Report NEP-ECM-2020-02-24

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:

• Benjamin Poignard & Manabu Asaiz, 2020. "A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models," Discussion Papers in Economics and Business 20-02, Osaka University, Graduate School of Economics.
• Bonsoo Koo & Davide La Vecchia & Oliver Linton, 2020. "Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information," Monash Econometrics and Business Statistics Working Papers 4/20, Monash University, Department of Econometrics and Business Statistics.
• Edvard Bakhitov, 2020. "Frequentist Shrinkage under Inequality Constraints," Papers 2001.10586, arXiv.org.
• Zongwu Cai & Seong Yeon Chang, 2018. "A New Test In A Predictive Regression with Structural Breaks," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201811, University of Kansas, Department of Economics, revised Dec 2018.
• Arturas Juodis & Vasilis Sarafidis, 2020. "A Linear Estimator for FactorAugmented Fixed-T Panels with Endogenous Regressors," Monash Econometrics and Business Statistics Working Papers 5/20, Monash University, Department of Econometrics and Business Statistics.
• Matteo Pelagatti & Giacomo Sbrana, 2020. "Estimating high dimensional multivariate stochastic volatility models," Working Papers 428, University of Milano-Bicocca, Department of Economics, revised Jan 2020.
• Morten Ørregaard Nielsen & Antoine L. Noël, 2020. "To infinity and beyond: Efficient computation of ARCH(\infty) models," Working Paper 1425, Economics Department, Queen's University.
• Huber, Martin & Wüthrich, Kaspar, 2019. "Local Average and Quantile Treatment Effects Under Endogeneity: A Review," University of California at San Diego, Economics Working Paper Series qt4j29d8sc, Department of Economics, UC San Diego.
• Zongwu Cai & Haiqiang Chen & Xiaosai Liao, 2020. "A New Robust Inference for Predictive Quantile Regression," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202002, University of Kansas, Department of Economics, revised Feb 2020.
• Marleen Marra, 2024. "Estimating and Auction Platform Game with Two-Sided Entry," SciencePo Working papers hal-03393068, HAL.
• Masahiro Kato & Takuya Ishihara & Junya Honda & Yusuke Narita, 2020. "Efficient Adaptive Experimental Design for Average Treatment Effect Estimation," Papers 2002.05308, arXiv.org, revised Oct 2021.
• Geoffroy de Clippel & Kareen Rozen, 2020. "Bounded Rationality and Limited Datasets," Working Papers 2020-08, Brown University, Department of Economics.
• Nassim Nicholas Taleb, 2020. "Statistical Consequences of Fat Tails: Real World Preasymptotics, Epistemology, and Applications," Papers 2001.10488, arXiv.org, revised Nov 2022.
• André Lucas & Julia Schaumburg & Bernd Schwaab, 2020. "Dynamic clustering of multivariate panel data," Tinbergen Institute Discussion Papers 20-009/III, Tinbergen Institute.
• Vasilis Sarafidis & Tom Wansbeek, 2020. "Celebrating 40 Years of Panel Data Analysis: Past, Present and Future," Monash Econometrics and Business Statistics Working Papers 6/20, Monash University, Department of Econometrics and Business Statistics.
• Verme, Paolo, 2020. "Which Model for Poverty Predictions?," GLO Discussion Paper Series 468, Global Labor Organization (GLO).
• Yang Lu, 2019. "Flexible (panel) regression models for bivariate count-continuous data with an insurance application," Post-Print hal-02419024, HAL.