Report NEP-ECM-2018-12-03

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:

• Francisco (F.) Blasques & Siem Jan (S.J.) Koopman & Marc Nientker, 2018. "A Time-Varying Parameter Model for Local Explosions," Tinbergen Institute Discussion Papers 18-088/III, Tinbergen Institute.
• Galina Besstremyannaya & Sergei Golovan, 2018. "Reconsideration of a simple approach to quantile regression for panel data," Working Papers w0248, Center for Economic and Financial Research (CEFIR).
• Seojeong Lee & Youngki Shin, 2018. "Complete Subset Averaging with Many Instruments," Papers 1811.08083, arXiv.org, revised Aug 2020.
• Federico Carlini & Katarzyna (K.A.) Lasak, 2018. "Likelihood based inference for an Identifiable Fractional Vector Error Correction Model," Tinbergen Institute Discussion Papers 18-085/III, Tinbergen Institute.
• Bakk, Zsuzsa & Kuha, Jouni, 2018. "Two-step estimation of models between latent classes and external variables," LSE Research Online Documents on Economics 85161, London School of Economics and Political Science, LSE Library.
• Matteo Barigozzi & Marc Hallin, 2018. "Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals," Working Papers ECARES 2018-33, ULB -- Universite Libre de Bruxelles.
• Jonas E. Arias & Juan F. Rubio-Ramirez & Daniel F. Waggoner, 2018. "Inference in Bayesian Proxy-SVARs," Working Papers 18-25/R, Federal Reserve Bank of Philadelphia.
• Hao Dong & Taisuke Otsu, 2018. "Nonparametric Estimation of Additive Model with Errors-in-Variables," STICERD - Econometrics Paper Series 600, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
• Deepankar Basu, 2018. "When Can We Determine the Direction of Omitted Variable Bias of OLS Estimators?," UMASS Amherst Economics Working Papers 2018-16, University of Massachusetts Amherst, Department of Economics.
• Hauzenberger, Niko & Huber, Florian, 2018. "Model instability in predictive exchange rate regressions," Working Papers in Economics 2018-8, University of Salzburg.
• Roser Bono & María J. Blanca & Rafael Alarcón & Jaume Arnau, 2018. "The Effects Of Autocorrelation And Number Of Repeated Measures On Glmm Robustness With Ordinal Data," Proceedings of International Academic Conferences 7309082, International Institute of Social and Economic Sciences.
• Matthieu Garcin, 2018. "Hurst exponents and delampertized fractional Brownian motions," Working Papers hal-01919754, HAL.