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Report NEP-ECM-2023-05-22
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:
- Puyi Fang & Zhaoxing Gao & Ruey S. Tsay, 2023, "Determination of the effective cointegration rank in high-dimensional time-series predictive regressions," Papers, arXiv.org, number 2304.12134, Apr, revised Apr 2023.
- Yassine Sbai Sassi, 2023, "The Ordinary Least Eigenvalues Estimator," Papers, arXiv.org, number 2304.12554, Apr.
- Daniele Girolimetto & George Athanasopoulos & Tommaso Di Fonzo & Rob J Hyndman, 2023, "Cross-temporal Probabilistic Forecast Reconciliation," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 6/23.
- Paul Ho & Thomas A. Lubik & Christian Matthes, 2023, "Averaging Impulse Responses Using Prediction Pools," Working Paper, Federal Reserve Bank of Richmond, number 23-04, Feb, DOI: 10.21144/wp23-04.
- Virbickaite, Audrone & Nguyen, Hoang & Tran, Minh-Ngoc, 2023, "Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models," Working Papers, Örebro University, School of Business, number 2023:7, Apr.
- Jarek Duda, 2023, "Adaptive Student's t-distribution with method of moments moving estimator for nonstationary time series," Papers, arXiv.org, number 2304.03069, Apr, revised Apr 2025.
- Hernandez Amaro, Pavel & Durbán Reguera, María Luz & Aguilera Morillo, María del Carmen & Esteban Gonzalez, Cristobal & Arostegui, Inma, 2023, "Modelling physical activity profiles in COPD patients: a new approach to variable-domain functional regression models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 37255, May.
- Kyungsub Lee, 2023, "Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data," Papers, arXiv.org, number 2304.11883, Apr.
- Carranza, Aldo Gael & Krishnamurthy, Sanath Kumar & Athey, Susan, 2023, "Flexible and Efficient Contextual Bandits with Heterogeneous Treatment Effect Oracles," Research Papers, Stanford University, Graduate School of Business, number 4081, Feb.
- Mathias Silva, 2023, "Parametric models of income distributions integrating misreporting and non-response mechanisms," AMSE Working Papers, Aix-Marseille School of Economics, France, number 2311, May.
- Lihua Lei & Roshni Sahoo & Stefan Wager, 2023, "Policy Learning under Biased Sample Selection," Papers, arXiv.org, number 2304.11735, Apr.
- Csaba Burger & Mihály Berndt, 2023, "Error Spotting with Gradient Boosting: A Machine Learning-Based Application for Central Bank Data Quality," MNB Occasional Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2023/148.
- Monica Billio & Lorenzo Frattarolo & Dominique Guégan, 2022, "High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-04085236, Jan, DOI: 10.3390/sym14010097.
- Oliver Cassagneau-Francis, 2022, "Revisiting the Returns to Higher Education: Heterogeneity by Cognitive and Non-Cognitive Abilities," Sciences Po Economics Publications (main), HAL, number hal-04067399, May.
- A. Hennessy, Christopher & Goodhart, C. A. E., 2023, "Goodhart's law and machine learning: a structural perspective," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118656, Mar.
- Ahmad W. Bitar & Nathan de Carvalho & Valentin Gatignol, 2023, "Covariance matrix estimation for robust portfolio allocation," Working Papers, HAL, number hal-04046454, Mar.
- Wei Tian & Seojeong Lee & Valentyn Panchenko, 2023, "Synthetic Controls with Multiple Outcomes: Estimating the Effects of Non-Pharmaceutical Interventions in the COVID-19 Pandemic," Discussion Papers, School of Economics, The University of New South Wales, number 2023-05, Mar.
- Ajit Desai, 2023, "Machine Learning for Economics Research: When What and How?," Papers, arXiv.org, number 2304.00086, Mar, revised Apr 2023.
- Simon Smith & Allan Timmermann & Jonathan H. Wright, 2023, "Breaks in the Phillips Curve: Evidence from Panel Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 31153, Apr.