, 2021, "Statistical decision functions with judgment," Working Paper Series, European Central Bank, number 2512, Jan.
• Chirok Han, 2020, "Exact Trend Control in Estimating Treatment Effects Using Panel Data with Heterogenous Trends," Papers, arXiv.org, number 2012.08988, Dec.
• Kees Jan van Garderen & Noud van Giersbergen, 2020, "A Nearly Similar Powerful Test for Mediation," Papers, arXiv.org, number 2012.11342, Dec, revised Jan 2022.
• Jos'e Vin'icius de Miranda Cardoso & Jiaxi Ying & Daniel Perez Palomar, 2020, "Algorithms for Learning Graphs in Financial Markets," Papers, arXiv.org, number 2012.15410, Dec.

Report NEP-ECM-2021-02-01

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: