Report NEP-ECM-2020-02-10

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.

Other reports in NEP-ECM

The following items were announced in this report:

• Haitian Xie, 2020. "Efficient and Robust Estimation of the Generalized LATE Model," Papers 2001.06746, arXiv.org, revised Feb 2022.
• Jungbin Hwang & Gonzalo Valdés, 2020. "Low Frequency Cointegrating Regression in the Presence of Local to Unity Regressors and Unknown Form of Serial Dependence," Working papers 2020-03, University of Connecticut, Department of Economics, revised Aug 2020.
• Jungbin Hwang & Gonzalo Valdés, 2020. "Finite-sample Corrected Inference for Two-step GMM in Time Series," Working papers 2020-02, University of Connecticut, Department of Economics.
• Paolo Gorgi & Siem Jan Koopman, 2020. "Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects," Tinbergen Institute Discussion Papers 20-004/III, Tinbergen Institute.
• Arjun Seshadri & Johan Ugander, 2020. "Fundamental Limits of Testing the Independence of Irrelevant Alternatives in Discrete Choice," Papers 2001.07042, arXiv.org.
• Tadao Hoshino & Takahide Yanagi, 2020. "Estimating Marginal Treatment Effects under Unobserved Group Heterogeneity," Papers 2001.09560, arXiv.org, revised May 2022.
• Georges Bresson & Guy Lacroix & Mohammad Arshad Rahman, 2020. "Bayesian Panel Quantile Regression for Binary Outcomes with Correlated Random Effects: An Application on Crime Recidivism in Canada," Papers 2001.09295, arXiv.org.
• Karsten Schweikert, 2020. "Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions," Papers 2001.07949, arXiv.org, revised Apr 2021.
• Emmanuelle Jay & Thibault Soler & Eugénie Terreaux & Jean-Philippe Ovarlez & Frédéric Pascal & Philippe de Peretti & Christophe Chorro, 2019. "Improving portfolios global performance using a cleaned and robust covariance matrix estimate," Post-Print halshs-02354596, HAL.
• Patrick Gagliardini & Hao Ma, 2019. "Extracting Statistical Factors When Betas are Time-Varying," Swiss Finance Institute Research Paper Series 19-65, Swiss Finance Institute.
• Marco Bee & Julien Hambuckers, 2020. "Modeling multivariate operational losses via copula-based distributions with g-and-h marginals," DEM Working Papers 2020/3, Department of Economics and Management.
• Chainarong Amornbunchornvej & Elena Zheleva & Tanya Berger-Wolf, 2020. "Variable-lag Granger Causality and Transfer Entropy for Time Series Analysis," Papers 2002.00208, arXiv.org, revised Jun 2020.
• Emmanuelle Jay & Thibault Soler & Jean-Philippe Ovarlez & Philippe de Peretti & Christophe Chorro, 2019. "Robust covariance matrix estimation and portfolio allocation: the case of non-homogeneous assets," Post-Print halshs-02372443, HAL.
• Yafei Han & Francisco Camara Pereira & Moshe Ben-Akiva & Christopher Zegras, 2020. "A Neural-embedded Choice Model: TasteNet-MNL Modeling Taste Heterogeneity with Flexibility and Interpretability," Papers 2002.00922, arXiv.org, revised Jul 2022.
• Michael Bates & Seolah Kim, 2019. "Per-Cluster Instrumental Variables Estimation: Uncovering the Price Elasticity of the Demand for Gasoline," Working Papers 202003, University of California at Riverside, Department of Economics.
• Isaiah Andrews & Matthew Gentzkow & Jesse M. Shapiro, 2020. "Transparency in Structural Research," NBER Working Papers 26631, National Bureau of Economic Research, Inc.
• Zhengkun Li & Minh-Ngoc Tran & Chao Wang & Richard Gerlach & Junbin Gao, 2020. "A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting," Papers 2001.08374, arXiv.org, revised May 2021.
• Mehmet Caner & Marcelo Medeiros & Gabriel Vasconcelos, 2020. "Sharpe Ratio Analysis in High Dimensions: Residual-Based Nodewise Regression in Factor Models," Papers 2002.01800, arXiv.org, revised Feb 2022.
• Tarek Azzam & Michael Bates & David Fairris, 2019. "Do Learning Communities Increase First Year College Retention? Testing Sample Selection and External Validity of Randomized Control Trials," Working Papers 202002, University of California at Riverside, Department of Economics.
• Sebastien Valeyre, 2020. "Refined model of the covariance/correlation matrix between securities," Papers 2001.08911, arXiv.org.