Report NEP-ECM-2019-05-13

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.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-ECM

The following items were announced in this report:

• Kerem Tuzcuoglu, 2019. "Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects," Staff Working Papers 19-16, Bank of Canada.
• Martin Burda & Louis Belisle, 2019. "Copula Multivariate GARCH Model with Constrained Hamiltonian Monte Carlo," Working Papers tecipa-638, University of Toronto, Department of Economics.
• Milda Norkuté & Vasilis Sarafidis & Takashi Yamagata & Guowei Cui, 2018. "Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure," ISER Discussion Paper 1019r, Institute of Social and Economic Research, Osaka University, revised Apr 2019.
• Phillips, Garry David Alan & Wang, Dandan, 2019. "Bias assessment and reduction for the 2SLS estimator in general dynamic simultaneous equations models," DES - Working Papers. Statistics and Econometrics. WS 28322, Universidad Carlos III de Madrid. Departamento de Estadística.
• Olivier Ledoit & Michael Wolf, 2019. "The power of (non-)linear shrinking: a review and guide to covariance matrix estimation," ECON - Working Papers 323, Department of Economics - University of Zurich, revised Feb 2020.
• Feiyu Jiang & Dong Li & Ke Zhu, 2019. "Non-standard inference for augmented double autoregressive models with null volatility coefficients," Papers 1905.01798, arXiv.org.
• Felix Chan & Ágoston Reguly & László Mátyás, 2019. "Modelling with Discretized Ordered Choice Covariates," CEU Working Papers 2019_2, Department of Economics, Central European University.
• Xin Shi & Robert Qiu, 2019. "Estimation of high-dimensional factor models and its application in power data analysis," Papers 1905.02061, arXiv.org, revised Oct 2019.
• Carsen Jentsch & Kurt Graden Lunsford, 2019. "Asymptotically Valid Bootstrap Inference for Proxy SVARs," Working Papers 19-08, Federal Reserve Bank of Cleveland.
• Harold D. Chiang & Yuya Sasaki, 2019. "Lasso under Multi-way Clustering: Estimation and Post-selection Inference," Papers 1905.02107, arXiv.org, revised Aug 2019.
• Adam Golinski & Peter Spencer, 2019. "Estimating the term structure with linear regressions: Getting to the roots of the problem," Discussion Papers 19/05, Department of Economics, University of York.
• Grigory Franguridi & Hyungsik Roger Moon, 2019. "A Uniform Bound on the Operator Norm of Sub-Gaussian Random Matrices and Its Applications," Papers 1905.01096, arXiv.org, revised Apr 2021.
• Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen, 2019. "The analysis of marked and weighted empirical processes of estimated residuals," CREATES Research Papers 2019-06, Department of Economics and Business Economics, Aarhus University.
• Máximo Camacho & María Dolores Gadea & Ana Gómez Loscos, 2019. "A new approach to dating the reference cycle," Working Papers 1914, Banco de España.
• Yang, Bill Huajian & Wu, Biao & Cui, Kaijie & Du, Zunwei & Fei, Glenn, 2019. "IFRS9 Expected Credit Loss Estimation: Advanced Models for Estimating Portfolio Loss and Weighting Scenario Losses," MPRA Paper 93634, University Library of Munich, Germany.
• Jaap H. Abbring & Tim Salimans, 2019. "The Likelihood of Mixed Hitting Times," Papers 1905.03463, arXiv.org, revised Apr 2021.
• Amit Goyal & Zhongzhi Lawrence He & Sahn-Wook Huh, 2018. "Distance-Based Metrics: A Bayesian Solution to the Power and Extreme-Error Problems in Asset-Pricing Tests," Swiss Finance Institute Research Paper Series 18-78, Swiss Finance Institute.
• Kai Feng & Han Hong & Ke Tang & Jingyuan Wang, 2019. "Decision Making with Machine Learning and ROC Curves," Papers 1905.02810, arXiv.org.
• Dupas, Pascaline & Bhattacharya, Debopam & ,, 2019. "Demand and Welfare Analysis in Discrete Choice Models with Social Interactions," CEPR Discussion Papers 13707, C.E.P.R. Discussion Papers.
• Tarun Chordia & Amit Goyal & Alessio Saretto, 2017. "p-Hacking: Evidence from Two Million Trading Strategies," Swiss Finance Institute Research Paper Series 17-37, Swiss Finance Institute, revised Apr 2018.