Report NEP-ECM-2019-04-08

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:

• Junlong Feng, 2019. "Matching Points: Supplementing Instruments with Covariates in Triangular Models," Papers 1904.01159, arXiv.org, revised Jul 2020.
• Tingting Cheng & Jiti Gao & Oliver Linton, 2019. "Nonparametric Predictive Regressions for Stock Return Prediction," Monash Econometrics and Business Statistics Working Papers 4/19, Monash University, Department of Econometrics and Business Statistics.
• Bulat Gafarov, 2019. "Simple subvector inference on sharp identified set in affine models," Papers 1904.00111, arXiv.org, revised Jul 2024.
• Timothy Christensen & Benjamin Connault, 2019. "Counterfactual Sensitivity and Robustness," Papers 1904.00989, arXiv.org, revised May 2022.
• Tommaso Proietti, 2019. "Predictability, Real Time Estimation, and the Formulation of Unobserved Components Models," CEIS Research Paper 455, Tor Vergata University, CEIS, revised 22 Mar 2019.
• Harold D. Chiang & Joel Rodrigue & Yuya Sasaki, 2019. "Post-Selection Inference in Three-Dimensional Panel Data," Papers 1904.00211, arXiv.org, revised Apr 2019.
• Atsushi Inoue & Lutz Kilian, 2019. "The uniform validity of impulse response inference in autoregressions," Vanderbilt University Department of Economics Working Papers 19-00001, Vanderbilt University Department of Economics.
• Goga, Camelia & Ruiz-Gazen, Anne, 2019. "Improving the Estimation of the Odds Ratio in Sampling Surveys using Auxiliary Information," TSE Working Papers 19-1000, Toulouse School of Economics (TSE), revised Jul 2020.
• James G. MacKinnon & Morten Ø. Nielsen & Matthew D. Webb, 2019. "Wild Bootstrap and Asymptotic Inference with Multiway Clustering," Working Paper 1415, Economics Department, Queen's University.
• Rainer Winkelmann & Lin Xu, 2019. "Testing the binomial fixed effects logit model; with an application to female labor supply," ECON - Working Papers 321, Department of Economics - University of Zurich, revised Oct 2019.
• Furukawa, Chishio, 2019. "Publication Bias under Aggregation Frictions: Theory, Evidence, and a New Correction Method," EconStor Preprints 194798, ZBW - Leibniz Information Centre for Economics.
• Pauwels, Laurent & Radchenko, Peter & Vasnev, Andrey, 2019. "Higher Moment Constraints for Predictive Density Combinations," Working Papers BAWP-2019-01, University of Sydney Business School, Discipline of Business Analytics.
• Atsushi Inoue & Lutz Kilian, 2019. "The uniform validity of impulse response inference in autoregressions," Vanderbilt University Department of Economics Working Papers 19-00001, Vanderbilt University Department of Economics.
• Daniel Borup & Bent Jesper Christensen & Yunus Emre Ergemen, 2019. "Assessing predictive accuracy in panel data models with long-range dependence," CREATES Research Papers 2019-04, Department of Economics and Business Economics, Aarhus University.
• Michael McAleer, 2019. "What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model," Documentos de Trabajo del ICAE 2019-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Christian Gourieroux & Yang Lu, 2019. "Least Impulse Response Estimator for Stress Test Exercises," CEPN Working Papers 2019-05, Centre d'Economie de l'Université de Paris Nord.
• Davide Viviano & Jelena Bradic, 2019. "Synthetic learner: model-free inference on treatments over time," Papers 1904.01490, arXiv.org, revised Aug 2022.
• Amsler, Christine & Prokhorov, Artem & Schmidt, Peter, 2019. "A New Family of Copulas, with Application to Estimation of a Production Frontier System," Working Papers BAWP-2019-04, University of Sydney Business School, Discipline of Business Analytics.
• Christoph Engel, 2019. "Estimating Heterogeneous Reactions to Experimental Treatments," Discussion Paper Series of the Max Planck Institute for Research on Collective Goods 2019_01, Max Planck Institute for Research on Collective Goods.
• Ben Jann, 2019. "Influence functions for linear regression (with an application to regression adjustment)," University of Bern Social Sciences Working Papers 32, University of Bern, Department of Social Sciences, revised 30 Mar 2019.
• Antoine Lejay & Paolo Pigato, 2019. "A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data," Post-Print hal-01669082, HAL.
• Vladimir Markov & Olga Vilenskaia & Vlad Rashkovich, 2019. "Quintet Volume Projection," Papers 1904.01412, arXiv.org.
• Lee, L. & Linton, O. & Whang, Y-J., 0000. "Quantilograms under Strong Dependence," Cambridge Working Papers in Economics 1936, Faculty of Economics, University of Cambridge.
• LeSage, James & Fischer, Manfred M., 2019. "Cross-sectional dependence model specifications in a static trade panel data setting," Working Papers in Regional Science 2019/03, WU Vienna University of Economics and Business.