Report NEP-ECM-2019-02-04

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.

Subscribe to this report: email, RSS, or Mastodon.

Other reports in NEP-ECM

The following items were announced in this report:

• Majid M. Al-Sadoon & Sergi Jiménez-Martín & Jose M. Labeaga, 2019. "Simple methods for consistent estimation of dynamic panel data sample selection models," Economics Working Papers 1631, Department of Economics and Business, Universitat Pompeu Fabra.
• Hafner, C. & Linton, O. & Tang, H., 2018. "Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case," Cambridge Working Papers in Economics 1878, Faculty of Economics, University of Cambridge.
• Mohitosh Kejriwal & Xuewen Yu, 2018. "Bootstrap Procedures for Detecting Multiple Persistance4 Shifts in a heteroskedastic Time Series," Purdue University Economics Working Papers 1308, Purdue University, Department of Economics.
• Merrick Li, Z. & Linton, O., 2019. "A ReMeDI for Microstructure Noise," Cambridge Working Papers in Economics 1908, Faculty of Economics, University of Cambridge.
• Tullio, Federico & Bartolucci, Francesco, 2019. "Evaluating time-varying treatment effects in latent Markov models: An application to the effect of remittances on poverty dynamics," MPRA Paper 91459, University Library of Munich, Germany.
• Deborah Gefang & Gary Koop & Aubrey Poon, 2019. "Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage," CAMA Working Papers 2019-08, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Hong, S-Y. & Linton, O., 2018. "Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff," Cambridge Working Papers in Economics 1877, Faculty of Economics, University of Cambridge.
• Linton, O. & Xiao, Z., 2019. "Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity," Cambridge Working Papers in Economics 1907, Faculty of Economics, University of Cambridge.
• Dylan J. Foster & Vasilis Syrgkanis, 2019. "Orthogonal Statistical Learning," Papers 1901.09036, arXiv.org, revised Jun 2023.
• Linton, O. & Whang, Y-J. & Yen, Y., 2018. "The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses," Cambridge Working Papers in Economics 1880, Faculty of Economics, University of Cambridge.
• Nikolaos Passalis & Anastasios Tefas & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2019. "Temporal Logistic Neural Bag-of-Features for Financial Time series Forecasting leveraging Limit Order Book Data," Papers 1901.08280, arXiv.org.
• Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2019. "Taming the Factor Zoo: A Test of New Factors," NBER Working Papers 25481, National Bureau of Economic Research, Inc.
• Leo Krippner, 2019. "Will the real eigensystem VAR please stand up? A univariate primer," CAMA Working Papers 2019-01, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Sloczynski, Tymon, 2018. "Average Gaps and Oaxaca's Blinder Decompositions: A Cautionary Tale about Regression Estimates of Racial Differences in Labor Market Outcomes," IZA Discussion Papers 12041, Institute of Labor Economics (IZA).
• MAO TAKONGMO, Charles Olivier, 2019. "Keynesian Models, Detrending, and the Method of Moments," MPRA Paper 91709, University Library of Munich, Germany.
• Hervé Cardot & Antonio Musolesi, 2019. "Modeling temporal treatment effects with zero inflated semi-parametric regression models: the case of local development policies in France," SEEDS Working Papers 0219, SEEDS, Sustainability Environmental Economics and Dynamics Studies, revised Jan 2019.
• Furuoka, Fumitaka, 2018. "A new causality test for the analysis of the export-growth nexus," MPRA Paper 91467, University Library of Munich, Germany.