Report NEP-ECM-2020-03-02

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:

• Badi H. Baltagi & Georges Bresson & Anoop Chaturvedi & Guy Lacroix, 2020. "Robust Dynamic Panel Data Models Using ε-contamination," CIRANO Working Papers 2020s-07, CIRANO.
• Zongwu Cai & Ying Fang & Ming Lin & Shengfang Tang, 2020. "Inferences for Partially Conditional Quantile Treatment Effect Model," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202005, University of Kansas, Department of Economics, revised Feb 2020.
• Myrto Kalouptsidi & Yuichi Kitamura & Lucas Lima & Eduardo A. Souza-Rodrigues, 2020. "Partial Identification and Inference for Dynamic Models and Counterfactuals," NBER Working Papers 26761, National Bureau of Economic Research, Inc.
• Leybourne, Stephen J & Harvey, David I & Taylor, AM Robert, 2020. "Simple Tests for Stock Return Predictability with Improved Size and Power Properties," Essex Finance Centre Working Papers 26886, University of Essex, Essex Business School.
• Aydin, Mucahit, 2019. "A New Nonlinear Wavelet-Based Unit Root Test with Structural Breaks," MPRA Paper 98693, University Library of Munich, Germany.
• Hao Dong & Luke Taylor, 2020. "Nonparametric Significance Testing in Measurement Error Models," Departmental Working Papers 2003, Southern Methodist University, Department of Economics.
• McAdam, Peter & Warne, Anders, 2020. "Density forecast combinations: the real-time dimension," Working Paper Series 2378, European Central Bank.
• Michael P. Leung, 2020. "Dependence-Robust Inference Using Resampled Statistics," Papers 2002.02097, arXiv.org, revised Aug 2021.
• Dominique Guegan & Matteo Iacopini, 2018. "Nonparametric forecasting of multivariate probability density functions," Post-Print halshs-01821815, HAL.
• Umut Akovali, 2020. "Beyond Connectedness: A Covariance Decomposition based Network Risk Model," Koç University-TUSIAD Economic Research Forum Working Papers 2003, Koc University-TUSIAD Economic Research Forum.
• Rob Luginbuhl, 2020. "Estimation of the Financial Cycle with a Rank-Reduced Multivariate State-Space Model," CPB Discussion Paper 409.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
• Lux, Thomas, 2020. "Bayesian estimation of agent-based models via adaptive particle Markov chain Monte Carlo," Economics Working Papers 2020-01, Christian-Albrechts-University of Kiel, Department of Economics.
• Andrew Bennett & Nathan Kallus, 2020. "Efficient Policy Learning from Surrogate-Loss Classification Reductions," Papers 2002.05153, arXiv.org.
• Olga Takacs & Janos Vincze, 2019. "Blinder-Oaxaca decomposition with recursive tree-based methods: a technical note," CERS-IE WORKING PAPERS 1923, Institute of Economics, Centre for Economic and Regional Studies.
• Bluhm, Benjamin & Cutura, Jannic, 2020. "Econometrics at scale: Spark up big data in economics," SAFE Working Paper Series 266, Leibniz Institute for Financial Research SAFE.
• Daniel Felix Ahelegbey & Luis Carvalho & Eric D. Kolaczyk, 2020. "A Bayesian Covariance Graph And Latent Position Model For Multivariate Financial Time Series," DEM Working Papers Series 181, University of Pavia, Department of Economics and Management.
• Archil Gulisashvili, 2020. "Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness," Papers 2002.05143, arXiv.org, revised Dec 2020.
• Bal'azs Gerencs'er & Mikl'os R'asonyi, 2020. "Invariant measures for multidimensional fractional stochastic volatility models," Papers 2002.04832, arXiv.org, revised Aug 2021.