Report NEP-ECM-2021-04-05

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:

• Zhaoxing Gao & Ruey S. Tsay, 2021, "Divide-and-Conquer: A Distributed Hierarchical Factor Approach to Modeling Large-Scale Time Series Data," Papers, arXiv.org, number 2103.14626, Mar.
• Greta Goracci & Simone Giannerini & Kung-Sik Chan & Howell Tong, 2021, "Testing for threshold effects in the TARMA framework," Papers, arXiv.org, number 2103.13977, Mar.
• Torben G. Andersen & Rasmus T. Varneskov, 2021, "Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions," NBER Working Papers, National Bureau of Economic Research, Inc, number 28570, Mar.
• Torben G. Andersen & Rasmus T. Varneskov, 2021, "Consistent Inference for Predictive Regressions in Persistent Economic Systems," NBER Working Papers, National Bureau of Economic Research, Inc, number 28568, Mar.
• Javier Alejo & Antonio F. Galvao & Gabriel Montes-Rojas, 2020, "A first-stage test for instrumental variables quantile regression," Asociación Argentina de Economía Política: Working Papers, Asociación Argentina de Economía Política, number 4304, Nov.
• Patrik Guggenberger & Frank Kleibergen & Sophocles Mavroeidis, 2021, "A Powerful Subvector Anderson Rubin Test in Linear Instrumental Variables Regression with Conditional Heteroskedasticity," Papers, arXiv.org, number 2103.11371, Mar, revised Oct 2022.
• Pang Du & Christopher F. Parmeter & Jeffrey S. Racine, 2021, "Shape Constrained Kernel PDF and PMF Estimation," Department of Economics Working Papers, McMaster University, number 2021-05, Mar.
• del Barrio Castro, Tomás, 2021, "Testing for the cointegration rank between Periodically Integrated processes," MPRA Paper, University Library of Munich, Germany, number 106603, revised 2021.
• Tengyuan Liang, 2021, "Universal Prediction Band via Semi-Definite Programming," Papers, arXiv.org, number 2103.17203, Mar, revised Jan 2023.
• Dake Li & Mikkel Plagborg-M{o}ller & Christian K. Wolf, 2021, "Local Projections vs. VARs: Lessons From Thousands of DGPs," Papers, arXiv.org, number 2104.00655, Apr, revised Jan 2024.
• Yiyan Huang & Cheuk Hang Leung & Qi Wu & Xing Yan, 2021, "Robust Orthogonal Machine Learning of Treatment Effects," Papers, arXiv.org, number 2103.11869, Mar, revised Dec 2022.
• Augusteijn, Hilde Elisabeth Maria & van Aert, Robbie Cornelis Maria & van Assen, Marcel A. L. M., 2021, "Posterior Probabilities of Effect Sizes and Heterogeneity in Meta-Analysis: An Intuitive Approach of Dealing with Publication Bias," OSF Preprints, Center for Open Science, number avkgj, Mar, DOI: 10.31219/osf.io/avkgj.
• Lukas Boer & Helmut Lütkepohl, 2021, "Qualitative versus Quantitative External Information for Proxy Vector Autoregressive Analysis," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1940.
• Yinchu Zhu, 2021, "Phase transition of the monotonicity assumption in learning local average treatment effects," Papers, arXiv.org, number 2103.13369, Mar.
• Riccardo (Jack) Lucchetti & Claudia Pigini, 2020, "Choice of solutions to the initial-conditions problem in dynamic panel probit models," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2020:27.
• Torben G. Andersen & Rasmus T. Varneskov, 2021, "Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions," NBER Working Papers, National Bureau of Economic Research, Inc, number 28569, Mar.
• O'Brien, Martin & Velasco, Sofia, 2020, "Unobserved components models with stochastic volatility for extracting trends and cycles in credit," Research Technical Papers, Central Bank of Ireland, number 09/RT/20, Dec.
• Joanna Morais & Christine Thomas-Agnan, 2021, "Impact of covariates in compositional models and simplicial derivatives," Post-Print, HAL, number hal-03180682, Jan, DOI: 10.17713/ajs.v50i2.1069.
• Mohammadreza Ghanbari & Mahdi Goldani, 2021, "Support Vector Regression Parameters Optimization using Golden Sine Algorithm and its application in stock market," Papers, arXiv.org, number 2103.11459, Mar.
• Joachim Freyberger, 2021, "Normalizations and misspecification in skill formation models," Papers, arXiv.org, number 2104.00473, Apr, revised Sep 2025.
• Jonas Meier, 2020, "Multivariate Distribution Regression," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp2023, Dec.
• V. A. Kalyagin & A. P. Koldanov & P. A. Koldanov, 2021, "Reliability of MST identification in correlation-based market networks," Papers, arXiv.org, number 2103.14593, Mar.
• Kilian Huber, 2021, "Estimating General Equilibrium Spillovers of Large-Scale Shocks," CESifo Working Paper Series, CESifo, number 8955.
• Wenyang Huang & Huiwen Wang & Shanshan Wang, 2021, "Dimension reduction of open-high-low-close data in candlestick chart based on pseudo-PCA," Papers, arXiv.org, number 2103.16908, Mar.
• Hanjo Odendaal, 2021, "A machine learning approach to domain specific dictionary generation. An economic time series framework," Working Papers, Stellenbosch University, Department of Economics, number 06/2021.
• Yijian Chuan & Chaoyi Zhao & Zhenrui He & Lan Wu, 2021, "The Success of AdaBoost and Its Application in Portfolio Management," Papers, arXiv.org, number 2103.12345, Mar.
• Sophocles Mavroeidis, 2021, "Identification at the Zero Lower Bound," Papers, arXiv.org, number 2103.12779, Mar, revised May 2021.
• S. Borağan Aruoba & Marko Mlikota & Frank Schorfheide & Sergio Villalvazo, 2021, "SVARs With Occasionally-Binding Constraints," NBER Working Papers, National Bureau of Economic Research, Inc, number 28571, Mar.
• Pamela Jakiela, 2021, "Simple Diagnostics for Two-Way Fixed Effects," Papers, arXiv.org, number 2103.13229, Mar.
• Huiwen Wang & Wenyang Huang & Shanshan Wang, 2021, "Forecasting open-high-low-close data contained in candlestick chart," Papers, arXiv.org, number 2104.00581, Mar.
• Apostolos Chalkis & Emmanouil Christoforou & Theodore Dalamagkas & Ioannis Z. Emiris, 2021, "Modeling of crisis periods in stock markets," Papers, arXiv.org, number 2103.13294, Mar.
• Shoya Ishimaru, 2021, "What Do We Get from Two-Way Fixed Effects Regressions? Implications from Numerical Equivalence," Papers, arXiv.org, number 2103.12374, Mar, revised Mar 2026.

Report NEP-ECM-2021-04-05

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: