Report NEP-ECM-2019-11-11

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:

• Masahiro Kato & Hikaru Kawarazaki, 2019. "Model Specification Test with Unlabeled Data: Approach from Covariate Shift," Papers 1911.00688, arXiv.org, revised Feb 2020.
• Dakyung Seong & Jin Seo Cho & Timo Teräsvirta, 2019. "Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model," CREATES Research Papers 2019-17, Department of Economics and Business Economics, Aarhus University.
• Richard Y. Chen, 2019. "The Fourier Transform Method for Volatility Functional Inference by Asynchronous Observations," Papers 1911.02205, arXiv.org.
• Jaros{l}aw Duda & Robert Syrek & Henryk Gurgul, 2019. "Modelling bid-ask spread conditional distributions using hierarchical correlation reconstruction," Papers 1911.02361, arXiv.org.
• Han Hong & Huiyu Li & Jessie Li, 2019. "BLP Estimation Using Laplace Transformation and Overlapping Simulation Draws," Working Paper Series 2019-24, Federal Reserve Bank of San Francisco.
• Victor Chernozhukov & Jerry A. Hausman & Whitney K. Newey, 2019. "Demand Analysis with Many Prices," NBER Working Papers 26424, National Bureau of Economic Research, Inc.
• Junlong Feng, 2019. "Regularized Quantile Regression with Interactive Fixed Effects," Papers 1911.00166, arXiv.org, revised Mar 2021.
• Liang Chen, 2019. "Nonparametric Quantile Regressions for Panel Data Models with Large T," Papers 1911.01824, arXiv.org, revised Sep 2020.
• Sanghyun Hong & W. Robert Reed, 2019. "Towards an Experimental Framework for Assessing Meta-Analysis Methods, with a Focus on Andrews-Kasy Estimators," Working Papers in Economics 19/13, University of Canterbury, Department of Economics and Finance.
• Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang, 2019. "Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model," CREATES Research Papers 2019-18, Department of Economics and Business Economics, Aarhus University.
• Michael W. McCracken & Joseph McGillicuddy & Michael T. Owyang, 2019. "Binary Conditional Forecasts," Working Papers 2019-029, Federal Reserve Bank of St. Louis, revised Apr 2021.
• Yilanci, Veli & Aydin, Mücahit & Aydin, Mehmet, 2019. "Residual Augmented Fourier ADF Unit Root Test," MPRA Paper 96797, University Library of Munich, Germany.
• Haotian Zhong & Wei Li & Marlon G. Boarnet, 2019. "A two-dimensional propensity score matching method for longitudinal quasi-experimental studies: A focus on travel behavior and the built environment," Papers 1911.00667, arXiv.org, revised Nov 2019.
• Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2019. "Assessing International Commonality in Macroeconomic Uncertainty and Its Effects," Working Papers 18-03R, Federal Reserve Bank of Cleveland.
• M. Hashem Pesaran & Ron P. Smith, 2019. "The Role of Factor Strength and Pricing Errors for Estimation and Inference in Asset Pricing Models," CESifo Working Paper Series 7919, CESifo.