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Report NEP-ECM-2021-04-26
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:
- Beste Hamiye Beyaztas & Soutir Bandyopadhyay & Abhijit Mandal, 2021, "A robust specification test in linear panel data models," Papers, arXiv.org, number 2104.07723, Apr.
- Shuxiao Chen & Bo Zhang, 2021, "Estimating and Improving Dynamic Treatment Regimes With a Time-Varying Instrumental Variable," Papers, arXiv.org, number 2104.07822, Apr.
- Ignace De Vos & Gerdie Everaert & Vasilis Sarafidis, 2021, "A method for evaluating the rank condition for CCE estimators," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 21/1013, Apr.
- Christiern Rose & Lizi Yu, 2021, "Identification of Peer Effects with Miss-specified Peer Groups: Missing Data and Group Uncertainty," Papers, arXiv.org, number 2104.10365, Apr, revised May 2022.
- Sylvia Klosin, 2021, "Automatic Double Machine Learning for Continuous Treatment Effects," Papers, arXiv.org, number 2104.10334, Apr.
- Borgen, Nicolai T. & Haupt, Andreas & Wiborg, Øyvind N., 2021, "A New Framework for Estimation of Unconditional Quantile Treatment Effects: The Residualized Quantile Regression (RQR) Model," SocArXiv, Center for Open Science, number 42gcb, Apr, DOI: 10.31219/osf.io/42gcb.
- Daniel Jacob, 2021, "CATE meets ML -- The Conditional Average Treatment Effect and Machine Learning," Papers, arXiv.org, number 2104.09935, Apr, revised Apr 2021.
- Giovanni Angelini & Marco M. Sorge, 2021, "Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number wp1160, Apr.
- M. Hashem Pesaran & Ron P. Smith, 2021, "Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios," CESifo Working Paper Series, CESifo, number 9001.
- Sebastian Galiani & Juan Pantano, 2021, "Structural Models: Inception and Frontier," NBER Working Papers, National Bureau of Economic Research, Inc, number 28698, Apr.
- O’Loughlin, Caitlin & Simar, Léopold & Wilson, Paul, 2021, "Methodologies for assessing government efficiency," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2021002, Jan.
- Hibiki Kaibuchi & Yoshinori Kawasaki & Gilles Stupfler, 2021, "GARCH-UGH: A bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series," Papers, arXiv.org, number 2104.09879, Apr.
- Hisatoshi Tanaka, 2021, "A Necessary Condition for Semiparametric Efficiency of Experimental Designs," Working Papers, Waseda University, Faculty of Political Science and Economics, number 2024, Mar.
- Tobias Fissler & Yannick Hoga, 2021, "Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability," Papers, arXiv.org, number 2104.10673, Apr, revised Feb 2022.
- Eric Benhamou & David Saltiel & Serge Tabachnik & Sui Kai Wong & Franc{c}ois Chareyron, 2021, "Adaptive learning for financial markets mixing model-based and model-free RL for volatility targeting," Papers, arXiv.org, number 2104.10483, Apr, revised Apr 2021.