Report NEP-ECM-2021-02-01

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:

• Gabriel Montes Rojas & Andrés Sebastián Mena, 2020. "Density estimation using bootstrap quantile variance and quantile-mean covariance," Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET) 2020-50, Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET).
• Wang, Xiaohu & Xiao, Weilin & Yu, Jun, 2020. "Asymptotic Properties of Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noises," Economics and Statistics Working Papers 27-2020, Singapore Management University, School of Economics.
• Jayeeta Bhattacharya, 2020. "Quantile regression with generated dependent variable and covariates," Papers 2012.13614, arXiv.org.
• Sam Ouliaris & Adrian Pagan, 2020. "Three questions regarding impulse responses and their interpretation found from sign restrictions," CAMA Working Papers 2020-101, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Mochen Yang & Edward McFowland III & Gordon Burtch & Gediminas Adomavicius, 2020. "Achieving Reliable Causal Inference with Data-Mined Variables: A Random Forest Approach to the Measurement Error Problem," Papers 2012.10790, arXiv.org.
• Sayar Karmakar & Marek Chudy & Wei Biao Wu, 2020. "Long-term prediction intervals with many covariates," Papers 2012.08223, arXiv.org, revised Sep 2021.
• Gregory Cox, 2020. "Weak Identification with Bounds in a Class of Minimum Distance Models," Papers 2012.11222, arXiv.org, revised Dec 2022.
• Timothy B. Armstrong & Michal Koles'ar & Soonwoo Kwon, 2020. "Bias-Aware Inference in Regularized Regression Models," Papers 2012.14823, arXiv.org, revised Aug 2023.
• Gabriel Montes Rojas, 2019. "Subgraph Network Random Effects Error Components Models: Specification and Testing," Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET) 2019-44, Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET).
• Marc Hallin, 2021. "Measure Transportation and Statistical Decision Theory," Working Papers ECARES 2021-04, ULB -- Universite Libre de Bruxelles.
• Pacifico, Antonio, 2020. "Bayesian Fuzzy Clustering with Robust Weighted Distance for Multiple ARIMA and Multivariate Time-Series," MPRA Paper 104379, University Library of Munich, Germany.
• Billy Ferguson & Brad Ross, 2020. "Assessing the Sensitivity of Synthetic Control Treatment Effect Estimates to Misspecification Error," Papers 2012.15367, arXiv.org, revised Feb 2021.
• Philip Erickson, 2020. "Identification of inferential parameters in the covariate-normalized linear conditional logit model," Papers 2012.08022, arXiv.org.
• Dongcheng Zhang & Kunpeng Zhang, 2020. "Weighting-Based Treatment Effect Estimation via Distribution Learning," Papers 2012.13805, arXiv.org, revised May 2023.
• Eiji Kurozumi & Anton Skrobotov & Alexey Tsarev, 2020. "Time-Transformed Test for the Explosive Bubbles under Non-stationary Volatility," Papers 2012.13937, arXiv.org, revised Nov 2021.
• Victor Chernozhukov & Whitney Newey & Rahul Singh & Vasilis Syrgkanis, 2020. "Adversarial Estimation of Riesz Representers," Papers 2101.00009, arXiv.org, revised Apr 2024.
• Bryan S. Graham & Fengshi Niu & James L. Powell, 2020. "Minimax Risk and Uniform Convergence Rates for Nonparametric Dyadic Regression," Papers 2012.08444, arXiv.org, revised Mar 2021.
• Wüthrich, Kaspar, 2019. "A closed-form estimator for quantile treatment effects with endogeneity," University of California at San Diego, Economics Working Paper Series qt99n9197q, Department of Economics, UC San Diego.
• Lixiong Li & D'esir'e K'edagni & Ismael Mourifi'e, 2020. "Discordant Relaxations of Misspecified Models," Papers 2012.11679, arXiv.org, revised Apr 2024.
• Kajal Lahiri & Huaming Peng & Xuguang Sheng, 2020. "Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity," CESifo Working Paper Series 8810, CESifo.
• Zea Bermudez, Patrícia de & Rue, Havard, 2021. "Integrated nested Laplace approximations for threshold stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS 31804, Universidad Carlos III de Madrid. Departamento de Estadística.
• Justyna Wr'oblewska, 2020. "Bayesian analysis of seasonally cointegrated VAR model," Papers 2012.14820, arXiv.org, revised Apr 2021.
• Mehmet Caner & Kfir Eliaz, 2021. "Shoiuld Humans Lie to Machines: The Incentive Compatibility of Lasso and General Weighted Lasso," Papers 2101.01144, arXiv.org, revised Sep 2021.
• Boeckelmann Lukas & Stalla-Bourdillon Arthur, 2021. "Structural Estimation of Time-Varying Spillovers: An Application to International Credit Risk Transmission," Working papers 798, Banque de France.
• Tzougas, George & Jeong, Himchan, 2021. "An expectation-maximization algorithm for the exponential-generalized inverse Gaussian regression model with varying dispersion and shape for modelling the aggregate claim amount," LSE Research Online Documents on Economics 108210, London School of Economics and Political Science, LSE Library.
• Xavier Gabaix & Ralph S. J. Koijen, 2020. "Granular Instrumental Variables," NBER Working Papers 28204, National Bureau of Economic Research, Inc.
• Bora Kim, 2020. "Analysis of Randomized Experiments with Network Interference and Noncompliance," Papers 2012.13710, arXiv.org.
• Matthew A. Masten & Alexandre Poirier & Linqi Zhang, 2020. "Assessing Sensitivity to Unconfoundedness: Estimation and Inference," Papers 2012.15716, arXiv.org.
• Manganelli, Simone, 2021. "Statistical decision functions with judgment," Working Paper Series 2512, European Central Bank.
• Chirok Han, 2020. "Exact Trend Control in Estimating Treatment Effects Using Panel Data with Heterogenous Trends," Papers 2012.08988, arXiv.org.
• Kees Jan van Garderen & Noud van Giersbergen, 2020. "A Nearly Similar Powerful Test for Mediation," Papers 2012.11342, arXiv.org, revised Jan 2022.
• Jos'e Vin'icius de Miranda Cardoso & Jiaxi Ying & Daniel Perez Palomar, 2020. "Algorithms for Learning Graphs in Financial Markets," Papers 2012.15410, arXiv.org.