Report NEP-ECM-2021-08-16

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:

• Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2021. "Inference in heavy-tailed non-stationary multivariate time series," Papers 2107.13894, arXiv.org.
• Budhi Arta Surya, 2021. "Some results on maximum likelihood from incomplete data: finite sample properties and improved M-estimator for resampling," Papers 2108.01243, arXiv.org, revised Jul 2022.
• Pesaran, M. H. & Xie, Y., 2021. "How to Detect Network Dependence in Latent Factor Models? A Bias-Corrected CD Testy," Cambridge Working Papers in Economics 2158, Faculty of Economics, University of Cambridge.
• Jason R. Blevins & Minhae Kim, 2021. "Nested Pseudo Likelihood Estimation of Continuous-Time Dynamic Discrete Games," Papers 2108.02182, arXiv.org, revised Jan 2023.
• Li, Erqian & Härdle, Wolfgang & Dai, Xiaowen & Tian, Maozai, 2021. "Penalized weigted competing risks models based on quantile regression," IRTG 1792 Discussion Papers 2021-013, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Chang, Jinyuan & Kolaczyk, Eric D. & Yao, Qiwei, 2022. "Estimation of subgraph densities in noisy networks," LSE Research Online Documents on Economics 104684, London School of Economics and Political Science, LSE Library.
• Sungwon Lee, 2021. "Partial Identification and Inference for Conditional Distributions of Treatment Effects," Papers 2108.00723, arXiv.org, revised Nov 2023.
• Dmitry Arkhangelsky & Guido W. Imbens & Lihua Lei & Xiaoman Luo, 2021. "Design-Robust Two-Way-Fixed-Effects Regression For Panel Data," Papers 2107.13737, arXiv.org, revised Mar 2024.
• Harold D Chiang & Yukitoshi Matsushita & Taisuke Otsu, 2021. "Multiway empirical likelihood," Papers 2108.04852, arXiv.org, revised Aug 2024.
• Masahiro Kato & Masaaki Imaizumi & Kenichiro McAlinn & Haruo Kakehi & Shota Yasui, 2021. "Learning Causal Models from Conditional Moment Restrictions by Importance Weighting," Papers 2108.01312, arXiv.org, revised Sep 2022.
• Daniel R. Kowal & Antonio Canale, 2021. "Semiparametric Functional Factor Models with Bayesian Rank Selection," Papers 2108.02151, arXiv.org, revised May 2022.
• Hidalgo, Javier, 2021. "Bootstrap long memory processes in the frequency domain," LSE Research Online Documents on Economics 106149, London School of Economics and Political Science, LSE Library.
• Li Li & Yanfei Kang & Feng Li, 2021. "Bayesian forecast combination using time-varying features," Papers 2108.02082, arXiv.org, revised Jun 2022.
• Katsikatsou, Myrsini & Moustaki, Irini & Md Jamil, Haziq, 2022. "Pairwise likelihood estimation for confirmatory factor analysis models with categorical variables and data that are missing at random," LSE Research Online Documents on Economics 108933, London School of Economics and Political Science, LSE Library.
• Éric Gautier, 2021. "Relaxing Monotonicity in Endogenous Selection Models and Application to Surveys," Post-Print hal-03306234, HAL.
• Alberto Abadie & Jinglong Zhao, 2021. "Synthetic Controls for Experimental Design," Papers 2108.02196, arXiv.org, revised Sep 2024.
• Karol Binkowski & Peilun He & Nino Kordzakhia & Pavel Shevchenko, 2021. "On the Parameter Estimation in the Schwartz-Smiths Two-Factor Model," Papers 2108.01881, arXiv.org.
• Fernando E. Alvarez & Katarína Borovičková & Robert Shimer, 2021. "Consistent Evidence on Duration Dependence of Price Changes," NBER Working Papers 29112, National Bureau of Economic Research, Inc.
• Ronald Richman & Mario V. Wuthrich, 2021. "LocalGLMnet: interpretable deep learning for tabular data," Papers 2107.11059, arXiv.org.
• William Torous & Florian Gunsilius & Philippe Rigollet, 2021. "An Optimal Transport Approach to Estimating Causal Effects via Nonlinear Difference-in-Differences," Papers 2108.05858, arXiv.org, revised Mar 2024.
• Marc Grossouvre & Didier Rullière, 2022. "Mixture Kriging on granular data [Krigeage de distributions de mélanges pour des données granulaires]," Working Papers hal-03276127, HAL.
• Nguyen, Hoang & Nguyen, Trong-Nghia & Tran, Minh-Ngoc, 2021. "A dynamic leverage stochastic volatility model," Working Papers 2021:14, Örebro University, School of Business.