Report NEP-ECM-2019-03-04

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:

• Badi Baltagi & Chihwa Kao & Long Liu, 2019. "Testing for Shifts in a Time Trend Panel Data Model with Serially Correlated Error Component Disturbances," Center for Policy Research Working Papers 213, Center for Policy Research, Maxwell School, Syracuse University.
• Xiaohong Chen & Demian Pouzo & James L. Powell, 2019. "Penalized Sieve GEL for Weighted Average Derivatives of Nonparametric Quantile IV Regressions," Papers 1902.10100, arXiv.org.
• Xu, Yuhong & Yang, Zhenlin, 2019. "Specification Tests for Temporal Heterogeneity in Spatial Panel Models with Fixed Effects," Economics and Statistics Working Papers 5-2019, Singapore Management University, School of Economics.
• Marco Avarucci & Paolo Zaffaroni, 2019. "Robust Nearly-Efficient Estimation of Large Panels with Factor Structures," Papers 1902.11181, arXiv.org.
• Jiun-Hua Su, 2019. "Counterfactual Inference in Duration Models with Random Censoring," Papers 1902.08502, arXiv.org.
• Alain Hecq & Luca Margaritella & Stephan Smeekes, 2019. "Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure," Papers 1902.10991, arXiv.org, revised Dec 2020.
• Chiara Lattanzi & Manuele Leonelli, 2019. "A changepoint approach for the identification of financial extreme regimes," Papers 1902.09205, arXiv.org.
• Kelly Vosters & Jørgen Modalsli, 2019. "Spillover bias in multigenerational income regressions," Discussion Papers 897, Statistics Norway, Research Department.
• Byunghoon Kang, 2018. "Higher Order Approximation of IV Estimators with Invalid Instruments," Working Papers 257105320, Lancaster University Management School, Economics Department.
• Keisuke Takahata & Takahiro Hoshino, 2019. "Semiparametric estimation of heterogeneous treatment effects under the nonignorable assignment condition," Papers 1902.09978, arXiv.org.
• Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Yingjie Feng, 2019. "On Binscatter," Papers 1902.09608, arXiv.org, revised Apr 2024.
• Jushan Bai & Junlong Feng, 2019. "Robust Principal Component Analysis with Non-Sparse Errors," Papers 1902.08735, arXiv.org, revised Nov 2019.
• Myung Hwan Seo & Sueyoul Kim & Young-Joo Kim, 2019. "Estimation of Dynamic Panel Threshold Model using Stata," Papers 1902.10318, arXiv.org.
• Arun G. Chandrasekhar & Victor Chernozhukov & Francesca Molinari & Paul Schrimpf, 2019. "Best Linear Approximations to Set Identified Functions: With an Application to the Gender Wage Gap," NBER Working Papers 25593, National Bureau of Economic Research, Inc.
• Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera & Thorsten Schmidt, 2019. "Fair Estimation of Capital Risk Allocation," Papers 1902.10044, arXiv.org, revised Nov 2019.
• Mohamed Chikhi & Claude Diebolt, 2019. "Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors," Working Papers of BETA 2019-06, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
• Florens, Jean-Pierre & Simar, Léopold & Van Keilegom, Ingrid, 2019. "Estimation of the Boundary of a Variable Observed with A Symmetric Error," TSE Working Papers 19-990, Toulouse School of Economics (TSE).
• Enache, Andreea & Florens, Jean-Pierre, 2019. "Identification and Estimation in a Third-Price Auction Model," TSE Working Papers 19-989, Toulouse School of Economics (TSE).
• Anne Opschoor & André Lucas & Istvan Barra & Dick van Dijk, 2019. "Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings," Tinbergen Institute Discussion Papers 19-013/IV, Tinbergen Institute, revised 23 Oct 2019.