Report NEP-ECM-2019-10-14

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:

• Matteo Barigozzi & Matteo Luciani, 2019. "Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm," Papers 1910.03821, arXiv.org, revised Sep 2024.
• Kley, Tobias & Preuss, Philip & Fryzlewicz, Piotr, 2019. "Predictive, finite-sample model choice for time series under stationarity and non-stationarity," LSE Research Online Documents on Economics 101748, London School of Economics and Political Science, LSE Library.
• Xin Liu, 2019. "Averaging estimation for instrumental variables quantile regression," Working Papers 1907, Department of Economics, University of Missouri.
• Bernd Funovits, 2019. "Identification and Estimation of SVARMA models with Independent and Non-Gaussian Inputs," Papers 1910.04087, arXiv.org.
• Beaumont, Paul & Smallwood, Aaron, 2019. "Conditional Sum of Squares Estimation of Multiple Frequency Long Memory Models," MPRA Paper 96314, University Library of Munich, Germany.
• Paul Ho, 2019. "Global Robust Bayesian Analysis in Large Models," 2019 Meeting Papers 390, Society for Economic Dynamics.
• Antoine Arnoud & Fatih Guvenen & Tatjana Kleineberg, 2019. "Benchmarking Global Optimizers," NBER Working Papers 26340, National Bureau of Economic Research, Inc.
• Kristoffer Pons Bertelsen, 2019. "Comparing Tests for Identification of Bubbles," CREATES Research Papers 2019-16, Department of Economics and Business Economics, Aarhus University.
• David M. Kaplan & Longhao Zhuo, 2019. "Comparing latent inequality with ordinal data," Working Papers 1909, Department of Economics, University of Missouri.
• Hiroaki Kaido & Yi Zhang, 2019. "Robust Likelihood Ratio Tests for Incomplete Economic Models," Papers 1910.04610, arXiv.org, revised Dec 2019.
• Kashif Yousuf & Serena Ng, 2019. "Boosting High Dimensional Predictive Regressions with Time Varying Parameters," Papers 1910.03109, arXiv.org.
• Du Nguyen, 2019. "A theorem of Kalman and minimal state-space realization of Vector Autoregressive Models," Papers 1910.02546, arXiv.org.
• Lisha Lin & Yaqiong Li & Rui Gao & Jianhong Wu, 2019. "The Numerical Simulation of Quanto Option Prices Using Bayesian Statistical Methods," Papers 1910.04075, arXiv.org.
• Michael C. Tseng, 2019. "A 2-Dimensional Functional Central Limit Theorem for Non-stationary Dependent Random Fields," Papers 1910.02577, arXiv.org.
• Masayuki Sawada, 2019. "Noncompliance in randomized control trials without exclusion restrictions," Papers 1910.03204, arXiv.org, revised Jun 2021.
• David Pacini, 2019. "Proximal Statistics: Asymptotic Normality," Bristol Economics Discussion Papers 19/718, School of Economics, University of Bristol, UK.
• Bernd Funovits & Alexander Braumann, 2019. "Identifiability of Structural Singular Vector Autoregressive Models," Papers 1910.04096, arXiv.org, revised Oct 2020.