Report NEP-ECM-2017-10-08

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.

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Other reports in NEP-ECM

The following items were announced in this report:

• Xiaohong Chen & Timothy Christensen & Elie Tamer, 2016. "Monte Carlo Confidence sets for Identified Sets," Cowles Foundation Discussion Papers 2037R2, Cowles Foundation for Research in Economics, Yale University, revised Sep 2017.
• Liu, Cheng & Xia, Ningning & Yu, Jun, 2016. "Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data," Economics and Statistics Working Papers 14-2016, Singapore Management University, School of Economics.
• Mohamad Kazem Shirani Faradonbeh & Ambuj Tewari & George Michailidis, 2017. "Finite Time Identification in Unstable Linear Systems," Papers 1710.01852, arXiv.org, revised Jun 2018.
• Item repec:cte:wsrepe:25392 is not listed on IDEAS anymore

• Chuan Goh, 2017. "Rate-Optimal Estimation of the Intercept in a Semiparametric Sample-Selection Model," Papers 1710.01423, arXiv.org, revised Sep 2018.
• Dare, Wale & Fengler, Matthias, 2017. "Global estimation of realized spot volatility in the presence of price jumps," Economics Working Paper Series 1715, University of St. Gallen, School of Economics and Political Science.
• Anand Acharya & Lynda Khalaf & Marcel Voia & Myra Yazbeck & David Wensley, 2017. "Simulation-based robust IV inference for lifetime data," Canadian Stata Users' Group Meetings 2017 15, Stata Users Group.
• Olivier Ledoit & Michael Wolf, 2017. "Analytical nonlinear shrinkage of large-dimensional covariance matrices," ECON - Working Papers 264, Department of Economics - University of Zurich, revised Nov 2018.
• Luo, Ye & Spindler, Martin, 2017. "L2-Boosting for Economic Applications," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168194, Verein für Socialpolitik / German Economic Association.
• Giuseppe Pandolfo & Davy Paindaveine & Giovanni Porzio, 2017. "Distance-based Depths for Directional Data," Working Papers ECARES ECARES 2017-35, ULB -- Universite Libre de Bruxelles.
• Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney Newey & James Robins, 2016. "Double/Debiased Machine Learning for Treatment and Causal Parameters," Papers 1608.00060, arXiv.org, revised Nov 2024.
• Victor Chernozhukov & Iv'an Fern'andez-Val & Tetsuya Kaji, 2016. "Extremal Quantile Regression: An Overview," Papers 1612.06850, arXiv.org, revised Feb 2017.
• Victor Chernozhukov & Iv'an Fern'andez-Val & Whitney Newey, 2017. "Nonseparable Multinomial Choice Models in Cross-Section and Panel Data," Papers 1706.08418, arXiv.org, revised May 2018.
• Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2017. "A Justification of Conditional Confidence Intervals," Papers 1710.00643, arXiv.org, revised Jan 2019.
• Pedro H. C. Sant'Anna, 2016. "Program Evaluation with Right-Censored Data," Papers 1604.02642, arXiv.org.
• Hepsag, Aycan, 2017. "A unit root test based on smooth transitions and nonlinear adjustment," MPRA Paper 81788, University Library of Munich, Germany.
• Jianqing Fan & Yuan Ke & Yuan Liao, 2016. "Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia," Papers 1603.07041, arXiv.org, revised Sep 2018.
• Ramazan Gencay & Ege Yazgan, 2017. "When Are Wavelets Useful Forecasters?," Working Papers 1704, The Center for Financial Studies (CEFIS), Istanbul Bilgi University.
• Tao, Yubo & Yu, Jun, 2016. "Model Selection for Explosive Models," Economics and Statistics Working Papers 6-2016, Singapore Management University, School of Economics.
• Chu-An Liu & Biing-Shen Kuo & Wen-Jen Tsay, 2017. "Autoregressive Spectral Averaging Estimator," IEAS Working Paper : academic research 17-A013, Institute of Economics, Academia Sinica, Taipei, Taiwan.
• Timo Teräsvirta, 2017. "Nonlinear models in macroeconometrics," CREATES Research Papers 2017-32, Department of Economics and Business Economics, Aarhus University.
• Xiao, Weilin & Yu, Jun, 2016. "Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model," Economics and Statistics Working Papers 13-2016, Singapore Management University, School of Economics.
• George Daniel Mateescu, 2017. "Regression on intervals," Working Papers of Institute for Economic Forecasting 170901, Institute for Economic Forecasting.
• Naoki Awaya & Yasuhiro Omori, 2017. "Particle rolling MCMC with Double Block Sampling: Conditional SMC Update Approach," CIRJE F-Series CIRJE-F-1066, CIRJE, Faculty of Economics, University of Tokyo.
• Igor Halperin, 2017. "Keep It Real: Tail Probabilities of Compound Heavy-Tailed Distributions," Papers 1710.01227, arXiv.org.
• Pedro H. C. Sant'Anna & Xiaojun Song, 2016. "Specification Tests for the Propensity Score," Papers 1611.06217, arXiv.org, revised Feb 2019.
• Pedro H. C. Sant'Anna, 2016. "Nonparametric Tests for Treatment Effect Heterogeneity with Duration Outcomes," Papers 1612.02090, arXiv.org, revised Feb 2020.
• James G. MacKinnon & Matthew D. Webb, 2017. "The multiway cluster wild bootstrap," Canadian Stata Users' Group Meetings 2017 06, Stata Users Group.
• Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2017. "Forecasting with Dynamic Panel Data Models," Papers 1709.10193, arXiv.org.
• Gordon Anderson & Alessio Farcomeni & Grazia Pittau & Roberto Zelli, 2017. "Rectangular latent Markov models for time-specific clustering," Working Papers tecipa-589, University of Toronto, Department of Economics.
• Khai X. Chiong & Hyungsik Roger Moon, 2017. "Estimation of Graphical Models using the $L_{1,2}$ Norm," Papers 1709.10038, arXiv.org, revised Oct 2017.