Report NEP-ECM-2019-08-26

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:

• Yicong Lin & Hanno Reuvers, 2019. "Efficient Estimation by Fully Modified GLS with an Application to the Environmental Kuznets Curve," Papers 1908.02552, arXiv.org, revised Aug 2020.
• Mingli Chen & Kengo Kato & Chenlei Leng, 2019. "Analysis of Networks via the Sparse $\beta$-Model," Papers 1908.03152, arXiv.org, revised Dec 2020.
• Morten Ørregaard Nielsen & Won-Ki Seo & Dakyung Seong, 2020. "Inference on the dimension of the nonstationary subspace in functional time series," Working Paper 1420, Economics Department, Queen's University.
• James G. MacKinnon & Matthew D. Webb, 2020. "When and How to Deal with Clustered Errors in Regression Models," Working Paper 1421, Economics Department, Queen's University.
• Yanqin Fan & Fang Han & Wei Li & Xiao-Hua Zhou, 2019. "On rank estimators in increasing dimensions," Papers 1908.05255, arXiv.org.
• Taras Bodnar & Holger Dette & Nestor Parolya & Erik Thors'en, 2019. "Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions," Papers 1908.04243, arXiv.org, revised Apr 2023.
• Greene, W.H.; & Harris, M.N.; & Knott, R.; & Rice, N.;, 2019. "Specification and testing of hierarchical ordered response models with anchoring vignettes," Health, Econometrics and Data Group (HEDG) Working Papers 19/18, HEDG, c/o Department of Economics, University of York.
• Qingliang Fan & Yu-Chin Hsu & Robert P. Lieli & Yichong Zhang, 2019. "Estimation of Conditional Average Treatment Effects with High-Dimensional Data," Papers 1908.02399, arXiv.org, revised Jul 2021.
• Michael Griebel & Florian Heiss & Jens Oettershagen & Constantin Weiser, 2019. "Maximum Approximated Likelihood Estimation," Papers 1908.04110, arXiv.org.
• Harvey, A. & Hurn, S. & Thiele, S., 2019. "Modeling directional (circular) time series," Cambridge Working Papers in Economics 1971, Faculty of Economics, University of Cambridge.
• Bryan S. Graham & Fengshi Niu & James L. Powell, 2019. "Kernel Density Estimation for Undirected Dyadic Data," Papers 1907.13630, arXiv.org.
• Angelo Mele & Lingxin Hao & Joshua Cape & Carey E. Priebe, 2019. "Spectral inference for large Stochastic Blockmodels with nodal covariates," Papers 1908.06438, arXiv.org, revised Mar 2021.
• Tamás Krisztin & Philipp Piribauer, 2019. "A Bayesian Spatial Autoregressive Logit Model With An Empirical Application to European Regional FDI Flows," WIFO Working Papers 586, WIFO.
• Daiki Maki & Yasushi Ota, 2019. "Testing for time-varying properties under misspecified conditional mean and variance," Papers 1907.12107, arXiv.org, revised Aug 2019.
• Nabil Kazi-Tani & Didier Rullière, 2019. "On a construction of multivariate distributions given some multidimensional marginals," Post-Print hal-01575169, HAL.
• Zhentao Shi & Jingyi Huang, 2019. "Forward-Selected Panel Data Approach for Program Evaluation," Papers 1908.05894, arXiv.org, revised Apr 2021.
• Elena Krasnokutskaya & Kyungchul Song & Xun Tang, 2019. "Estimating Unobserved Individual Heterogeneity Using Pairwise Comparisons," Papers 1908.01272, arXiv.org, revised Nov 2020.
• Timo Dimitriadis & Julie Schnaitmann, 2019. "Forecast Encompassing Tests for the Expected Shortfall," Papers 1908.04569, arXiv.org, revised Aug 2020.
• Emanuele Russo & Neil Foster-McGregor & Bart Verpagen, 2019. "Characterizing growth instability: new evidence on unit roots and structural breaks in long run time series," LEM Papers Series 2019/29, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
• Ying, Jiahui & Shonkwiler, J. Scott, 2019. "Simulation Noise versus Approximation Error in Mixed Logit Estimation: Maximum Simulated Likelihood or Gauss Hermite Quadrature," 2019 Annual Meeting, July 21-23, Atlanta, Georgia 290818, Agricultural and Applied Economics Association.
• Emmanuel Guerre & Yao Luo, 2019. "Nonparametric Identification of First-Price Auction with Unobserved Competition: A Density Discontinuity Framework," Papers 1908.05476, arXiv.org, revised Dec 2024.
• Michael Pfarrhofer, 2019. "Measuring international uncertainty using global vector autoregressions with drifting parameters," Papers 1908.06325, arXiv.org, revised Dec 2019.
• Ta-Hsin Li, 2019. "Quantile-Frequency Analysis and Spectral Divergence Metrics for Diagnostic Checks of Time Series With Nonlinear Dynamics," Papers 1908.02545, arXiv.org.
• Geng, Huayan & Zhou, Qiankun, 2019. "Estimation and Inference of Treatment Effects Using a New Panel Data Approach with Application to the Impact of US SYG Law on State Level Murder Rate," 2019 Annual Meeting, July 21-23, Atlanta, Georgia 291212, Agricultural and Applied Economics Association.
• Jean-Jacques Forneron, 2019. "Detecting Identification Failure in Moment Condition Models," Papers 1907.13093, arXiv.org, revised Oct 2023.
• Adrien Auclert & Bence Bardóczy & Matthew Rognlie & Ludwig Straub, 2019. "Using the Sequence-Space Jacobian to Solve and Estimate Heterogeneous-Agent Models," NBER Working Papers 26123, National Bureau of Economic Research, Inc.
• Daiki Maki & Yasushi Ota, 2019. "Robust tests for ARCH in the presence of the misspecified conditional mean: A comparison of nonparametric approches," Papers 1907.12752, arXiv.org, revised Sep 2019.
• Ningyuan Chen & Guillermo Gallego & Zhuodong Tang, 2019. "The Use of Binary Choice Forests to Model and Estimate Discrete Choices," Papers 1908.01109, arXiv.org, revised Apr 2024.