Report NEP-ECM-2020-03-30

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:

• Tanaka, Katsuto & Xiao, Weilin & Yu, Jun, 2020. "Local Powers of Least-Squares-Based Test for Panel Fractional Ornstein-Uhlenbeck Process," Economics and Statistics Working Papers 6-2020, Singapore Management University, School of Economics.
• Dimitris Korobilis, 2020. "Sign restrictions in high-dimensional vector autoregressions," Working Paper series 20-09, Rimini Centre for Economic Analysis.
• Doko Tchatoka, Firmin & Wang, Wenjie, 2020. "Uniform Inference after Pretesting for Exogeneity," MPRA Paper 99243, University Library of Munich, Germany.
• Kamil Makie{l}a & B{l}a.zej Mazur, 2020. "Stochastic Frontier Analysis with Generalized Errors: inference, model comparison and averaging," Papers 2003.07150, arXiv.org, revised Oct 2020.
• Sven Otto, 2020. "Unit Root Testing with Slowly Varying Trends," Papers 2003.04066, arXiv.org, revised Aug 2020.
• Adrian Pagan & Tim Robinson, 2020. "Too many shocks spoil the interpretation," CAMA Working Papers 2020-28, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Christian Bongiorno & Damien Challet, 2020. "Covariance matrix filtering with bootstrapped hierarchies," Papers 2003.05807, arXiv.org.
• Thomas Stringham, 2020. "Fast Bayesian Record Linkage With Record-Specific Disagreement Parameters," Papers 2003.04238, arXiv.org, revised Mar 2021.
• Alexander J. McNeil, 2020. "Modelling volatile time series with v-transforms and copulas," Papers 2002.10135, arXiv.org, revised Jan 2021.
• Lutz Kilian & Xiaoqing Zhou, 2020. "The Econometrics of Oil Market VAR Models," Working Papers 2006, Federal Reserve Bank of Dallas.
• Item repec:hal:wpaper:hal-02506848 is not listed on IDEAS anymore

• Stanislav Anatolyev & Mikkel S{o}lvsten, 2020. "Testing Many Restrictions Under Heteroskedasticity," Papers 2003.07320, arXiv.org, revised Jan 2023.
• Lucchetti, Riccardo & Venetis, Ioannis A., 2020. "A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012)," Economics Discussion Papers 2020-5, Kiel Institute for the World Economy (IfW Kiel).
• Patrick Chang & Etienne Pienaar & Tim Gebbie, 2020. "Malliavin-Mancino estimators implemented with non-uniform fast Fourier transforms," Papers 2003.02842, arXiv.org, revised Nov 2020.
• W. Robert Reed, 2020. "A Note on the Use of Partial Correlation Coefficients in Meta-Analyses," Working Papers in Economics 20/08, University of Canterbury, Department of Economics and Finance.
• Liu,Jinjing, 2019. "A New Tail-Based Correlation Measure and Its Application in Global Equity Markets," Policy Research Working Paper Series 8709, The World Bank.
• Taurai Muvunza, 2020. "An $\alpha$-Stable Approach to Modelling Highly Speculative Assets and Cryptocurrencies," Papers 2002.09881, arXiv.org, revised Jul 2023.
• Roth, Markus, 2020. "Partial pooling with cross-country priors: An application to house price shocks," Discussion Papers 06/2020, Deutsche Bundesbank.
• Magnolfi, Lorenzo & Roncoroni, Camilla, 2020. "Estimation of Discrete Games with Weak Assumptions on Information," The Warwick Economics Research Paper Series (TWERPS) 1247, University of Warwick, Department of Economics.