Report NEP-ECM-2020-05-18

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:

• Martin Emil Jakobsen & Jonas Peters, 2020. "Distributional robustness of K-class estimators and the PULSE," Papers 2005.03353, arXiv.org, revised Mar 2022.
• Tobias Hartl & Rolf Tschernig & Enzo Weber, 2020. "Fractional trends in unobserved components models," Papers 2005.03988, arXiv.org, revised May 2020.
• Jiaming Mao & Zhesheng Zheng, 2020. "Structural Regularization," Papers 2004.12601, arXiv.org, revised Jun 2020.
• Samuele Centorrino & Mar'ia P'erez-Urdiales, 2020. "Maximum Likelihood Estimation of Stochastic Frontier Models with Endogeneity," Papers 2004.12369, arXiv.org, revised Mar 2021.
• Blazsek, Szabolcs & Licht, Adrian, 2020. "Dynamic stochastic general equilibrium inference using a score-driven approach," UC3M Working papers. Economics 30347, Universidad Carlos III de Madrid. Departamento de Economía.
• Anna Mikusheva & Liyang Sun, 2020. "Inference with Many Weak Instruments," Papers 2004.12445, arXiv.org, revised Oct 2021.
• Danilo Leiva-Leon & Luis Uzeda, 2020. "Endogenous Time Variation in Vector Autoregressions," Staff Working Papers 20-16, Bank of Canada.
• Samuel Brien & Michael Jansson & Morten Ørregaard Nielsen, 2022. "Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order," Working Paper 1429, Economics Department, Queen's University.
• Sium Bodha Hannadige & Jiti Gao & Mervyn J. Silvapulle & Param Silvapulle, 2020. "Forecasting a Nonstationary Time Series with a Mixture of Stationary and Nonstationary Factors as Predictors," Monash Econometrics and Business Statistics Working Papers 19/20, Monash University, Department of Econometrics and Business Statistics.
• Blazsek, Szabolcs & Licht, Adrian, 2020. "Nonlinear common trends for the global crude oil market: Markov-switching score-driven models of the multivariate t-distribution," UC3M Working papers. Economics 30346, Universidad Carlos III de Madrid. Departamento de Economía.
• Niko Hauzenberger & Florian Huber & Gary Koop, 2020. "Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods," Papers 2005.03906, arXiv.org, revised May 2023.
• Thomas H. Jørgensen, 2021. "Sensitivity to Calibrated Parameters," CEBI working paper series 20-14, University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI).
• Adam McCloskey & Pascal Michaillat, 2020. "Critical Values Robust to P-hacking," Papers 2005.04141, arXiv.org, revised Dec 2023.
• Guanyu Hu & Yishu Xue & Zhihua Ma, 2020. "Bayesian Clustered Coefficients Regression with Auxiliary Covariates Assistant Random Effects," Papers 2004.12022, arXiv.org, revised Aug 2021.
• Slichter, David, 2020. "Smile: A Simple Diagnostic for Selection on Observables," MPRA Paper 99921, University Library of Munich, Germany.
• Shalva Mkhatrishvili & Douglas Laxton & Davit Tutberidze & Tamta Sopromadze & Saba Metreveli & Lasha Arevadze & Tamar Mdivnishvili & Giorgi Tsutskiridze, 2019. "Solving non-linear dynamic models (more) efficiently: application to a simple monetary policy model," NBG Working Papers 01/2019, National Bank of Georgia.
• Benedikt M. Potscher & David Preinerstorfer, 2020. "How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?," Papers 2005.04089, arXiv.org, revised Nov 2021.
• Franses, Ph.H.B.F., 2020. "An introduction to time-varying lag autoregression," Econometric Institute Research Papers EI2020-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Laura Forastiere & Davide Del Prete & Valerio Leone Sciabolazza, 2020. "Causal Inference on Networks under Continuous Treatment Interference," Papers 2004.13459, arXiv.org, revised Jun 2023.
• Candelaria, Luis E. & Ura, Takuya, 2020. "Identification and Inference of Network Formation Games with Misclassified Links," The Warwick Economics Research Paper Series (TWERPS) 1258, University of Warwick, Department of Economics.
• Nieto Delfin, Maria Rosa, 2020. "Direct versus iterated multi-period Value at Risk," DES - Working Papers. Statistics and Econometrics. WS 30349, Universidad Carlos III de Madrid. Departamento de Estadística.