Report NEP-ECM-2016-04-04

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:

• Michael Creel & Jiti Gao & Han Hong & Dennis Kristensen, 2016. "Bayesian Indirect Inference and the ABC of GMM," Monash Econometrics and Business Statistics Working Papers 1/16, Monash University, Department of Econometrics and Business Statistics.
• Bin Jiang & Anastasios Panagiotelis & George Athanasopoulos & Rob Hyndman & Farshid Vahid, 2016. "Bayesian Rank Selection in Multivariate Regression," Monash Econometrics and Business Statistics Working Papers 6/16, Monash University, Department of Econometrics and Business Statistics.
• Tingting Cheng & Jiti Gao & Peter CB Phillips, 2016. "A Frequency Approach to Bayesian Asymptotics," Monash Econometrics and Business Statistics Working Papers 5/16, Monash University, Department of Econometrics and Business Statistics.
• Florian Huber & Martin Feldkircher, 2016. "Adaptive shrinkage in Bayesian vector autoregressive models," Department of Economics Working Papers wuwp221, Vienna University of Economics and Business, Department of Economics.
• Shujie Ma & Liangjun Su, 2016. "Estimation of Large Dimensional Factor Models with an Unknown Number of Breaks," Working Papers 05-2016, Singapore Management University, School of Economics.
• Lillestøl, Jostein, 2016. "Weibull Wind Worth: Wait and Watch?," Discussion Papers 2016/2, Norwegian School of Economics, Department of Business and Management Science.
• Nassim Nicholas Taleb, 2016. "A Short Note on P-Value Hacking," Papers 1603.07532, arXiv.org, revised Jan 2018.
• Niels Haldrup & Oskar Knapik & Tommaso Proietti, 2016. "A generalized exponential time series regression model for electricity prices," CREATES Research Papers 2016-08, Department of Economics and Business Economics, Aarhus University.
• Senay Sokullu & Sami Stouli, 2016. "Cross-Validation Selection of Regularization Parameter(s) for Semiparametric Transformation Models," Bristol Economics Discussion Papers 16/672, School of Economics, University of Bristol, UK, revised 08 Nov 2017.
• Yoann Potiron & Per Mykland, 2016. "Local Parametric Estimation in High Frequency Data," Papers 1603.05700, arXiv.org, revised Aug 2018.
• Blaise Melly und Kaspar W thrich, 2016. "Local quantile treatment effects," Diskussionsschriften dp1605, Universitaet Bern, Departement Volkswirtschaft.
• Scaillet, Olivier, 2016. "On ill-posedness of nonparametric instrumental variable regression with convexity constraints," Working Papers unige:79975, University of Geneva, Geneva School of Economics and Management.
• Dr. Christian Hepenstrick & Massimiliano Marcellino, 2016. "Forecasting with Large Unbalanced Datasets: The Mixed-Frequency Three-Pass Regression Filter," Working Papers 2016-04, Swiss National Bank.
• Pedro Martins & Andy Snell & Heiko Stueber & Jonathan Thomas, 2016. "Bias in Returns to Tenure When Firm Wages and Employment Comove: A Quantitative Assessment and Solution," Working Papers 64, Queen Mary, University of London, School of Business and Management, Centre for Globalisation Research.
• Luciano Stefanini, 2015. "Quantile and expectile smoothing by F-transform," Working Papers 1512, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, revised 2015.
• Vogel, Matt & van Ham, Maarten, 2016. "Disentangling Neighborhood Effects in Person-Context Research: An Application of a Neighborhood-Based Group Decomposition," IZA Discussion Papers 9793, Institute of Labor Economics (IZA).
• Tetsuya Takaishi, 2016. "GPU Computing in Bayesian Inference of Realized Stochastic Volatility Model," Papers 1603.08114, arXiv.org.
• Juan Carlos Escanciano & Stefan Hoderlein & Arthur Lewbel & Oliver Linton, 2015. "Nonparametric Euler Equation Identification andEstimation," Cambridge Working Papers in Economics 1560, Faculty of Economics, University of Cambridge.