Report NEP-ECM-2021-07-19

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:

• Anish Agarwal & Rahul Singh, 2021, "Causal Inference with Corrupted Data: Measurement Error, Missing Values, Discretization, and Differential Privacy," Papers, arXiv.org, number 2107.02780, Jul, revised Feb 2024.
• Xuan, Liang & Jiti, Gao & xiaodong, Gong, 2021, "Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients," MPRA Paper, University Library of Munich, Germany, number 108497, Jan, revised 30 May 2021.
• Christian Gourieroux & Joann Jasiak, 2021, "Generalized Covariance Estimator," Papers, arXiv.org, number 2107.06979, Jul.
• Francisco Blasques & Enzo D'Innocenzo & Siem Jan Koopman, 2021, "Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-057/III, Jun.
• Emanuele Bacchiocchi & Toru Kitagawa, 2020, "Locally- but not globally-identified SVARs," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP40/20, Jul.
• Mikkel Bennedsen & Asger Lunde & Neil Shephard & Almut E. D. Veraart, 2021, "Inference and forecasting for continuous-time integer-valued trawl processes," Papers, arXiv.org, number 2107.03674, Jul, revised Feb 2023.
• Victor Aguirregabiria & Jesus Carro, 2021, "Identification of Average Marginal Effects in Fixed Effects Dynamic Discrete Choice Models," Working Papers, University of Toronto, Department of Economics, number tecipa-701, Jul.
• Giuseppe Cavaliere & Zeng-Hua Lu & Anders Rahbek & Yuhong Yang, 2021, "MinP Score Tests with an Inequality Constrained Parameter Space," Papers, arXiv.org, number 2107.06089, Jul.
• Alexander Mayer & Dominik Wied, 2021, "Estimation and Inference in Factor Copula Models with Exogenous Covariates," Papers, arXiv.org, number 2107.03366, Jul, revised Dec 2022.
• Victor Chernozhukov & Christian Hansen & Yuan Liao & Yinchu Zhu, 2021, "Inference for Low-Rank Models," Papers, arXiv.org, number 2107.02602, Jul, revised Jan 2023.
• Paolo Gorgi & Siem Jan Koopman & Julia Schaumburg, 2021, "Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-056/III, Jun.
• Julian Hinz & Amrei Stammann & Joschka Wanner, 2021, "State Dependence and Unobserved Heterogeneity in the Extensive Margin of Trade," CEPA Discussion Papers, Center for Economic Policy Analysis, number 36, Jul, DOI: 10.25932/publishup-51191.
• Andrew Chesher & Adam Rosen, 2020, "Econometric Modeling of Interdependent Discrete Choice with Applications to Market Structure," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP25/20, Jun.
• Bo E. Honoré & Áureo de Paula, 2021, "Identification in simple binary outcome panel data models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP14/21, Mar.
• Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2020, "Determining the rank of cointegration with infinite variance," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 20/01, Jan.
• Budhi Surya, 2021, "A new class of conditional Markov jump processes with regime switching and path dependence: properties and maximum likelihood estimation," Papers, arXiv.org, number 2107.07026, Jul.
• Richard Davis & Serena Ng, 2021, "Time Series Estimation of the Dynamic Effects of Disaster-Type Shock," Papers, arXiv.org, number 2107.06663, Jul, revised Mar 2022.
• Dong-Young Lim, 2021, "A Neural Frequency-Severity Model and Its Application to Insurance Claims," Papers, arXiv.org, number 2106.10770, Jun, revised Mar 2025.
• Hafner, Christian, 2021, "Teaching statistical inference without normality," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2021027, Jan.
• Toru Kitagawa, 2020, "The Identification Region of the Potential Outcome Distributions under Instrument Independence," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP23/20, May.
• Hao, Shiming, 2021, "True structure change, spurious treatment effect? A novel approach to disentangle treatment effects from structure changes," MPRA Paper, University Library of Munich, Germany, number 108679, Jul.
• Brantly Callaway & Andrew Goodman-Bacon & Pedro H. C. Sant'Anna, 2021, "Difference-in-Differences with a Continuous Treatment," Papers, arXiv.org, number 2107.02637, Jul, revised Dec 2025.
• Yannick Hoga & Timo Dimitriadis, 2021, "On Testing Equal Conditional Predictive Ability Under Measurement Error," Papers, arXiv.org, number 2106.11104, Jun.
• Christoph Breunig & Patrick Burauel, 2021, "Testability of Reverse Causality Without Exogenous Variation," Papers, arXiv.org, number 2107.05936, Jul, revised Apr 2024.
• 'Agoston Reguly, 2021, "Discovering Heterogeneous Treatment Effects in Regression Discontinuity Designs," Papers, arXiv.org, number 2106.11640, Jun, revised Aug 2025.
• Bodha Hannadige, Sium & Gao, Jiti & Silvapulle, Mervyn & Silvapulle, Param, 2021, "Time Series Forecasting using a Mixture of Stationary and Nonstationary Predictors," MPRA Paper, University Library of Munich, Germany, number 108669, Jan, revised 30 Apr 2021.
• Clémençon, Stéphan & Jalalzai, Hamid & Sabourin, Anne & Stéphane & Segers, Johan, 2021, "Concentration bounds for the empirical angular measure with statistical learning applications," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2021023, Jan.
• Marzio Di Vece & Diego Garlaschelli & Tiziano Squartini, 2021, "Gravity models of networks: integrating maximum-entropy and econometric approaches," Papers, arXiv.org, number 2107.02650, Jul, revised May 2022.
• Denuit, Michel & Trufin, Julien & Verdebout, Thomas, 2021, "Testing for more positive expectation dependence with application to model comparison," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2021021, Jan.
• Casoli, Chiara & Lucchetti, Riccardo (Jack), , "Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices," FEEM Working Papers, Fondazione Eni Enrico Mattei (FEEM), number 312367, DOI: 10.22004/ag.econ.312367.
• Fabrizio Cipollini & Giampiero M. Gallo, 2021, "Multiplicative Error Models: 20 years on," Papers, arXiv.org, number 2107.05923, Jul.
• Levon Barseghyan & Francesca Molinari & Matthew Thirkettle, 2020, "Discrete choice under risk with limited consideration," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP28/20, Jun.
• Rubin, Mark, 2021, "When to adjust alpha during multiple testing: A consideration of disjunction, conjunction, and individual testing," MetaArXiv, Center for Open Science, number tj6pm, Jul, DOI: 10.31219/osf.io/tj6pm.
• Mark Kamstra & Ruoyao Shi, 2021, "A Note on the GRS Test," Working Papers, University of California at Riverside, Department of Economics, number 202111, Jul.
• Benoit Chèze & Charles Collet & Anthony Paris, 2021, "Estimating discrete choice experiments : theoretical fundamentals," Working Papers, HAL, number hal-03262187, Apr.

Report NEP-ECM-2021-07-19

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: