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Report NEP-ECM-2021-03-08
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:
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021, "Moment tests of independent components," Working Papers, CEMFI, number wp2021_2102, Feb.
- Chao, Shih-Kang & Härdle, Wolfgang Karl & Yuan, Ming, 2020, "Factorisable Multitask Quantile Regression," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-004.
- Dargel, Lukas, 2021, "Revisiting Estimation Methods for Spatial Econometric Interaction Models," TSE Working Papers, Toulouse School of Economics (TSE), number 21-1192, Feb.
- Fryzlewicz, Piotr, 2020, "Detecting possibly frequent change-points: Wild Binary Segmentation 2 and steepest-drop model selection," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 103430, Dec.
- Caterina Schiavoni & Siem Jan Koopman & Franz Palm & Stephan Smeekes & Jan van den Brakel, 2021, "Time-varying state correlations in state space models and their estimation via indirect inference," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-020/III, Feb.
- Li, M. Z. & Linton, O., 2021, "Robust Estimation of Integrated and Spot Volatility," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2115, Feb.
- Jacob, Daniel, 2020, "Cross-Fitting and Averaging for Machine Learning Estimation of Heterogeneous Treatment Effects," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-014.
- Marinho Bertanha & EunYi Chung, 2021, "Permutation Tests at Nonparametric Rates," Papers, arXiv.org, number 2102.13638, Feb, revised Apr 2022.
- Chen, Likai & Wang, Weining & Wu, Wei Biao, 2020, "Inference of breakpoints in high-dimensional time series," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-019.
- Rahul Singh, 2021, "Kernel Ridge Riesz Representers: Generalization, Mis-specification, and the Counterfactual Effective Dimension," Papers, arXiv.org, number 2102.11076, Feb, revised Jul 2024.
- Maria Dimakopoulou & Zhimei Ren & Zhengyuan Zhou, 2021, "Online Multi-Armed Bandits with Adaptive Inference," Papers, arXiv.org, number 2102.13202, Feb, revised Jun 2021.
- Magris Martin & Iosifidis Alexandros, 2021, "Approximate Bayes factors for unit root testing," Papers, arXiv.org, number 2102.10048, Feb, revised Feb 2021.
- Jean-Jacques Forneron & Serena Ng, 2021, "Estimation and Inference by Stochastic Optimization: Three Examples," Papers, arXiv.org, number 2102.10443, Feb.
- Kukacka, Jiri & Sacht, Stephen, 2021, "Estimation of Heuristic Switching in Behavioral Macroeconomic Models," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2021-01.
- Khowaja, Kainat & Saef, Danial & Sizov, Sergej & Härdle, Wolfgang Karl, 2020, "Data Analytics Driven Controlling: bridging statistical modeling and managerial intuition," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-026.
- Shi, Chengchun & Song, R & Lu, W, 2021, "Concordance and value information criteria for optimal treatment decision," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 102105, Feb.
- Zhu, Yajing & Steele, Fiona & Moustaki, Irini, 2020, "A multilevel structural equation model for the interrelationships between multiple latent dimensions of childhood socio‐economic circumstances, partnership transitions and mid‐life health," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 103104, Jun.
- Strittmatter, Anthony & Wunsch, Conny, 2021, "The Gender Pay Gap Revisited with Big Data: Do Methodological Choices Matter?," IZA Discussion Papers, IZA Network @ LISER, number 14128, Feb.
- Schulz, Jan & Milaković, Mishael, 2020, "How wealthy are the rich?," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 166.
- Dohyun Chun & Donggyu Kim, 2021, "State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data," Papers, arXiv.org, number 2102.13404, Feb.
- Donggyu Kim & Minseok Shin & Yazhen Wang, 2021, "Overnight GARCH-It\^o Volatility Models," Papers, arXiv.org, number 2102.13467, Feb, revised Jun 2022.
- Stefano Grassi & Francesco Violante, 2021, "Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2021-05, Mar.
- Auer, Benjamin R. & Rottmann, Horst, 2020, "Monte-Carlo-Evaluation von Instrumentenvariablenschätzern," Weidener Diskussionspapiere, University of Applied Sciences Amberg-Weiden (OTH), number 79.
- Kuosmanen, Timo & Zhou, Xun & Eskelinen, Juha & Malo, Pekka, 2021, "Design Flaw of the Synthetic Control Method," MPRA Paper, University Library of Munich, Germany, number 106328, Feb.
- Quentin LAJAUNIE, 2021, "Nonlinear Impulse Response Function for Dichotomous Models," LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans, number 2852.
- Mario Faliva & Maria Grazia Zoia, 2021, "Cointegrated Solutions of Unit-Root VARs: An Extended Representation Theorem," Papers, arXiv.org, number 2102.10626, Feb.