Report NEP-ECM-2020-09-14

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:

• Jun Ma & Zhengfei Yu, 2020. "Empirical Likelihood Covariate Adjustment for Regression Discontinuity Designs," Papers 2008.09263, arXiv.org, revised May 2024.
• Vira Semenova, 2020. "Generalized Lee Bounds," Papers 2008.12720, arXiv.org, revised Feb 2023.
• Abhimanyu Gupta, 2020. "Efficient closed-form estimation of large spatial autoregressions," Papers 2008.12395, arXiv.org, revised May 2021.
• Alexander Chudik & M. Hashem Pesaran & Mahrad Sharifvaghefi, 2020. "Variable Selection in High Dimensional Linear Regressions with Parameter Instability," Globalization Institute Working Papers 394, Federal Reserve Bank of Dallas, revised 05 Aug 2024.
• Rami V. Tabri & Christopher D. Walker, 2020. "Inference for Moment Inequalities: A Constrained Moment Selection Procedure," Papers 2008.09021, arXiv.org, revised Aug 2020.
• Hartwig, Benny, 2020. "Robust inference intime-varying structural VAR models: The DC-Cholesky multivariate stochasticvolatility model," Discussion Papers 34/2020, Deutsche Bundesbank.
• Simon Hetland, 2020. "Spectral Targeting Estimation of $\lambda$-GARCH models," Papers 2007.02588, arXiv.org.
• Maria Guadarrama & Domingo Morales & Isabel Molina, 2020. "Time stable small area estimates of general parameters under a unit-level model," LISER Working Paper Series 2020-10, Luxembourg Institute of Socio-Economic Research (LISER).
• Haitian Xie, 2020. "Finite-Sample Average Bid Auction," Papers 2008.10217, arXiv.org, revised Feb 2022.
• Leonard Goff, 2020. "A Vector Monotonicity Assumption for Multiple Instruments," Papers 2009.00553, arXiv.org, revised Mar 2024.
• Rutger Jan Lange, 2020. "Bellman filtering for state-space models," Tinbergen Institute Discussion Papers 20-052/III, Tinbergen Institute, revised 19 May 2021.
• Anand Deo & Karthyek Murthy, 2020. "Optimizing tail risks using an importance sampling based extrapolation for heavy-tailed objectives," Papers 2008.09818, arXiv.org.
• Karol Kielak & Robert Ślepaczuk, 2020. "Value-at-risk — the comparison of state-of-the-art models on various assets," Working Papers 2020-28, Faculty of Economic Sciences, University of Warsaw.
• Savi Virolainen, 2020. "Structural Gaussian mixture vector autoregressive model with application to the asymmetric effects of monetary policy shocks," Papers 2007.04713, arXiv.org, revised Oct 2022.
• Cl'ement de Chaisemartin & Xavier D'Haultf{oe}uille, 2020. "Difference-in-Differences Estimators of Intertemporal Treatment Effects," Papers 2007.04267, arXiv.org, revised Dec 2024.
• Farkas, Mátyás & Tatar, Balint, 2020. "Bayesian estimation of DSGE models with Hamiltonian Monte Carlo," IMFS Working Paper Series 144, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
• Martin Ravallion, 2020. "Should the Randomistas (Continue to) Rule?," NBER Working Papers 27554, National Bureau of Economic Research, Inc.
• del Barrio Castro, Tomás & Cubada, Ginaluca & Osborn, Denise R., 2020. "On cointegration for processes integrated at different frequencies," MPRA Paper 102611, University Library of Munich, Germany.
• Florian Huber & Gary Koop & Luca Onorante & Michael Pfarrhofer & Josef Schreiner, 2020. "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs," Papers 2008.12706, arXiv.org, revised Dec 2020.
• Patrick Chang, 2020. "Fourier instantaneous estimators and the Epps effect," Papers 2007.03453, arXiv.org, revised Sep 2020.
• Isaiah Andrews & Anna Mikusheva, 2020. "Optimal Decision Rules for Weak GMM," Papers 2007.04050, arXiv.org, revised Jul 2021.
• Philippe Goulet Coulombe, 2020. "Time-Varying Parameters as Ridge Regressions," Papers 2009.00401, arXiv.org, revised Nov 2024.
• Francis X. Diebold, 2020. ""Big Data" and its Origins," Papers 2008.05835, arXiv.org, revised Jan 2021.