Report NEP-ECM-2020-01-13

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.

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Other reports in NEP-ECM

The following items were announced in this report:

• Aknouche, Abdelhakim & Francq, Christian, 2019. "Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models," MPRA Paper 97382, University Library of Munich, Germany.
• Alexandre Belloni & Federico A. Bugni & Victor Chernozhukov, 2019. "Subvector inference in PI models with many moment inequalities," CeMMAP working papers CWP28/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Zijian Zeng & Meng Li, 2020. "Bayesian Median Autoregression for Robust Time Series Forecasting," Papers 2001.01116, arXiv.org, revised Dec 2020.
• Victor Chernozhukov & Kaspar Wüthrich & Yinchu Zhu, 2019. "Inference on average treatment effects in aggregate panel data settings," CeMMAP working papers CWP32/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Raffaella Giacomini & Toru Kitagawa & Matthew Read, 2019. "Robust Bayesian Inference in Proxy SVARs," CeMMAP working papers CWP38/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Raffaella Giacomini & Toru Kitagawa & Harald Uhlig, 2019. "Estimation Under Ambiguity," CeMMAP working papers CWP24/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Andrii Babii & Eric Ghysels & Jonas Striaukas, 2019. "High-Dimensional Granger Causality Tests with an Application to VIX and News," Papers 1912.06307, arXiv.org, revised Feb 2021.
• Xi Chen & Ye Luo & Martin Spindler, 2019. "Adaptive Discrete Smoothing for High-Dimensional and Nonlinear Panel Data," Papers 1912.12867, arXiv.org, revised Jan 2020.
• Joris Pinkse & Karl Schurter, 2019. "Estimation of Auction Models with Shape Restrictions," Papers 1912.07466, arXiv.org.
• Jiahe Lin & George Michailidis, 2019. "Regularized Estimation of High-dimensional Factor-Augmented Vector Autoregressive (FAVAR) Models," Papers 1912.04146, arXiv.org, revised May 2020.
• Mike Tsionas & Marwan Izzeldin & Lorenzo Trapani, 2019. "Bayesian estimation of large dimensional time varying VARs using copulas," Papers 1912.12527, arXiv.org.
• Florian Gunsilius & Susanne M. Schennach, 2019. "Independent nonlinear component analysis," CeMMAP working papers CWP46/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Manuel Denzer, 2019. "Estimating Causal Effects in Binary Response Models with Binary Endogenous Explanatory Variables - A Comparison of Possible Estimators," Working Papers 1916, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz.
• Victor Chernozhukov & Christian Hansen & Yuan Liao & Yinchu Zhu, 2019. "Inference for heterogeneous effects using low-rank estimations," CeMMAP working papers CWP31/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Holger Dette & Weichi Wu, 2020. "Prediction in locally stationary time series," Papers 2001.00419, arXiv.org, revised Jan 2020.
• Antonios Antypas & Guglielmo Maria Caporale & Nikolaos Kourogenis & Nikitas Pittis, 2019. "Estimation of Conditional Asset Pricing Models with Integrated Variables in the Beta Specification," CESifo Working Paper Series 7969, CESifo.
• Anand Deo & Sandeep Juneja, 2019. "Credit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator," Papers 1912.12611, arXiv.org.
• Negera Deresa & Ingrid Van Keilegom, 2019. "Flexible parametric model for survival data subject to dependent censoring," Working Papers of Department of Decision Sciences and Information Management, Leuven 632067, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
• Jean-Pierre Florens & Léopold Simar & Ingrid Van Keilegom, 2018. "Estimation of the boundary of a variable observed with symmetric error," Working Papers of Department of Decision Sciences and Information Management, Leuven 630770, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
• Azeem M. Shaikh, 2019. "Inference in Experiments with Matched Pairs," CeMMAP working papers CWP19/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Dennis Kristensen & Patrick K. Mogensen & Jong-Myun Moon & Bertel Schjerning, 2019. "Solving dynamic discrete choice models using smoothing and sieve methods," CeMMAP working papers CWP15/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Buil-Gil, David & Solymosi, Reka & Moretti, Angelo, 2019. "Non-parametric bootstrap and small area estimation to mitigate bias in crowdsourced data. Simulation study and application to perceived safety," SocArXiv 8hgjt, Center for Open Science.
• Jiahe Lin & George Michailidis, 2019. "Approximate Factor Models with Strongly Correlated Idiosyncratic Errors," Papers 1912.04123, arXiv.org.
• Mathur, Maya B & VanderWeele, Tyler, 2018. "New metrics for multiple testing with correlated outcomes," OSF Preprints k9g3b, Center for Open Science.
• Fries, Sébastien, 2018. "Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds," MPRA Paper 97353, University Library of Munich, Germany, revised Nov 2019.
• Semenova, Daria & Temirkaeva, Maria, 2019. "The Comparison of Methods for IndividualTreatment Effect Detection," MPRA Paper 97309, University Library of Munich, Germany, revised 23 Sep 2019.
• Mathur, Maya B & VanderWeele, Tyler, 2018. "New metrics for meta-analyses of heterogeneous effects," OSF Preprints v37j6, Center for Open Science.
• Bo E. Honoré & Thomas Jorgensen & Áureo de Paula, 2019. "Sensitivity of Estimation Precision to Moments with an Application to a Model of Joint Retirement Planning of Couples," CeMMAP working papers CWP36/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• van Erp, Sara & Oberski, Daniel L. & Mulder, Joris, 2018. "Shrinkage priors for Bayesian penalized regression," OSF Preprints cg8fq, Center for Open Science.
• Nguyen, Loc PhD, MD, MBA, 2018. "A Maximum Likelihood Mixture Approach for Multivariate Hypothesis Testing in case of Incomplete Data," OSF Preprints kmg3r, Center for Open Science.
• Manuel Arellano & Stephane Bonhomme, 2019. "Recovering Latent Variables by Matching," Papers 1912.13081, arXiv.org.
• Yingyao Hu & Yi Xin, 2019. "Identi?cation and estimation of dynamic structural models with unobserved choices," CeMMAP working papers CWP35/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Gergely Ganics & Florens Odendahl, 2019. "Bayesian VAR forecasts, survey information and structural change in the euro area," Working Papers 1948, Banco de España.
• Antonia Reinecke & Hans-Jörg Schmerer, 2019. "Estimating the Local Effectiveness of Institutions: A Latent-Variable Approach," CESifo Working Paper Series 7979, CESifo.
• Arthur Lewbel & Lars Nesheim, 2019. "Sparse demand systems: corners and complements," CeMMAP working papers CWP45/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Wayne Yuan Gao & Ming Li & Sheng Xu, 2020. "Logical Differencing in Dyadic Network Formation Models with Nontransferable Utilities," Papers 2001.00691, arXiv.org, revised Jul 2021.
• Mert Demirer & Vasilis Syrgkanis & Greg Lewis & Victor Chernozhukov, 2019. "Semi-Parametric Efficient Policy Learning with Continuous Actions," CeMMAP working papers CWP34/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Benjamin Colling & Ingrid Van Keilegom, 2018. "Estimation of a semiparametric transformation model: a novel approach based on least squares minimization," Working Papers of Department of Decision Sciences and Information Management, Leuven 630751, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
• Gergely Ganics & Barbara Rossi & Tatevik Sekhposyan, 2019. "From fixed-event to fixed-horizon density forecasts: obtaining measures of multi-horizon uncertainty from survey density forecasts," Working Papers 1947, Banco de España.
• Anneleen Verhasselt & Alvaro J Flórez & Ingrid Van Keilegom & Geert Molenberghs, 2019. "The impact of incomplete data on quantile regression for longitudinal data," Working Papers of Department of Decision Sciences and Information Management, Leuven 632541, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
• Mkael Escobar & Ingrid Van Keilegom, 2018. "Non-parametric cure rate estimation under insufficient follow-up using extremes," Working Papers of Department of Decision Sciences and Information Management, Leuven 630759, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
• Hohsuk Noh & Ingrid Van Keilegom, 2019. "On relaxing the distributional assumption of stochastic frontier models," Working Papers of Department of Decision Sciences and Information Management, Leuven 632085, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
• Justin Chown & Cédric Heuchenne & Ingrid Van Keilegom, 2018. "The nonparametric location-scale mixture cure model," Working Papers of Department of Decision Sciences and Information Management, Leuven 630665, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
• Alisa Yusupova & Nicos G. Pavlidis & Efthymios G. Pavlidis, 2019. "Adaptive Dynamic Model Averaging with an Application to House Price Forecasting," Papers 1912.04661, arXiv.org.
• Irène Gijbels & Ingrid Van Keilegom & Yue Zhao, 2018. "Inference for covariate-adjusted semiparametric Gaussian copula model using residual ranks," Working Papers of Department of Decision Sciences and Information Management, Leuven 630763, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
• Mickaël De Backer & Anouar El Ghouch & Ingrid Van Keilegom, 2018. "Linear censored quantile regression: a novel minimum-distance approach," Working Papers of Department of Decision Sciences and Information Management, Leuven 630769, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
• Jianfei Cao & Shirley Lu, 2019. "Synthetic Control Inference for Staggered Adoption: Estimating the Dynamic Effects of Board Gender Diversity Policies," Papers 1912.06320, arXiv.org.
• Francesca Molinari, 2019. "Econometrics with Partial Identification," CeMMAP working papers CWP25/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Valentin Patilea & Ingrid Van Keilegom, 2019. "A general approach for cure models in survival analysis," Working Papers of Department of Decision Sciences and Information Management, Leuven 632076, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
• Candida Geerdens & Paul Janssen & Ingrid Van Keilegom, 2018. "Goodness-of-fit test for a parametric survival function with cure fraction," Working Papers of Department of Decision Sciences and Information Management, Leuven 630753, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.