Report NEP-ECM-2019-04-01

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.

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Other reports in NEP-ECM

The following items were announced in this report:

• Jiayuan Zhou & Feiyu Jiang & Ke Zhu & Wai Keung Li, 2019. "Time series models for realized covariance matrices based on the matrix-F distribution," Papers 1903.12077, arXiv.org, revised Jul 2020.
• Zea Bermudez, Patrícia de, 2019. "Data cloning estimation for asymmetric stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS 28214, Universidad Carlos III de Madrid. Departamento de Estadística.
• Cheng, T. & Gao, J. & Linton, O., 2019. "Nonparametric Predictive Regressions for Stock Return Prediction," Cambridge Working Papers in Economics 1932, Faculty of Economics, University of Cambridge.
• Benjamin Poignard & Jean-David Fermanian, 2019. "The finite sample properties of Sparse M-estimators with Pseudo-Observations," Working Papers 2019-01, Center for Research in Economics and Statistics.
• Magne Mogstad & Alexander Torgovitsky & Christopher R. Walters, 2019. "The Causal Interpretation of Two-Stage Least Squares with Multiple Instrumental Variables," NBER Working Papers 25691, National Bureau of Economic Research, Inc.
• Santiago Pereda Fernández, 2019. "Identification and estimation of triangular models with a binary treatment," Temi di discussione (Economic working papers) 1210, Bank of Italy, Economic Research and International Relations Area.
• Helmut Farbmacher & Alexander Kann, 2019. "On the Effect of Imputation on the 2SLS Variance," Papers 1903.11004, arXiv.org.
• Richard T. Baillie & Fabio Calonaci & George Kapetanios, 2019. "Hierarchical Time Varying Estimation of a Multi Factor Asset Pricing Model," Working Papers 879, Queen Mary University of London, School of Economics and Finance.
• Susan Athey & Mohsen Bayati & Guido Imbens & Zhaonan Qu, 2019. "Ensemble Methods for Causal Effects in Panel Data Settings," NBER Working Papers 25675, National Bureau of Economic Research, Inc.
• McAleer, M.J., 2019. "What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model," Econometric Institute Research Papers EI2019-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Martin Bruns & Michele Piffer, 2019. "Bayesian Structural VAR Models: A New Approach for Prior Beliefs on Impulse Responses," Discussion Papers of DIW Berlin 1796, DIW Berlin, German Institute for Economic Research.
• Asai, M. & Gupta, R. & McAleer, M.J., 2019. "The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures," Econometric Institute Research Papers EI2019-16, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Haroon Mumtaz & Katerina Petrova, 2018. "Changing impact of shocks: a time-varying proxy SVAR approach," Working Papers 875, Queen Mary University of London, School of Economics and Finance.
• Wickens, Michael R., 2019. "Idiosyncratic shocks: a new procedure for identifying shocks in a VAR with application to the New Keynesian model," CEPR Discussion Papers 13613, C.E.P.R. Discussion Papers.
• Susan Athey & Guido Imbens, 2019. "Machine Learning Methods Economists Should Know About," Papers 1903.10075, arXiv.org.
• Richard T. Baillie & Fabio Calonaci & Dooyeon Cho & Seunghwa Rho, 2019. "Long Memory, Realized Volatility and HAR Models," Working Papers 881, Queen Mary University of London, School of Economics and Finance.
• Markus Hersche & Elias Moor, 2018. "Identification of Causal Intensive Margin Effects by Difference-in-Difference Methods," CER-ETH Economics working paper series 18/302, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
• Mundt, Philipp & Oh, Ilfan, 2019. "Asymmetric competition, risk, and return distribution," BERG Working Paper Series 145, Bamberg University, Bamberg Economic Research Group.
• Pedro Dal Bo & Andrew Foster & Kenju Kamei, 2019. "The Democracy Effect: a weights-based identification strategy," Working Papers 2019-4, Brown University, Department of Economics.
• Eric Auerbach, 2019. "Testing for Differences in Stochastic Network Structure," Papers 1903.11117, arXiv.org, revised Nov 2020.
• Eric Auerbach, 2019. "Identification and Estimation of a Partially Linear Regression Model using Network Data," Papers 1903.09679, arXiv.org, revised Jun 2021.
• Hector Galindo Silva; Nibene Habib Somé; Guy Tchuente & Nibene Habib Somé & Guy Tchuente, 2019. "Does Obamacare Care? A Fuzzy Difference-in-discontinuities Approach," Vniversitas Económica, Universidad Javeriana - Bogotá, vol. 0(0), pages 1-47, February.
• Fan Li & Andrea Mercatanti & Taneli Mäkinen & Andrea Silvestrini, 2019. "A regression discontinuity design for categorical ordered running variables with an application to central bank purchases of corporate bonds," Temi di discussione (Economic working papers) 1213, Bank of Italy, Economic Research and International Relations Area.