Report NEP-ECM-2021-02-22

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:

• Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo MM & Taylor, AM Robert, 2022, "Extensions to IVX Methods of Inference for Return Predictability," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 29779, Feb.
• Wei Huang & Oliver Linton & Zheng Zhang, 2021, "A Unified Framework for Specification Tests of Continuous Treatment Effect Models," Papers, arXiv.org, number 2102.08063, Feb, revised Sep 2021.
• Marc Henry & Koen Jochmans & Bernard Salani'e, 2021, "Inference on two component mixtures under tail restrictions," Papers, arXiv.org, number 2102.06232, Feb.
• Raffaella Giacomini & Toru Kitagawa & Matthew Read, 2021, "Identification and Inference Under Narrative Restrictions," Papers, arXiv.org, number 2102.06456, Feb.
• Hidalgo, Javier & Lee, Jungyoon & Seo, Myung Hwan, 2019, "Robust inference for threshold regression models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 100333, Jun.
• Masahiro Kato, 2021, "Adaptive Doubly Robust Estimator from Non-stationary Logging Policy under a Convergence of Average Probability," Papers, arXiv.org, number 2102.08975, Feb, revised Mar 2021.
• {O}yvind Hoveid, 2021, "Constructing valid instrumental variables in generalized linear causal models from directed acyclic graphs," Papers, arXiv.org, number 2102.08056, Feb.
• Emmanuel Selorm Tsyawo & Abdul-Nasah Soale, 2021, "A Distance Covariance-based Estimator," Papers, arXiv.org, number 2102.07008, Feb, revised Nov 2025.
• Harold D. Chiang & Kengo Kato & Yuya Sasaki & Takuya Ura, 2021, "Linear programming approach to nonparametric inference under shape restrictions: with an application to regression kink designs," Papers, arXiv.org, number 2102.06586, Feb.
• Harvey, David I & Leybourne, Stephen J & Taylor, AM Robert, 2021, "Simple Tests for Stock Return Predictability with Good Size and Power Properties," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 29814, Feb.
• Ulrich K. Muller & Mark W. Watson, 2021, "Spatial Correlation Robust Inference," Papers, arXiv.org, number 2102.09353, Feb.
• Qiao, Xinghao & Qian, Cheng & James, Gareth M. & Guo, Shaojun, 2020, "Doubly functional graphical models in high dimensions," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 103120, Jun.
• Christoph Hanck & Till Massing, 2021, "Testing for Nonlinear Cointegration under Heteroskedasticity," Papers, arXiv.org, number 2102.08809, Feb, revised Oct 2024.
• Mario Forni & Luca Gambetti & marco Lippi & Luca Sala, 2020, "Common Components Structural VARs," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi", number 147, Dec.
• Barbara Felderer & Jannis Kueck & Martin Spindler, 2021, "Big Data meets Causal Survey Research: Understanding Nonresponse in the Recruitment of a Mixed-mode Online Panel," Papers, arXiv.org, number 2102.08994, Feb.
• Peter Z. Schochet, 2021, "Statistical Power for Estimating Treatment Effects Using Difference-in-Differences and Comparative Interrupted Time Series Designs with Variation in Treatment Timing," Papers, arXiv.org, number 2102.06770, Feb, revised Oct 2021.
• Kirill Dragun & Kris Boudt & Orimar Sauri & Steven Vanduffel, 2021, "Beta-Adjusted Covariance Estimation," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 21/1010, Feb.
• Mario Forni & Luca Gambetti & Luca Sala, 2020, "Macroeconomic Uncertainty and Vector Autoregressions," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi", number 148, Dec.
• Pennoni, Fulvia & Bartolucci, Francesco & Forte, Gianfranco & Ametrano, Ferdinando, 2020, "Exploring the dependencies among main cryptocurrency log-returns: A hidden Markov model," MPRA Paper, University Library of Munich, Germany, number 106150.
• Fan Cheng & Rob J Hyndman & Anastasios Panagiotelis, 2021, "Manifold Learning with Approximate Nearest Neighbors," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/21.
• Rui Fan & Ji Hyung Lee & Youngki Shin, 2021, "Predictive Quantile Regression with Mixed Roots and Increasing Dimensions: The ALQR Approach," Papers, arXiv.org, number 2101.11568, Jan, revised Dec 2022.
• Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021, "Aggregate Output Measurements: a Common Trend Approach," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2021_03, Feb.
• Yong Cai & Ivan A. Canay & Deborah Kim & Azeem M. Shaikh, 2021, "On the implementation of Approximate Randomization Tests in Linear Models with a Small Number of Clusters," Papers, arXiv.org, number 2102.09058, Feb, revised Mar 2022.
• Davide Debortoli & Mario Forni & Luca Gambetti & Luca Sala, 2020, "Asymmetric Effects of Monetary Policy Easing and Tightening," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi", number 146, Dec.
• Schwaab, Bernd & Zhang, Xin & Lucas, André, 2021, "Modeling extreme events: time-varying extreme tail shape," Working Paper Series, European Central Bank, number 2524, Feb.

Report NEP-ECM-2021-02-22

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: