Report NEP-ECM-2018-09-03

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:

• Timothy B. Armstrong & Michal Koles'ar, 2018. "Sensitivity Analysis using Approximate Moment Condition Models," Papers 1808.07387, arXiv.org, revised Jul 2020.
• Laura Liu, 2017. "Density Forecasts in Panel Models: A semiparametric Bayesian Perspective," PIER Working Paper Archive 17-006, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 28 Apr 2017.
• Lux, Thomas, 2018. "Inference for nonlinear state space models: A comparison of different methods applied to Markov-switching multifractal models," Economics Working Papers 2018-07, Christian-Albrechts-University of Kiel, Department of Economics.
• Chevillon, Guillaume & Mavroeidis, Sophocles & Zhan, Zhaoguo, 2016. "Robust inference in structural VARs with long-run restrictions," ESSEC Working Papers WP1702, ESSEC Research Center, ESSEC Business School.
• Matthew Harding & Carlos Lamarche, 2018. "A Panel Quantile Approach to Attrition Bias in Big Data: Evidence from a Randomized Experiment," Papers 1808.03364, arXiv.org.
• Max Ole Liemen & Michel van der Wel & Olaf Posch, 2018. "Structural Estimation of Dynamic Macroeconomic Models using Higher-Frequency Financial Data," 2018 Meeting Papers 1049, Society for Economic Dynamics.
• Sukjin Han & Sungwon Lee, 2018. "Estimation in a Generalization of Bivariate Probit Models with Dummy Endogenous Regressors," Papers 1808.05792, arXiv.org, revised Mar 2019.
• Bal'azs Csan'ad Cs'aji, 2018. "Score Permutation Based Finite Sample Inference for Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) Models," Papers 1807.08390, arXiv.org.
• Luca Brugnolini, 2018. "About Local Projection Impulse Response Function Reliability," CEIS Research Paper 440, Tor Vergata University, CEIS, revised 09 Jun 2018.
• Saint-Cyr, Legrand D. F., 2017. "Farm heterogeneity and agricultural policy impacts on size dynamics: evidence from France," Working Papers 258013, Institut National de la recherche Agronomique (INRA), Departement Sciences Sociales, Agriculture et Alimentation, Espace et Environnement (SAE2).
• Zhu, Ying, 2018. "Concentration Based Inference in High Dimensional Generalized Regression Models (I: Statistical Guarantees)," MPRA Paper 88502, University Library of Munich, Germany.
• Sarah Baird & Aislinn Bohren & Craig McIntosh & Berk Ozler, 2017. "Optimal Design of Experiments in the Presence of Interference*, Second Version," PIER Working Paper Archive 16-025, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 30 Nov 2017.
• Art B. Owen & Hal Varian, 2018. "Optimizing the tie-breaker regression discontinuity design," Papers 1808.07563, arXiv.org, revised Jul 2020.
• Tomav{z} Kov{s}ir & Matjav{z} Omladiv{c}, 2018. "Reflected maxmin copulas and modelling quadrant subindependence," Papers 1808.07646, arXiv.org, revised Dec 2018.
• Liyuan Jiang & Shuang Zhou & Keren Li & Fangfang Wang & Jie Yang, 2018. "A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps," Papers 1808.05289, arXiv.org, revised Feb 2019.