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Report NEP-ECM-2024-08-12
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:
- Bin Chen & Yuefeng Han & Qiyang Yu, 2024, "Estimation and Inference for CP Tensor Factor Models," Papers, arXiv.org, number 2406.17278, Jun, revised Sep 2025.
- Bertille Antoine & Otilia Boldea & Niccolo Zaccaria, 2024, "Efficient two-sample instrumental variable estimators with change points and near-weak identification," Papers, arXiv.org, number 2406.17056, Jun.
- Ruofan Yu & Rong Chen & Han Xiao & Yuefeng Han, 2024, "Dynamic Matrix Factor Models for High Dimensional Time Series," Papers, arXiv.org, number 2407.05624, Jul.
- Benjamin Poignard & Manabu Asai, 2024, "Factor multivariate stochastic volatility models of high dimension," Papers, arXiv.org, number 2406.19033, Jun, revised Apr 2026.
- Diego Fresoli & Pilar Poncela & Esther Ruiz, 2024, "Dealing with idiosyncratic cross-correlation when constructing confidence regions for PC factors," Papers, arXiv.org, number 2407.06883, Jul.
- Atsushi Inoue & Lutz Kilian, 2024, "When Is the Use of Gaussian-inverse Wishart-Haar Priors Appropriate?," Working Papers, Federal Reserve Bank of Dallas, number 2404, Jul, DOI: 10.24149/wp2404.
- Marie-Christine Duker & David S. Matteson & Ruey S. Tsay & Ines Wilms, 2024, "Vector AutoRegressive Moving Average Models: A Review," Papers, arXiv.org, number 2406.19702, Jun.
- Battulga Gankhuu, 2024, "EM Estimation of Conditional Matrix Variate $t$ Distributions," Papers, arXiv.org, number 2406.10837, Jun, revised Oct 2024.
- Mario Martinoli & Raffaello Seri & Fulvio Corsi, 2024, "Generalized Optimization Algorithms for Complex Objective Functions," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2024/18, Jul.
- Michael Sekatchev & Zhengxiang Zhou, 2024, "Stochastic Approaches to Asset Price Analysis," Papers, arXiv.org, number 2407.06745, Jul.
- Attar, Itay & Cohen-Zada, Danny & Elder, Todd E., 2024, "Measuring and Correcting Monotonicity Bias: The Case of School Entrance Age Effects," IZA Discussion Papers, IZA Network @ LISER, number 17088, Jun.
- Agnes Norris Keiller & Ã ureo de Paula & John Van Reenen, 2024, "Production function estimation using subjective expectations data," CeMMAP working papers, Institute for Fiscal Studies, number 15/24, Jul, DOI: 10.47004/wp.cem.2024.1524.
- Federico Gatta & Fabrizio Lillo & Piero Mazzarisi, 2024, "CAESar: Conditional Autoregressive Expected Shortfall," Papers, arXiv.org, number 2407.06619, Jul.
- Rami V. Tabri & Mathew J. Elias, 2024, "Testing for Restricted Stochastic Dominance under Survey Nonresponse with Panel Data: Theory and an Evaluation of Poverty in Australia," Papers, arXiv.org, number 2406.15702, Jun.
- Victor Chernozhukov & Iv'an Fern'andez-Val & Jonas Meier & Aico van Vuuren & Francis Vella, 2024, "Conditional Rank-Rank Regression," Papers, arXiv.org, number 2407.06387, Jul, revised Oct 2025.
- YoonHaeng Hur & Tengyuan Liang, 2024, "A Convexified Matching Approach to Imputation and Individualized Inference," Papers, arXiv.org, number 2407.05372, Jul.
- Joshua C. C. Chan & Davide Pettenuzzo & Aubrey Poon & Dan Zhu, 2024, "Conditional Forecasts in Large Bayesian VARs with Multiple Equality and Inequality Constraints," Papers, arXiv.org, number 2407.02262, Jul.
- Thorsten Drautzburg & Jesus Fernandez-Villaverde & Pablo Guerron-Quintana & Dick Oosthuizen, 2024, "Filtering with Limited Information," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 24-016, Jul.
- Item repec:rim:rimwps:24-11 is not listed on IDEAS anymore
- Anil K. Bera & Yannis Bilias, 2024, "Three Scores and 15 Years (1948-2023) of Rao's Score Test: A Brief History," Papers, arXiv.org, number 2406.19956, Jun, revised Oct 2024.
- Borko Stosic & Tatijana Stosic, 2024, "Dissecting Multifractal detrended cross-correlation analysis," Papers, arXiv.org, number 2406.19406, Jun, revised Sep 2025.
- Anita Behme, 2024, "Volatility modeling in a Markovian environment: Two Ornstein-Uhlenbeck-related approaches," Papers, arXiv.org, number 2407.05866, Jul.