27 documents matched the search for the 2018-01-15 issue of the NEP report on Econometrics (nep-ecm), currently edited by Sune Karlsson.
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11121
Robust Synthetic Control,
Muhammad Jehangir Amjad, Devavrat Shah and Dennis Shen,
from arXiv.org
(2017)
Constructing Metropolis-Hastings proposals using damped BFGS updates,
Johan Dahlin, Adrian Wills and Brett Ninness,
from arXiv.org
(2018)
A nonparametric copula approach to conditional Value-at-Risk,
Gery Geenens and Richard Dunn,
from arXiv.org
(2019)
Identification of Counterfactuals in Dynamic Discrete Choice Models,
Myrto Kalouptsidi, Eduardo Souza-Rodrigues and Paul Scott,
from C.E.P.R. Discussion Papers
(2017)
Keywords: Identification; Dynamic discrete choice; Counterfactual; Welfare
A Bootstrap Stationarity Test for Predictive Regression Invalidity,
I Georgiev, Di Harvey, Stephen Leybourne and Amr Taylor,
from University of Essex, Essex Business School
(2018)
Keywords: Predictive regression; causality; persistence; spurious regression; stationarity test; fixed regressor wild bootstrap; conditional distribution.
Inference in instrumental variables models with heteroskedasticity and many instruments,
Federico Crudu, Giovanni Mellace and Zsolt Sandor,
from Department of Economics, University of Siena
(2017)
Keywords: Instrumental variables, heteroskedasticity, many instruments, jackknife, specification tests, overidentification tests
Estimation Considerations in Contextual Bandits,
Maria Dimakopoulou, Zhengyuan Zhou, Susan Athey and Guido Imbens,
from arXiv.org
(2018)
A New Wald Test for Hypothesis Testing Based on MCMC outputs,
Yong Li, Xiaobin Liu, Jun Yu and Tao Zeng,
from arXiv.org
(2018)
Robust linear static panel data models using e-contamination,
Badi H. Baltagia, Georges Bresson, Anoop Chaturvedi and Guy Lacroix,
from Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques
(2017)
Keywords: e-contamination, hyper g-priors, type-II maximum likelihood posterior density, panel data, robust Bayesian estimator, three-stage hierarchy
The Estimation of Network Formation Games with Positive Spillovers,
Vincent Boucher,
from Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques
(2017)
Keywords: Network formation, Supermodular Games, Approximate Bayesian Computation
Improved asymptotic analysis of Gaussian QML estimators in spatial models,
Jakub Olejnik and Alicja Olejnik,
from University of Lodz, Faculty of Economics and Sociology
(2017)
Keywords: spatial autoregression, quasi-maximum likelihood estimation, high-order SAR model, asymptotic analysis, fixed effects model
Estimating Fixed Effects: Perfect Prediction and Bias in Binary Response Panel Models, with an Application to the Hospital Readmissions Reduction Program,
Johannes Kunz, Kevin Staub and Rainer Winkelmann,
from Institute of Labor Economics (IZA)
(2017)
Keywords: perfect prediction, bias reduction, penalised likelihood, logit, probit, Affordable Care Act
Asymptotic Properties of Conditional Least-squares Estimators for Array Time Series,
Guy Melard and Rajae Azrak,
from ULB -- Universite Libre de Bruxelles
(2017)
Keywords: properties least-square array time series
Information theoretic approach to high dimensional multiplicative models: Stochastic discount factor and treatment effect,
Taisuke Otsu and Chen Qiu,
from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
(2018)
Keywords: Stochastic discount factor, Treatment effect, Information theory, High dimension
Identification and Estimation in Non-Fundamental Structural VARMA Models,
Christian Gourieroux, Alain Monfort and Jean-Paul Renne,
from Center for Research in Economics and Statistics
(2017)
Keywords: Structural VARMA; Fundamental Representation; Identi?cation; Shocks; Impulse Response Function; Incomplete Likelihood; Composite Likelihood; Economic Scenario Generators
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models,
Christian Gourieroux, Alain Monfort and Jean-Paul Renne,
from Center for Research in Economics and Statistics
(2017)
Keywords: Independent Component Analysis; Pseudo Maximum Likelihood; Identification; Cayley Transform; Structural Shocks; Structural VAR; Impulse Response Functions
Powerful t-Tests in the presence of nonclassical measurement error,
Dongwoo Kim and Daniel Wilhelm,
from Centre for Microdata Methods and Practice, Institute for Fiscal Studies
(2017)
Keywords: linear regression, adaptive test, power of test, maximal combination of measurements, repeated measurements, multiplier bootstrap
Quantile graphical models: prediction and conditional independence with applications to systemic risk,
Alexandre Belloni, Mingli Chen and Victor Chernozhukov,
from Centre for Microdata Methods and Practice, Institute for Fiscal Studies
(2017)
Keywords: High-dimensional approximately sparse model, tail risk network, conditional independence, nonlinear correlation, penalized quantile regression, systemic risk, financial contagion, downside movement
Best subset binary prediction,
Le-Yu Chen and Sokbae (Simon) Lee,
from Centre for Microdata Methods and Practice, Institute for Fiscal Studies
(2017)
Keywords: binary choice, maximum score estimation, best subset selection, `0-constrained maximization, mixed integer optimization, minimax optimality, fi nite sample property
Exact computation of GMM estimators for instrumental variable quantile regression models,
Le-Yu Chen and Sokbae (Simon) Lee,
from Centre for Microdata Methods and Practice, Institute for Fiscal Studies
(2017)
Keywords: generalized method of moments, instrumental variable, quantile regression, endogeneity, mixed integer optimization
Non-asymptotic inference in instrumental variables estimation,
Joel L. Horowitz,
from Centre for Microdata Methods and Practice, Institute for Fiscal Studies
(2017)
Keywords: Weak instruments, normal approximation, finite-sample bounds
Cross-fitting and fast remainder rates for semiparametric estimation,
Whitney Newey and James M. Robins,
from Centre for Microdata Methods and Practice, Institute for Fiscal Studies
(2017)
Quantile regression 40 years on,
Roger Koenker,
from Centre for Microdata Methods and Practice, Institute for Fiscal Studies
(2017)
Keywords: quantile regression, treatment effects, heterogeneity, causal inference
Bayesian deconvolution: an R vinaigrette,
Roger Koenker,
from Centre for Microdata Methods and Practice, Institute for Fiscal Studies
(2017)
Inference under covariate-adaptive randomization with multiple treatments,
Federico A. Bugni, Ivan Canay and Azeem Shaikh,
from Centre for Microdata Methods and Practice, Institute for Fiscal Studies
(2017)
Keywords: Covariate-adaptive randomization, multiple treatments, stratifed block randomization, Efron's biased-coin design, treatment assignment, randomized controlled trial, strata fixed effects, saturated regression
Binarization for panel models with fixed effects,
Irene Botosaru and Chris Muris,
from Centre for Microdata Methods and Practice, Institute for Fiscal Studies
(2017)
Keywords: C14; C23; C41.
Identification of Structural Vector Autoregressions by Stochastic Volatility,
Dominik Bertsche and Robin Braun,
from Department of Economics, University of Konstanz
(2017)
Keywords: Structural Vector Autoregression (SVAR), Identification via heteroskedasticity, Stochastic Volatility, Proxy SVAR
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