Report NEP-ECM-2019-02-11

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:

• Torben G. Andersen & Rasmus T. Varneskov, 2018. "Consistent Inference for Predictive Regressions in Persistent VAR Economies," CREATES Research Papers 2018-09, Department of Economics and Business Economics, Aarhus University.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov & Rasmus T. Varneskov, 2018. "Option Panels in Pure-Jump Settings," CREATES Research Papers 2018-04, Department of Economics and Business Economics, Aarhus University.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov & Rasmus T. Varneskov, 2018. "Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span," CREATES Research Papers 2018-03, Department of Economics and Business Economics, Aarhus University.
• Jean-Jacques Forneron, 2019. "A Sieve-SMM Estimator for Dynamic Models," Papers 1902.01456, arXiv.org, revised Jan 2023.
• Liang, Chong & Schienle, Melanie, 2019. "Determination of vector error correction models in high dimensions," Working Paper Series in Economics 124, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Yunus Emre Ergemen & Carlos Velasco, 2018. "Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects," CREATES Research Papers 2018-11, Department of Economics and Business Economics, Aarhus University.
• Niels Haldrup & Carsten P. T. Rosenskjold, 2018. "A Parametric Factor Model of the Term Structure of Mortality," CREATES Research Papers 2018-06, Department of Economics and Business Economics, Aarhus University.
• Su, Liangjun & Miao, Ke & Jin, Sainan, 2019. "On Factor Models with Random Missing: EM Estimation, Inference, and Cross Validation," Economics and Statistics Working Papers 4-2019, Singapore Management University, School of Economics.
• Conrad, Christian & Schienle, Melanie, 2019. "Testing for an omitted multiplicative long-term component in GARCH models," Working Paper Series in Economics 121, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang, 2018. "The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016," CREATES Research Papers 2018-15, Department of Economics and Business Economics, Aarhus University.
• Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov, 2018. "Time-Varying Periodicity in Intraday Volatility," CREATES Research Papers 2018-05, Department of Economics and Business Economics, Aarhus University.
• Alexander Heinemann, 2019. "A Bootstrap Test for the Existence of Moments for GARCH Processes," Papers 1902.01808, arXiv.org, revised Jul 2019.
• Ulrich Hounyo & Rasmus T. Varneskov, 2018. "Inference for Local Distributions at High Sampling Frequencies: A Bootstrap Approach," CREATES Research Papers 2018-16, Department of Economics and Business Economics, Aarhus University.
• Bormann, Carsten & Schienle, Melanie, 2019. "Detecting structural differences in tail dependence of financial time series," Working Paper Series in Economics 122, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Bruce E. Hansen & Seojeong Lee, 2019. "Asymptotic Theory for Clustered Samples," Papers 1902.01497, arXiv.org.
• Zervopoulos, Panagiotis & Emrouznejad, Ali & Sklavos, Sokratis, 2019. "A Bayesian approach for correcting bias of data envelopment analysis estimators," MPRA Paper 91886, University Library of Munich, Germany.
• Mathias Kloss & Thomas Kirschstein & Steffen Liebscher & Martin Petrick, 2019. "Robust Productivity Analysis: An application to German FADN data," Papers 1902.00678, arXiv.org, revised Feb 2019.
• Yagi, Daisuke & Chen, Yining & Johnson, Andrew L. & Kuosmanen, Timo, 2018. "Shape constrained kernel-weighted least squares: Estimating production functions for Chilean manufacturing industries," LSE Research Online Documents on Economics 86556, London School of Economics and Political Science, LSE Library.
• Huang, Wenxin & Jin, Sainan & Su, Liangjun, 2018. "Identifying Latent Grouped Patterns in Cointegrated Panels," Economics and Statistics Working Papers 3-2019, Singapore Management University, School of Economics.
• Millimet, Daniel L. & Li, Hao & Roychowdhury, Punarjit, 2019. "Partial Identification of Economic Mobility: With an Application to the United States," IZA Discussion Papers 12085, Institute of Labor Economics (IZA).
• Grossmann, Volker & Osikominu, Aderonke, 2019. "Let the Data Speak? On the Importance of Theory-Based Instrumental Variable Estimations," IZA Discussion Papers 12080, Institute of Labor Economics (IZA).
• Schmidheiny, Kurt & Siegloch, Sebastian, 2019. "On Event Study Designs and Distributed-Lag Models: Equivalence, Generalization and Practical Implications," IZA Discussion Papers 12079, Institute of Labor Economics (IZA).
• Francisco (F.) Blasques & Marc Nientker, 2019. "Transformed Perturbation Solutions for Dynamic Stochastic General Equilibrium Models," Tinbergen Institute Discussion Papers 19-012/III, Tinbergen Institute, revised 09 Feb 2020.
• Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2019. "A General Framework for Prediction in Time Series Models," Papers 1902.01622, arXiv.org.
• Karlson Pfannschmidt & Pritha Gupta & Bjorn Haddenhorst & Eyke Hullermeier, 2019. "Learning Context-Dependent Choice Functions," Papers 1901.10860, arXiv.org, revised Oct 2021.
• Jeffrey P. Cohen & Cletus C. Coughlin & Jeffrey Zabel, 2019. "Time-Geographically Weighted Regressions and Residential Property Value Assessment," Working Papers 2019-5, Federal Reserve Bank of St. Louis.
• Leopoldo Catania & Tommaso Proietti, 2019. "Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects," CEIS Research Paper 450, Tor Vergata University, CEIS, revised 06 Feb 2019.
• Murasawa, Yasutomo, 2019. "Bayesian multivariate Beveridge--Nelson decomposition of I(1) and I(2) series with cointegration," MPRA Paper 91979, University Library of Munich, Germany.