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.

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