Report NEP-ECM-2017-08-20

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:

• Andreou, Elena & Gagliardini, Patrick & Ghysels, Eric & Rubin, Mirco, 2017. "Is Industrial Production Still the Dominant Factor for the US Economy?," CEPR Discussion Papers 12219, C.E.P.R. Discussion Papers.
• Mattera, Raffaele, 2017. "A GED-based regression to fit the actual data distribution," MPRA Paper 80501, University Library of Munich, Germany.
• Takaki Hayashi & Yuta Koike, 2017. "Multi-scale analysis of lead-lag relationships in high-frequency financial markets," Papers 1708.03992, arXiv.org, revised May 2020.
• Francisco (F.) Blasques & Marc Nientker, 2017. "A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH Models," Tinbergen Institute Discussion Papers 17-072/III, Tinbergen Institute.
• Qidi Peng & Ran Zhao, 2017. "A General Class of Multifractional Processes and Stock Price Informativeness," Papers 1708.04217, arXiv.org, revised Aug 2018.
• Botosaru, Irene & Ferman, Bruno, 2017. "On the Role of Covariates in the Synthetic Control Method," MPRA Paper 80796, University Library of Munich, Germany.
• Robert M. Sauer & Christopher R. Taber, 2017. "Indirect Inference with Importance Sampling: An Application to Women’s Wage Growth," NBER Working Papers 23669, National Bureau of Economic Research, Inc.
• Antonio Diez de los Rios, 2017. "Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions," Staff Working Papers 17-33, Bank of Canada.
• Soufiane Hayou, 2017. "On the overestimation of the largest eigenvalue of a covariance matrix," Papers 1708.03551, arXiv.org.
• Hecq, Alain & Issler, João Victor & Telg, Sean, 2017. "Mixed Causal-Noncausal Autoregressions with Strictly Exogenous Regressors," MPRA Paper 80767, University Library of Munich, Germany.
• Serena Ng, 2017. "Opportunities and Challenges: Lessons from Analyzing Terabytes of Scanner Data," NBER Working Papers 23673, National Bureau of Economic Research, Inc.
• Matthias Collischon, 2017. "The Returns to Personality Traits across the Wage Distribution," SOEPpapers on Multidisciplinary Panel Data Research 921, DIW Berlin, The German Socio-Economic Panel (SOEP).