Report NEP-ECM-2019-02-25

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:

• Bauwens, Luc & Xu, Yongdeng, 2019. "DCC and DECO-HEAVY: a multivariate GARCH model based on realized variances and correlations," Cardiff Economics Working Papers E2019/5, Cardiff University, Cardiff Business School, Economics Section, revised Aug 2021.
• Fan Yingying & Lv Jinchi & Sharifvaghefi Mahrad & Uematsu Yoshimasa, 2019. "IPAD: Stable Interpretable Forecasting with Knockoffs Inference," DSSR Discussion Papers 92, Graduate School of Economics and Management, Tohoku University.
• Jianfei Cao & Connor Dowd, 2019. "Estimation and Inference for Synthetic Control Methods with Spillover Effects," Papers 1902.07343, arXiv.org, revised Nov 2019.
• Canova, Fabio & Matthes, Christian, 2019. "Dealing with misspecification in structural macroeconometric models," CEPR Discussion Papers 13511, C.E.P.R. Discussion Papers.
• Gao, Yan & Zhang, Xinyu & Wang, Shouyang & Chong, Terence Tai Leung & Zou, Guohua, 2017. "Frequentist model averaging for threshold models," MPRA Paper 92036, University Library of Munich, Germany.
• Hanene Ben Salah & Mohamed Chaouch & Ali Gannoun & Christian de Peretti & Abdelwahed Trabelsi, 2018. "Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier," Post-Print hal-01300673, HAL.
• Linde, Jesper & LASEEN, PER & Ratto, Marco, 2019. "Identification Versus Misspecification in New Keynesian Monetary Policy Models," CEPR Discussion Papers 13492, C.E.P.R. Discussion Papers.
• Adam Elbourne & Kan Ji, 2019. "Do zero and sign restricted SVARs identify unconventional monetary policy shocks in the euro area?," CPB Discussion Paper 391, CPB Netherlands Bureau for Economic Policy Analysis.
• Guy Tchuente, 2019. "Weak Identification and Estimation of Social Interaction Models," Papers 1902.06143, arXiv.org.
• Cristina Gualdani & Shruti Sinha, 2019. "Partial Identification in Matching Models for the Marriage Market," Papers 1902.05610, arXiv.org, revised Jul 2022.
• Joshua C. C. Chan, 2019. "Large Bayesian vector autoregressions," CAMA Working Papers 2019-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Chambers, Marcus J & Taylor, AM Robert, 2019. "Deterministic Parameter Change Models in Continuous and Discrete Time," Essex Finance Centre Working Papers 24072, University of Essex, Essex Business School.
• LeSage, James P. & Fischer, Manfred M., 2019. "Conventional versus network dependence panel data gravity model specifications," Working Papers in Regional Science 2019/02, WU Vienna University of Economics and Business.
• Riani, Marco & Corbellini, Aldo & Atkinson, Anthony C., 2018. "The use of prior information in very robust regression for fraud detection," LSE Research Online Documents on Economics 87685, London School of Economics and Political Science, LSE Library.
• Bettendorf, Timo & Heinlein, Reinhold, 2019. "Connectedness between G10 currencies: Searching for the causal structure," Discussion Papers 06/2019, Deutsche Bundesbank.
• Shahbaz, Muhammad & Omay, Tolga & Roubaud, David, 2019. "Sharp and Smooth Breaks in Unit Root Testing of Renewable Energy Consumption: The Way Forward," MPRA Paper 92176, University Library of Munich, Germany, revised 11 Feb 2019.