Report NEP-ECM-2017-11-19

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:

• Chaohua Dong & Jiti Gao & Oliver Linton, 2017. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 17/17, Monash University, Department of Econometrics and Business Statistics.
• Wang, Xiaohu & Yu, Jun, 2017. "Bubble Testing under Deterministic Trends," Economics and Statistics Working Papers 14-2017, Singapore Management University, School of Economics.
• Luís Silveira Santos & Isabel Proença, 2017. "The Inversion of the Spatial Lag Operator in Binary Choice Models: Fast Computation and a Closed Formula Approximation," Working Papers REM 2017/11, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Mika Meitz & Pentti Saikkonen, 2017. "Testing for observation-dependent regime switching in mixture autoregressive models," Papers 1711.03959, arXiv.org.
• Su, Liangjun & Ura, Takuya & Zhang, Yichong, 2017. "Non-separable Models with High-dimensional Data," Economics and Statistics Working Papers 15-2017, Singapore Management University, School of Economics.
• Buncic, Daniel, 2017. "Identification and Estimation issues in Exponential Smooth Transition Autoregressive Models," Working Paper Series 344, Sveriges Riksbank (Central Bank of Sweden).
• AMBA OYON, Claude Marius & Mbratana, Taoufiki, 2017. "Simultaneous equation models with spatially autocorrelated error components," MPRA Paper 82395, University Library of Munich, Germany.
• Jentsch, Carsten & Weiß, Christian, 2017. "Bootstrapping INAR models," Working Papers 17-02, University of Mannheim, Department of Economics.
• Svetunkov, Ivan & Boylan, John Edward, 2017. "Multiplicative state-space models for intermittent time series," MPRA Paper 82487, University Library of Munich, Germany.
• Catalina Bolancé & Raluca Vernic, 2017. "Multivariate count data generalized linear models: Three approaches based on the Sarmanov distribution," Working Papers XREAP2017-07, Xarxa de Referència en Economia Aplicada (XREAP), revised Nov 2017.
• Biqing Cai & Jiti Gao, 2017. "A simple nonlinear predictive model for stock returns," Monash Econometrics and Business Statistics Working Papers 18/17, Monash University, Department of Econometrics and Business Statistics.
• Dan A. Black & Joonhwi Joo & Robert LaLonde & Jeffrey Andrew Smith & Evan J. Taylor, 2017. "Simple Tests for Selection: Learning More from Instrumental Variables," CESifo Working Paper Series 6392, CESifo.
• Nithi Sopitpongstorn & Param Silvapulle & Jiti Gao, 2017. "Local logit regression for recovery rate," Monash Econometrics and Business Statistics Working Papers 19/17, Monash University, Department of Econometrics and Business Statistics.
• Stanislav Anatolyev & Jozef Barunik, 2017. "Forecasting dynamic return distributions based on ordered binary choice," Papers 1711.05681, arXiv.org, revised Jan 2019.
• Yuan Liao & Xiye Yang, 2017. "Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas," Departmental Working Papers 201711, Rutgers University, Department of Economics.