27 documents matched the search for the 2018-01-22 issue of the NEP report on Econometrics (nep-ecm), currently edited by Sune Karlsson.
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11121
Regression Based Expected Shortfall Backtesting,
Sebastian Bayer and Timo Dimitriadis,
from arXiv.org
(2019)
Estimation and Inference of Treatment Effects with $L_2$-Boosting in High-Dimensional Settings,
Jannis Kueck, Ye Luo, Martin Spindler and Zigan Wang,
from arXiv.org
(2021)
A New Kind of Two-Stage Least Squares Based on Shapley Value Regression,
Sudhanshu Mishra,
from University Library of Munich, Germany
(2017)
Keywords: Simultaneous equations model; Two-Stage Least Squares; Instrumental Variables; Collinearity; Shapley Value Regression; Democracy Index; Index of Globalization
Solving Dynamic Discrete Choice Models: Integrated or Expected Value Function?,
Patrick Kofod Mogensen,
from arXiv.org
(2018)
Cross-Validating Synthetic Controls,
Martin Becker, Stefan Klößner and Gregor Pfeifer,
from University Library of Munich, Germany
(2017)
Keywords: Synthetic Control Methods; Cross-Validation; Specification Search.
Frequency Domain Estimation of Cointegrating Vectors with Mixed Frequency and Mixed Sample Data,
Marcus Chambers,
from University of Essex, Department of Economics
(2018)
Keywords: mixed frequency data; mixed sample data; cointegration; spectral regression
A Flexible Fourier Form Nonlinear Unit Root Test Based on ESTAR Model,
Burak Güriş,
from University Library of Munich, Germany
(2017)
Keywords: Flexible Fourier Form, Unit Root Test, Nonlinearity
Sparse Bayesian time-varying covariance estimation in many dimensions,
Gregor Kastner,
from arXiv.org
(2017)
Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities,
Demian Pouzo, Zacharias Psaradakis and Martin Sola,
from arXiv.org
(2021)
Towards a General Large Sample Theory for Regularized Estimators,
Michael Jansson and Demian Pouzo,
from arXiv.org
(2020)
Confidence set for group membership,
Andreas Dzemski and Ryo Okui,
from arXiv.org
(2023)
Locally stationary spatio-temporal processes,
Yasumasa Matsuda and Yoshihiro Yajima,
from Graduate School of Economics and Management, Tohoku University
(2018)
Oracle Estimation of a Change Point in High Dimensional Quantile Regression,
Sokbae (Simon) Lee, Yuan Liao, Myung Hwan Seo and Youngki Shin,
from arXiv.org
(2016)
Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks,
Christiane Baumeister and James Hamilton,
from National Bureau of Economic Research, Inc
(2017)
Semiparametric efficient empirical higher order influence function estimators,
Rajarshi Mukherjee, Whitney Newey and James Robins,
from Centre for Microdata Methods and Practice, Institute for Fiscal Studies
(2017)
Keywords: Higher Order In?uence Functions, Doubly Robust Functionals, Semiparametric E?ciency, Higher Order U-Statistics
Incomplete English auction models with heterogeneity,
Andrew Chesher and Adam Rosen,
from Centre for Microdata Methods and Practice, Institute for Fiscal Studies
(2017)
Confidence bands for coefficients in high dimensional linear models with error-in-variables,
Alexandre Belloni, Victor Chernozhukov and Abhishek Kaul,
from Centre for Microdata Methods and Practice, Institute for Fiscal Studies
(2017)
Keywords: honest confidence regions, error-in-variables, high dimensional models
Understanding the effect of measurement error on quantile regressions,
Andrew Chesher,
from Centre for Microdata Methods and Practice, Institute for Fiscal Studies
(2017)
Keywords: measurement error, parameter approximations, quantile regression.
General Aggregation of Misspecified Asset Pricing Models,
Nikolay Gospodinov and Esfandiar Maasoumi,
from Federal Reserve Bank of Atlanta
(2017)
Keywords: entropy; model aggregation; asset pricing; misspecified models; oracle inequality; Hellinger distance
Too Good to Be True? Fallacies in Evaluating Risk Factor Models,
Nikolay Gospodinov, Raymond Kan and Cesare Robotti,
from Federal Reserve Bank of Atlanta
(2017)
Keywords: asset pricing; spurious risk factors; unidentified models; model misspecification; continuously updated GMM; maximum likelihood; goodness-of-fit; rank test
Marked and Weighted Empirical Processes of Residuals with Applications to Robust Regressions,
Vanessa Berenguer Rico and Bent Nielsen,
from University of Oxford, Department of Economics
(2017)
Revealed Price Preference: Theory and Empirical Analysis,
Rahul Deb, Yuichi Kitamura, John Quah and Jörg Stoye,
from arXiv.org
(2021)
About tests of the “simplifying” assumption for conditional copulas,
Alexis Derumigny and Jean-David Fermanian,
from Center for Research in Economics and Statistics
(2017)
Keywords: conditional copula; simplifying assumption; bootstrap
Composite Indirect Inference with Application,
Christian Gourieroux and Alain Monfort,
from Center for Research in Economics and Statistics
(2017)
Keywords: Indirect Inference; Composite Likelihood; Instrumental Model; Pseudo Maximum Likelihood; Corporate Risk; Asymptotic Single Risk Factor
Latent Instrumental Variables: A Critical Review,
Irene Hueter,
from Institute for New Economic Thinking
(2016)
Keywords: U.S. Endogeneity, instrumental variables, latent instrumental variables, omitted variables, regression, returns to education, return to campaign money in Congressional elections.
Identifying Latent Group Structures in Nonlinear Panels,
Wuyi Wang and Liangjun Su,
from Singapore Management University, School of Economics
(2017)
Keywords: Binary segmentation algorithm; clustering; community detection; network; oracle estimator; panel structure model; parameter heterogeneity; singular value decomposition.
Extreme Returns and Intensity of Trading,
Gloria Gonzalez-Rivera and Wei Lin,
from University of California at Riverside, Department of Economics
(2017)
Keywords: Trading intensity, Interval-valued Time Series, Generalized Extreme Value Distribution, Nonparametric regression, Generated Regressor
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