Report NEP-ECM-2020-06-08

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, or Bluesky.

Other reports in NEP-ECM

The following items were announced in this report:

• Baltagi, Badi H. & Bresson, Georges & Chaturvedi, Anoop & Lacroix, Guy, 2020. "Robust Dynamic Panel Data Models Using e-Contamination," IZA Discussion Papers 13214, Institute of Labor Economics (IZA).
• Jiang, Liang & Liu, Xiaobin & Zhang, Yichong, 2020. "Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs," Economics and Statistics Working Papers 15-2020, Singapore Management University, School of Economics.
• Sucarrat, Genaro, 2018. "The Log-GARCH Model via ARMA Representations," MPRA Paper 100386, University Library of Munich, Germany.
• Sergi Jiménez-Martín & José M. Labeaga & Majid al Sadoon, 2020. "Consistent estimation of panel data sample selection models," Working Papers 2020-06, FEDEA.
• Tong Fang & Tae-Hwy Lee & Zhi Su, 2020. "Predicting the Long-term Stock Market Volatility: A GARCH-MIDAS Model with Variable Selection," Working Papers 202009, University of California at Riverside, Department of Economics.
• Llorente Fernández, Fernando & Martino, Luca, 2020. "Adaptive quadrature schemes for Bayesian inference via active learning," DES - Working Papers. Statistics and Econometrics. WS 30537, Universidad Carlos III de Madrid. Departamento de Estadística.
• Giuseppe Storti & Chao Wang, 2020. "Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles," Papers 2005.04868, arXiv.org, revised Mar 2021.
• Alexander Wehrli & Spencer Wheatley & Didier Sornette, 2020. "Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes," Swiss Finance Institute Research Paper Series 20-39, Swiss Finance Institute.
• Steven E. Pav, 2020. "Inference on Achieved Signal Noise Ratio," Papers 2005.06171, arXiv.org, revised May 2020.
• Laurent Ferrara & Anna Simoni, 2020. "When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage," EconomiX Working Papers 2020-11, University of Paris Nanterre, EconomiX.
• Fakih, Ali & Makdissi, Paul & Marrouch, Walid & Tabri, Rami V. & Yazbeck, Myra, 2020. "A stochastic dominance test under survey nonresponse with an application to comparing trust levels in Lebanese public institutions," Working Papers 2020-05, University of Sydney, School of Economics, revised Jun 2021.
• Harvey, David I & Leybourne, Stephen J & Sollis, Robert & Taylor, AM Robert, 2020. "Real-Time Detection of Regimes of Predictability in the U.S. Equity Premium," Essex Finance Centre Working Papers 27775, University of Essex, Essex Business School.
• Paulo M.M. Rodrigues & João Nicolau, 2020. "Measuring wage inequality under right censoring," Working Papers w202008, Banco de Portugal, Economics and Research Department.