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Report NEP-ECM-2022-04-04
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:
- Giuseppe De Luca & Jan Magnus & Franco Peracchi, 2022, "Asymptotic properties of the weighted average least squares (WALS) estimator," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 22-022/III, Feb.
- Christian Gourieroux & Joann Jasiak, 2022, "Long Run Risk in Stationary Structural Vector Autoregressive Models," Papers, arXiv.org, number 2202.09473, Feb.
- Minkah, Richard & de Wet, Tertius & Ghosh, Abhik, 2022, "Robust Extreme Quantile Estimation for Pareto-Type tails through an Exponential Regression Model," AfricArxiv, Center for Open Science, number hf7vk, Mar, DOI: 10.31219/osf.io/hf7vk.
- Perepolkin, Dmytro & Goodrich, Benjamin & Sahlin, Ullrika, 2021, "Hybrid elicitation and indirect Bayesian inference with quantile-parametrized likelihood," OSF Preprints, Center for Open Science, number paby6, Sep, DOI: 10.31219/osf.io/paby6.
- Gery Andr'es D'iaz Rubio & Simone Giannerini & Greta Goracci, 2022, "A multivariate extension of the Misspecification-Resistant Information Criterion," Papers, arXiv.org, number 2202.09225, Feb.
- Taras Bodnar & Nestor Parolya & Erik Thors'en, 2022, "Two is better than one: Regularized shrinkage of large minimum variance portfolio," Papers, arXiv.org, number 2202.06666, Feb.
- Javier Hidalgo & Heejun Lee & Heejun Lee & Jungyoon Lee & Myung Hwan Seo, 2021, "Minimax Risk in Estimating Kink Threshold and Testing," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 622, Sep.
- Damir Filipović & Markus Pelger & Ye Ye, 2022, "Stripping the Discount Curve - a Robust Machine Learning Approach," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-24, Mar.
- Ryan Thompson & Catherine S. Forbes & Steven N. MacEachern & Mario Peruggia, 2022, "Familial Inference," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/22.
- Charles Beach, 2022, "Better Off or More Apart? Empirically Testing Welfare and Inequality Dominance Criteria," Working Paper, Economics Department, Queen's University, number 1484, Mar.
- Shi, Chengchun & Wang, Xiaoyu & Luo, Shikai & Zhu, Hongtu & Ye, Jieping & Song, Rui, 2022, "Dynamic causal effects evaluation in A/B testing with a reinforcement learning framework," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 113310, Jan.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022, "Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates," Working Papers, Federal Reserve Bank of Cleveland, number 22-06, Mar, DOI: 10.26509/frbc-wp-202206.
- Chao Zhang & Yihuang Zhang & Mihai Cucuringu & Zhongmin Qian, 2022, "Volatility forecasting with machine learning and intraday commonality," Papers, arXiv.org, number 2202.08962, Feb, revised Feb 2023.
- Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino, 2022, "Forecasting US Inflation Using Bayesian Nonparametric Models," Working Papers, Federal Reserve Bank of Cleveland, number 22-05, Mar, DOI: 10.26509/frbc-wp-202205.
- Eckert, C. & J. Hohberger (Jan) & Franses, Ph.H.B.F., 2022, "Gaussian Copula Regression in the Presence of Thresholds," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number 2022-02, Feb.
- Rendtel, Ulrich & Alho, Juha M., 2022, "On the fade-away of an initial bias in longitudinal surveys," Discussion Papers, Free University Berlin, School of Business & Economics, number 2022/4.
- César Garcia-Gomez & Ana Pérez & Mercedes Prieto-Alaiz, 2022, "The evolution of poverty in the EU-28: a further look based on multivariate tail dependence," Working Papers, ECINEQ, Society for the Study of Economic Inequality, number 605, Mar.