Report NEP-ECM-2021-09-13

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.

Other reports in NEP-ECM

The following items were announced in this report:

• Daniel Jacob, 2021. "Variable Selection for Causal Inference via Outcome-Adaptive Random Forest," Papers 2109.04154, arXiv.org.
• Kindop, Igor, 2021. "Ubiquitous multimodality in mixed causal-noncausal processes," MPRA Paper 109594, University Library of Munich, Germany, revised 04 Sep 2021.
• Matteo Barigozzi & Marc Hallin & Matteo Luciani & Paolo Zaffaroni, 2021. "Inferential Theory for Generalized Dynamic Factor Models," Working Papers ECARES 2021-20, ULB -- Universite Libre de Bruxelles.
• Hubeyb Gurdogan & Alec Kercheval, 2021. "Multi Anchor Point Shrinkage for the Sample Covariance Matrix (Extended Version)," Papers 2109.00148, arXiv.org, revised Sep 2021.
• Tenglong Li & Jordan Lawson, 2021. "A generalized bootstrap procedure of the standard error and confidence interval estimation for inverse probability of treatment weighting," Papers 2109.00171, arXiv.org.
• Jushan Bai & Serena Ng, 2021. "Approximate Factor Models with Weaker Loadings," Papers 2109.03773, arXiv.org, revised Mar 2023.
• Denis Kojevnikov & Kyungchul Song, 2021. "Some Impossibility Results for Inference With Cluster Dependence with Large Clusters," Papers 2109.03971, arXiv.org, revised Jun 2023.
• Helton Saulo & Narayanaswamy Balakrishnan & Roberto Vila, 2021. "On a quantile autoregressive conditional duration model applied to high-frequency financial data," Papers 2109.03844, arXiv.org.
• Rob Luginbuhl, 2020. "Estimation of the Financial Cycle with a Rank-Reduced Multivariate State-Space Model," CPB Discussion Paper 409, CPB Netherlands Bureau for Economic Policy Analysis.
• Castro-Iragorri, C & Ramírez, J, 2021. "Forecasting Dynamic Term Structure Models with Autoencoders," Documentos de Trabajo 19431, Universidad del Rosario.
• Sanjay Dominik Jena & Andrea Lodi & Claudio Sole, 2021. "On the estimation of discrete choice models to capture irrational customer behaviors," Papers 2109.03882, arXiv.org.
• Lachlan O'Neill & Simon D Angus & Satya Borgohain & Nader Chmait & David Dowe, 2021. "Creating Powerful and Interpretable Models with Regression Networks," SoDa Laboratories Working Paper Series 2021-09, Monash University, SoDa Laboratories.
• Paul Bilokon & David Finkelstein, 2021. "Iterated and exponentially weighted moving principal component analysis," Papers 2108.13072, arXiv.org.