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Report NEP-ECM-2025-01-06
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:
- Donggyu Kim, 2024, "High-Dimensional Time-Varying Coefficient Estimation," Working Papers, University of California at Riverside, Department of Economics, number 202416, Dec.
- Doko Tchatoka, Firmin & Wang, Wenjie, 2024, "Weak-Identification-Robust Bootstrap Tests after Pretesting for Exogeneity," MPRA Paper, University Library of Munich, Germany, number 123060, Dec.
- Siddhartha Chib & Minchul Shin & Anna Simoni, 2024, "Testing for Endogeneity: A Moment-Based Bayesian Approach," Working Papers, Federal Reserve Bank of Philadelphia, number 24-19, Nov, DOI: 10.21799/frbp.wp.2024.19.
- Jianqing Fan & Donggyu Kim & Minseok Shin & Yazhen Wang, 2024, "Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data," Working Papers, University of California at Riverside, Department of Economics, number 202415, Dec.
- Donggyu Kim & Minseok Shin, 2024, "Nonconvex High-Dimensional Time-Varying Coefficient Estimation for Noisy High-Frequency Observations with a Factor Structure," Working Papers, University of California at Riverside, Department of Economics, number 202418, Dec.
- Donggyu Kim & Minseok Shin, 2024, "Robust High-Dimensional Time-Varying Coefficient Estimation," Working Papers, University of California at Riverside, Department of Economics, number 202417, Dec.
- Ranieri Dugo & Giacomo Giorgio & Paolo Pigato, 2024, "Multivariate Rough Volatility," CEIS Research Paper, Tor Vergata University, CEIS, number 589, Dec, revised 20 Dec 2024.
- Hao Hao & Tae-Hwy Lee, 2024, "Boosting GMM with Many Instruments When Some Are Invalid and/or Irrelevant," Working Papers, University of California at Riverside, Department of Economics, number 202411, Dec.
- Jianqing Fan & Donggyu Kim & Minseok Shin, 2024, "Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data," Working Papers, University of California at Riverside, Department of Economics, number 202419, Dec.
- Gabriele Mingoli, 2024, "Modeling Common Bubbles: A Mixed Causal Non-Causal Dynamic Factor Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 24-072/III, Nov.
- Jianghao Chu & Tae-Hwy Lee & Aman Ullah, 2024, "Asymmetric AdaBoost for Maximum Score Estimation of High-dimensional Binary Choice Regression Models," Working Papers, University of California at Riverside, Department of Economics, number 202414, Dec.
- Magirr, Dominic & Wang, Craig & Przybylski, Alexander & Baillie, Mark, 2024, "Estimating the variance of covariate-adjusted estimators of average treatment effects in clinical trials with binary endpoints," OSF Preprints, Center for Open Science, number k56v8, Dec, DOI: 10.31219/osf.io/k56v8.
- Donggyu Kim & Minseog Oh & Yazhen Wang, 2024, "Robust Realized Integrated Beta Estimator with Application to Dynamic Analysis of Integrated Beta," Working Papers, University of California at Riverside, Department of Economics, number 202422, Dec.
- Koutchade, Obafémi Philippe & Carpentier, Alain & Féménia, Fabienne, 2024, "Variable Inputs Allocation among Crops: A Time-Varying Random Parameters Approach," Working Papers, Institut National de la recherche Agronomique (INRA), Departement Sciences Sociales, Agriculture et Alimentation, Espace et Environnement (SAE2), number 348476, Dec, DOI: 10.22004/ag.econ.348476.
- Donggyu Kim & Minseog Oh, 2024, "Property of Inverse Covariance Matrix-based Financial Adjacency Matrix for Detecting Local Groups," Working Papers, University of California at Riverside, Department of Economics, number 202420, Dec.
- Stephen J. Redding, 2024, "Quantitative Urban Economics," Working Papers, Princeton University, Department of Economics, Center for Economic Policy Studies., number 340, Nov.
- Sebastian Bell & Ali Kakhbod & Martin Lettau & Abdolreza Nazemi, 2024, "Glass Box Machine Learning and Corporate Bond Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 33320, Dec.