Report NEP-ECM-2022-06-20

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:

• De Gooijer, Jan G. & Reichardt, Hugo, 2021. "A multi-step kernel–based regression estimator that adapts to error distributions of unknown form," LSE Research Online Documents on Economics 115083, London School of Economics and Political Science, LSE Library.
• Paul S. Koh, 2022. "Estimating Discrete Games of Complete Information: Bringing Logit Back in the Game," Papers 2205.05002, arXiv.org, revised Aug 2024.
• Koki Fusejima & Takuya Ishihara & Masayuki Sawada, 2022. "A unified diagnostic test for regression discontinuity designs," Papers 2205.04345, arXiv.org, revised Jul 2024.
• Loïc Cantin & Christian Francq & Jean-Michel Zakoïan, 2022. "Estimating dynamic systemic risk measures," Working Papers 2022-11, Center for Research in Economics and Statistics.
• Urga, Giovanni & Wang, Fa, 2022. "Estimation and inference for high dimensional factor model with regime switching," MPRA Paper 113172, University Library of Munich, Germany.
• Meenagh, David & Minford, Patrick & Xu, Yongdeng, 2022. "Why does Indirect Inference estimation produce less small sample bias than maximum likelihood? A note," Cardiff Economics Working Papers E2022/10, Cardiff University, Cardiff Business School, Economics Section.
• Agrippino, Silvia Miranda & Ricco, Giovanni, 2022. "Identification with external instruments in structural VARs," Bank of England working papers 973, Bank of England.
• Jiti Gao & Bin Peng & Yayi Yan, 2022. "Higher-order Expansions and Inference for Panel Data Models," Papers 2205.00577, arXiv.org, revised Jun 2023.
• Tatiana Komarova & William Matcham, 2022. "Multivariate ordered discrete response models," Papers 2205.05779, arXiv.org, revised Mar 2023.
• Silvia Goncalves & Ana María Herrera & Lutz Kilian & Elena Pesavento, 2022. "When Do State-Dependent Local Projections Work?," Working Papers 2205, Federal Reserve Bank of Dallas.
• C. Angelo Guevara, 2022. "A Note on "A survey of preference estimation with unobserved choice set heterogeneity" by Gregory S. Crawford, Rachel Griffith, and Alessandro Iaria," Papers 2205.00852, arXiv.org.
• Xiaoyu Cheng, 2022. "Robust Data-Driven Decisions Under Model Uncertainty," Papers 2205.04573, arXiv.org.
• Toni M. Whited, 2022. "Integrating Structural and Reduced-Form Methods in Empirical Finance," Papers 2205.01175, arXiv.org.
• Chao Wang & Stefan Weiergraeber & Ruli Xiao, 2022. "Identification of Dynamic Discrete Choice Models with Hyperbolic Discounting Using a Terminating Action," CAEPR Working Papers 2022-010 Classification-C, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
• Ravan Moret & Andrew G. Chapple, 2022. "Analysis of the effects of adjusting for binary non-confounders in a logistic regression model after all true confounders have been accounted for: A simulation study," EERI Research Paper Series EERI RP 2022/05, Economics and Econometrics Research Institute (EERI), Brussels.
• Toru Kitagawa & Weining Wang & Mengshan Xu, 2022. "Policy Choice in Time Series by Empirical Welfare Maximization," Papers 2205.03970, arXiv.org, revised Dec 2024.
• Hikaru Kawarazaki & Minhaj Mahmud & Yasuyuki Sawada & Mai Seki & Kazuma Takakura, 2022. "Still Biased? A Remaining Classical Selection Problem of RCTs in Education," CIRJE F-Series CIRJE-F-1194, CIRJE, Faculty of Economics, University of Tokyo.
• Konan Hara & Yuki Ito & Paul Koh, 2022. "Identification and Estimation of Dynamic Games with Unknown Information Structure," Papers 2205.03706, arXiv.org, revised Oct 2024.
• Daido Kido, 2022. "Distributionally Robust Policy Learning with Wasserstein Distance," Papers 2205.04637, arXiv.org, revised Aug 2022.
• Taras Bodnar & Vilhelm Niklasson & Erik Thors'en, 2022. "Volatility Sensitive Bayesian Estimation of Portfolio VaR and CVaR," Papers 2205.01444, arXiv.org.
• Kastoryano, Stephen, 2022. "Regime and Treatment Effects in Duration Models: Decomposing Expectation and Transplant Effects on the Kidney Waitlist," IZA Discussion Papers 15314, Institute of Labor Economics (IZA).
• James Mitchell & Aubrey Poon & Dan Zhu, 2022. "Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics," Working Papers 22-12R, Federal Reserve Bank of Cleveland, revised 11 Apr 2023.
• A. H. Nzokem & V. T. Montshiwa, 2022. "Fitting Generalized Tempered Stable distribution: Fractional Fourier Transform (FRFT) Approach," Papers 2205.00586, arXiv.org, revised Jun 2022.
• Paul S. Koh, 2022. "Stable Outcomes and Information in Games: An Empirical Framework," Papers 2205.04990, arXiv.org, revised May 2023.
• Christopher Adjaho & Timothy Christensen, 2022. "Externally Valid Policy Choice," Papers 2205.05561, arXiv.org, revised Jul 2023.
• Wichert, Oliver, 2022. "Unit-Root tests in high-dimensional panels," Other publications TiSEM f926ab90-382b-4aa5-9532-8, Tilburg University, School of Economics and Management.
• Gizem Koşar & Cormac O'Dea, 2022. "Expectations Data in Structural Microeconomic Models," Staff Reports 1018, Federal Reserve Bank of New York.
• Eric Auerbach & Yong Cai, 2022. "Heterogeneous Treatment Effects for Networks, Panels, and other Outcome Matrices," Papers 2205.01246, arXiv.org, revised Oct 2022.
• Corrado Monti & Marco Pangallo & Gianmarco De Francisci Morales & Francesco Bonchi, 2022. "On learning agent-based models from data," Papers 2205.05052, arXiv.org, revised Nov 2022.
• Sonan Memon, 2021. "Machine Learning for Economists: An Introduction," PIDE Knowledge Brief 2021:33, Pakistan Institute of Development Economics.