Report NEP-ECM-2021-05-03

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:

• Javier Hualde & Morten Ørregaard Nielsen, 2022, "Truncated sum-of-squares estimation of fractional time series models with generalized power law trend," Working Paper, Economics Department, Queen's University, number 1458, Jan.
• Arthur Lewbel & Xi Qu & Xun Tang, 2021, "Social Networks with Mismeasured Links," Boston College Working Papers in Economics, Boston College Department of Economics, number 1031, Apr.
• Erniel B. Barrios & Paolo Victor T. Redondo, 2021, "Nonparametric Test for Volatility in Clustered Multiple Time Series," Papers, arXiv.org, number 2104.14412, Apr, revised May 2024.
• Jiarui Liu, 2021, "Sequential Search Models: A Pairwise Maximum Rank Approach," Papers, arXiv.org, number 2104.13865, Apr, revised Nov 2021.
• Andres Algaba & Samuel Borms & Kris Boudt & Brecht Verbeken, 2021, "Daily news sentiment and monthly surveys: A mixed–frequency dynamic factor model for nowcasting consumer confidence," Working Paper Research, National Bank of Belgium, number 396, Feb.
• Xavier D'Haultfoeuille & Stefan Hoderlein & Yuya Sasaki, 2021, "Nonparametric Difference-in-Differences in Repeated Cross-Sections with Continuous Treatments," Papers, arXiv.org, number 2104.14458, Apr, revised May 2022.
• Lajos Horvath & Lorenzo Trapani, 2021, "Changepoint detection in random coefficient autoregressive models," Papers, arXiv.org, number 2104.13440, Apr.
• Aiwei Huang & Madhurima Chandra & Laura Malkhasyan, 2021, "Weak Instrumental Variables: Limitations of Traditional 2SLS and Exploring Alternative Instrumental Variable Estimators," Papers, arXiv.org, number 2104.12370, Apr.
• Jacob, Daniel, 2021, "CATE meets ML: Conditional average treatment effect and machine learning," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2021-005.
• Miranda-Agrippino, Silvia & Ricco, Giovanni, 2021, "Bayesian Local Projections," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 1348.
• Mehmet Caner, 2021, "Generalized Linear Models with Structured Sparsity Estimators," Papers, arXiv.org, number 2104.14371, Apr.
• David T. Frazier & Ruben Loaiza-Maya & Gael M. Martin & Bonsoo Koo, 2021, "Loss-Based Variational Bayes Prediction," Papers, arXiv.org, number 2104.14054, Apr, revised May 2022.
• BENSALMA, Ahmed, 2021, "Fractional Dickey-Fuller test with or without prehistorical influence," MPRA Paper, University Library of Munich, Germany, number 107408, Apr.
• Wang, Bingling & Li, Yingxing & Härdle, Wolfgang, 2021, "K-expectiles clustering," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2021-003.
• Christian Brownlees & Gu{dh}mundur Stef'an Gu{dh}mundsson, 2021, "Performance of Empirical Risk Minimization for Linear Regression with Dependent Data," Papers, arXiv.org, number 2104.12127, Apr, revised May 2023.
• Pincheira, Pablo & Hardy, Nicolas, 2021, "The Mean Squared Prediction Error Paradox," MPRA Paper, University Library of Munich, Germany, number 107403, Apr.
• Pötscher, Benedikt M. & Preinerstorfer, David, 2021, "Valid Heteroskedasticity Robust Testing," MPRA Paper, University Library of Munich, Germany, number 107420, Apr.
• Aronsson, Thomas & Jenderny, Katharina & Lanot, Gauthier, 2021, "Maximum Likelihood Bunching Estimators of the ETI," Umeå Economic Studies, Umeå University, Department of Economics, number 987, Apr.
• Dylan Brewer & Alyssa Carlson, 2021, "Addressing Sample Selection Bias for Machine Learning Methods," Working Papers, Department of Economics, University of Missouri, number 2102.
• Ramis Khbaibullin & Sergei Seleznev, 2020, "Stochastic Gradient Variational Bayes and Normalizing Flows for Estimating Macroeconomic Models," Bank of Russia Working Paper Series, Bank of Russia, number wps61, Oct.
• Yusuke Narita & Kohei Yata, 2021, "Algorithm as Experiment: Machine Learning, Market Design, and Policy Eligibility Rules," Papers, arXiv.org, number 2104.12909, Apr, revised Dec 2023.
• Narayan Ganesan & Bernhard Hientzsch, 2021, "Estimating Future VaR from Value Samples and Applications to Future Initial Margin," Papers, arXiv.org, number 2104.11768, Apr.
• Ryan Dew & Yuhao Fan, 2021, "Correlated Dynamics in Marketing Sensitivities," Papers, arXiv.org, number 2104.11702, Apr, revised May 2024.
• Davide Viviano & Kaspar Wuthrich & Paul Niehaus, 2021, "A model of multiple hypothesis testing," Papers, arXiv.org, number 2104.13367, Apr, revised Feb 2026.
• Parmeter, Christopher F., 2021, "Is it MOLS or COLS?," Efficiency Series Papers, University of Oviedo, Department of Economics, Oviedo Efficiency Group (OEG), number 2021/04.

Report NEP-ECM-2021-05-03

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: