Report NEP-ECM-2020-07-20

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:

• Fu Ouyang & Thomas Tao Yang, 2020. "Semiparametric Discrete Choice Models for Bundles," Discussion Papers Series 625, School of Economics, University of Queensland, Australia.
• Sentana, Enrique & Amengual, Dante & Bei, Xinyue, 2020. "Hypothesis tests with a repeatedly singular information matrix," CEPR Discussion Papers 14415, C.E.P.R. Discussion Papers.
• Nishanth Dikkala & Greg Lewis & Lester Mackey & Vasilis Syrgkanis, 2020. "Minimax Estimation of Conditional Moment Models," Papers 2006.07201, arXiv.org.
• Qingliang Fan & Yaqian Wu, 2020. "Endogenous Treatment Effect Estimation with some Invalid and Irrelevant Instruments," Papers 2006.14998, arXiv.org.
• Panos Toulis, 2020. "Estimation of Covid-19 Prevalence from Serology Tests: A Partial Identification Approach," Papers 2006.16214, arXiv.org.
• Yong Bao & Xiaotian Liu & Aman Ullah, 2020. "On the Exact Statistical Distribution of Econometric Estimators and Test Statistics," Working Papers 202014, University of California at Riverside, Department of Economics, revised Jun 2020.
• Tae-Hwy Lee & Millie Yi Mao & Aman Ullah, 2020. "Estimation of High-Dimensional Dynamic Conditional Precision Matrices with an Application to Forecast Combination," Working Papers 202012, University of California at Riverside, Department of Economics.
• Haozhe Zhang & Yehua Li, 2020. "Unified Principal Component Analysis for Sparse and Dense Functional Data under Spatial Dependency," Papers 2006.13489, arXiv.org, revised Jun 2021.
• Veronika Czellar & David T. Frazier & Eric Renault, 2020. "Approximate Maximum Likelihood for Complex Structural Models," Papers 2006.10245, arXiv.org.
• Georges Bresson & Anoop Chaturvedi & Mohammad Arshad Rahman & Shalabh, 2020. "Seemingly Unrelated Regression with Measurement Error: Estimation via Markov chain Monte Carlo and Mean Field Variational Bayes Approximation," Papers 2006.07074, arXiv.org.
• Aknouche, Abdelhakim & Almohaimeed, Bader & Dimitrakopoulos, Stefanos, 2020. "Periodic autoregressive conditional duration," MPRA Paper 101696, University Library of Munich, Germany, revised 08 Jul 2020.
• Jason Hartford & Victor Veitch & Dhanya Sridhar & Kevin Leyton-Brown, 2020. "Valid Causal Inference with (Some) Invalid Instruments," Papers 2006.11386, arXiv.org.
• Le-Yu Chen & Sokbae Lee, 2020. "Sparse Quantile Regression," Papers 2006.11201, arXiv.org, revised Mar 2023.
• Brantly Callaway & Sonia Karami, 2020. "Treatment Effects in Interactive Fixed Effects Models with a Small Number of Time Periods," Papers 2006.15780, arXiv.org, revised Feb 2022.
• Jing Zhou & Gerda Claeskens & Jelena Bradic, 2020. "Detangling robustness in high dimensions: composite versus model-averaged estimation," Papers 2006.07457, arXiv.org.
• Helmut Lütkepohl & Thore Schlaak, 2020. "Heteroskedastic Proxy Vector Autoregressions," Discussion Papers of DIW Berlin 1876, DIW Berlin, German Institute for Economic Research.
• Ali Mehrabani & Aman Ullah, 2020. "Improved Average Estimation in Seemingly Unrelated Regressions," Working Papers 202013, University of California at Riverside, Department of Economics, revised Jun 2020.
• Anish Agarwal & Devavrat Shah & Dennis Shen, 2020. "Synthetic Interventions," Papers 2006.07691, arXiv.org, revised Aug 2024.
• Sokbae Lee & Serena Ng, 2020. "Least Squares Estimation Using Sketched Data with Heteroskedastic Errors," Papers 2007.07781, arXiv.org, revised Jun 2022.
• David T. Frazier, 2020. "Robust and Efficient Approximate Bayesian Computation: A Minimum Distance Approach," Papers 2006.14126, arXiv.org.
• Hugh Christensen & Simon Godsill & Richard E Turner, 2020. "Hidden Markov Models Applied To Intraday Momentum Trading With Side Information," Papers 2006.08307, arXiv.org.
• Wei Wang & Huifu Xu & Tiejun Ma, 2020. "Quantitative Statistical Robustness for Tail-Dependent Law Invariant Risk Measures," Papers 2006.15491, arXiv.org.
• Candelaria, Luis E., 2020. "A Semiparametric Network Formation Model with Unobserved Linear Heterogeneity," The Warwick Economics Research Paper Series (TWERPS) 1279, University of Warwick, Department of Economics.
• David Kohns & Tibor Szendrei, 2020. "Horseshoe Prior Bayesian Quantile Regression," Papers 2006.07655, arXiv.org, revised Mar 2021.
• Anna Bykhovskaya & Vadim Gorin, 2020. "Cointegration in large VARs," Papers 2006.14179, arXiv.org, revised Dec 2021.
• Schiraldi, Pasquale & Levy, Matthew R., 2020. "Identification of intertemporal preferences in history-dependent dynamic discrete choice models," CEPR Discussion Papers 14447, C.E.P.R. Discussion Papers.
• Susan Athey & Raj Chetty & Guido Imbens, 2020. "Combining Experimental and Observational Data to Estimate Treatment Effects on Long Term Outcomes," Papers 2006.09676, arXiv.org.
• Niko Hauzenberger, 2020. "Flexible Mixture Priors for Large Time-varying Parameter Models," Papers 2006.10088, arXiv.org, revised Nov 2020.
• Martin Bladt & Alexander J. McNeil, 2020. "Time series copula models using d-vines and v-transforms," Papers 2006.11088, arXiv.org, revised Jul 2021.
• Adeola Oyenubi & Martin Wittenberg, 2020. "Does the choice of balance-measure matter under Genetic Matching?," Working Papers 819, Economic Research Southern Africa.
• Tatiana Komarova & Denis Nekipelov, 2020. "Identification and Formal Privacy Guarantees," Papers 2006.14732, arXiv.org, revised May 2021.
• Jacob Boudoukh & Ronen Israel & Matthew P. Richardson, 2020. "Biases in Long-Horizon Predictive Regressions," NBER Working Papers 27410, National Bureau of Economic Research, Inc.
• Cem Cakmakli & Yasin Simsek, 2021. "Bridging the COVID-19 Data and the Epidemiological Model using Time Varying Parameter SIRD Model," Koç University-TUSIAD Economic Research Forum Working Papers 2013, Koc University-TUSIAD Economic Research Forum.
• Karanasos, Menelaos & Paraskevopoulos,Alexandros & Canepa, Alessandra, 2020. "Unified Theory for the Large Family of Time Varying Models with Arma Representations: One Solution Fits All," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202008, University of Turin.
• Matteo Iacopini & Francesco Ravazzolo & Luca Rossini, 2020. "Proper scoring rules for evaluating asymmetry in density forecasting," Papers 2006.11265, arXiv.org, revised Sep 2020.