Report NEP-ECM-2021-03-15

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:

• Doko Tchatoka, Firmin & Wang, Wenjie, 2021, "Uniform Inference after Pretesting for Exogeneity with Heteroskedastic Data," MPRA Paper, University Library of Munich, Germany, number 106408, Mar.
• Alessandro Casini, 2021, "Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models," Papers, arXiv.org, number 2103.02981, Mar, revised Aug 2024.
• Alessandro Casini & Pierre Perron, 2021, "Prewhitened Long-Run Variance Estimation Robust to Nonstationarity," Papers, arXiv.org, number 2103.02235, Mar, revised Aug 2024.
• Davide Viviano & Jelena Bradic, 2021, "Dynamic covariate balancing: estimating treatment effects over time with potential local projections," Papers, arXiv.org, number 2103.01280, Mar, revised Feb 2026.
• Zhaoyuan Li & Jianfeng Yao, 2021, "Extension of the Lagrange multiplier test for error cross-section independence to large panels with non normal errors," Papers, arXiv.org, number 2103.06075, Mar.
• Wang, Weining & Wooldridge, Jeffrey M. & Xu, Mengshan, 2020, "Improved Estimation of Dynamic Models of Conditional Means and Variances," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-021.
• Fiammetta Menchetti & Fabrizio Cipollini & Fabrizia Mealli, 2021, "Estimating the causal effect of an intervention in a time series setting: the C-ARIMA approach," Papers, arXiv.org, number 2103.06740, Mar, revised Sep 2021.
• Kim Christensen & Mikkel Slot Nielsen & Mark Podolskij, 2021, "High-dimensional estimation of quadratic variation based on penalized realized variance," Papers, arXiv.org, number 2103.03237, Mar, revised Jan 2026.
• Varlam Kutateladze, 2021, "The Kernel Trick for Nonlinear Factor Modeling," Papers, arXiv.org, number 2103.01266, Mar.
• Fredrik Savje, 2021, "Causal inference with misspecified exposure mappings: separating definitions and assumptions," Papers, arXiv.org, number 2103.06471, Mar, revised Mar 2023.
• Nalan Basturk & Lennart Hoogerheide & Herman K. van Dijk, 2021, "Bayes estimates of multimodal density features using DNA and Economic Data," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-017/III, Feb.
• Sakae Oya, 2021, "A Bayesian Graphical Approach for Large-Scale Portfolio Management with Fewer Historical Data," Papers, arXiv.org, number 2103.05880, Mar, revised Mar 2022.
• Justo Puerto & Federica Ricca & Mois'es Rodr'iguez-Madrena & Andrea Scozzari, 2021, "A combinatorial optimization approach to scenario filtering in portfolio selection," Papers, arXiv.org, number 2103.01123, Mar.
• Härdle, Wolfgang Karl & Nussbaum, Michael, 2020, "Kernel Estimation: the Equivalent Spline Smoothing Method," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-010.
• Ercument Cahan & Jushan Bai & Serena Ng, 2021, "Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions," Papers, arXiv.org, number 2103.03045, Mar, revised Feb 2022.
• Alessandro Casini & Taosong Deng & Pierre Perron, 2021, "Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference," Papers, arXiv.org, number 2103.01604, Mar, revised Sep 2024.
• Federico Belotti & Alessandro Casini & Leopoldo Catania & Stefano Grassi & Pierre Perron, 2021, "Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings," Papers, arXiv.org, number 2103.00060, Feb.
• Mustafayeva, Konul & Wang, Weining, 2020, "Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-025.
• Wang, Wenjie, 2021, "Bootstrap Inference for Partially Linear Model with Many Regressors," MPRA Paper, University Library of Munich, Germany, number 106391, Mar.
• Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2021, "A penalized two-pass regression to predict stock returns with time-varying risk premia," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-09, Jan.
• Xu, Xiu & Wang, Weining & Shin, Yongcheol, 2020, "Dynamic Spatial Network Quantile Autoregression," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-024.
• Marcin Hitczenko, 2021, "Improved Estimation of Poisson Rate Distributions through a Multi-Mode Survey Design," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2021-10, Feb, DOI: 10.29338/wp2021-10.
• Kristof Lommers & Ouns El Harzli & Jack Kim, 2021, "Confronting Machine Learning With Financial Research," Papers, arXiv.org, number 2103.00366, Feb, revised Mar 2021.
• Gary Cornwall & Jeff Chen & Beau Sauley, 2021, "Standing on the Shoulders of Machine Learning: Can We Improve Hypothesis Testing?," Papers, arXiv.org, number 2103.01368, Mar.
• Neves, Kleber & Tan, Pedro Batista & Amaral, Olavo Bohrer, 2021, "Are Most Published Research Findings False In A Continuous Universe?," MetaArXiv, Center for Open Science, number jk7sa, Mar, DOI: 10.31219/osf.io/jk7sa.
• Best, Katherine Laura & Speyer, Lydia Gabriela & Murray, Aja Louise & Ushakova, Anastasia, 2021, "Prediction of Attrition in Large Longitudinal Studies: Tree-based methods versus Multinomial Logistic Models," SocArXiv, Center for Open Science, number tyszr, Mar, DOI: 10.31219/osf.io/tyszr.
• Ratbek Dzhumashev & Ainura Tursunalieva, 2019, "A new criterion for selecting valid instruments," Monash Economics Working Papers, Monash University, Department of Economics, number 04-19, Jun.
• Feng, Yuanhua & Härdle, Wolfgang Karl, 2020, "A data-driven P-spline smoother and the P-Spline-GARCH models," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-016.
• Cl'ement de Chaisemartin & Ziteng Lei, 2021, "More Robust Estimators for Instrumental-Variable Panel Designs, With An Application to the Effect of Imports from China on US Employment," Papers, arXiv.org, number 2103.06437, Mar, revised Sep 2023.
• Ahmed, Hanan & Einmahl, John & Zhou, Chen, 2021, "Extreme Value Statistics in Semi-Supervised Models," Discussion Paper, Tilburg University, Center for Economic Research, number 2021-007.
• Yong Cai, 2021, "Some Finite Sample Properties of the Sign Test," Papers, arXiv.org, number 2103.01412, Mar, revised Feb 2024.
• Andre M. Marques & Gilberto Tadeu Lima, 2021, "Testing for Granger Causality in Quantiles Between the Wage Share and Capacity Utilization," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2021_03, Mar.
• Francq, Christian & Zakoian, Jean-Michel, 2021, "Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models," MPRA Paper, University Library of Munich, Germany, number 106542.
• Leopold Ringwald & Thomas O. Zörner, 2021, "The money-inflation nexus revisited," Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics, number wuwp310, Mar.
• Bruneel-Zupanc, Christophe Alain, 2021, "Discrete-Continuous Dynamic Choice Models: Identification and Conditional Choice Probability Estimation," TSE Working Papers, Toulouse School of Economics (TSE), number 21-1185, Feb.

Report NEP-ECM-2021-03-15

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: