Report NEP-ECM-2020-09-21

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:

• Jungyoon Lee & Peter C.B. Phillips & Francesca Rossi, 2020. "Consistent Misspecification Testing in Spatial Autoregressive Models," Cowles Foundation Discussion Papers 2256, Cowles Foundation for Research in Economics, Yale University.
• Zhenting Sun, 2020. "Instrument Validity for Heterogeneous Causal Effects," Papers 2009.01995, arXiv.org, revised Oct 2023.
• Enzo D'Innocenzo & Alessandra Luati & Mario Mazzocchi, 2020. "A Robust Score-Driven Filter for Multivariate Time Series," Papers 2009.01517, arXiv.org, revised Aug 2022.
• Guowei Cui & Milda Norkuté & Vasilis Sarafidis & Takashi Yamagata, 2020. "Two-Stage Instrumental Variable Estimation of Linear Panel Data Models with Interactive Effects," ISER Discussion Paper 1101, Institute of Social and Economic Research, Osaka University.
• Wayne Yuan Gao & Ming Li, 2020. "Robust Semiparametric Estimation in Panel Multinomial Choice Models," Papers 2009.00085, arXiv.org.
• Marius Lux & Wolfgang Karl Hardle & Stefan Lessmann, 2020. "Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid," Papers 2009.06910, arXiv.org.
• Caio Vigo Pereira & Marcio Laurini, 2020. "Portfolio Efficiency Tests with Conditioning Information - Comparing GMM and GEL Estimators," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202014, University of Kansas, Department of Economics, revised Sep 2020.
• Lina Zhang & David T. Frazier & D. S. Poskitt & Xueyan Zhao, 2020. "Decomposing Identification Gains and Evaluating Instrument Identification Power for Partially Identified Average Treatment Effects," Papers 2009.02642, arXiv.org, revised Sep 2022.
• Xiaohong Chen & Sokbae Lee & Myung Hwan Seo & Myunghyun Song, 2020. "Inference for parameters identified by conditional moment restrictions using a generalized Bierens maximum statistic," Papers 2008.11140, arXiv.org, revised Oct 2024.
• Tzougas, George, 2020. "EM estimation for the Poisson-Inverse Gamma regression model with varying dispersion: an application to insurance ratemaking," LSE Research Online Documents on Economics 106539, London School of Economics and Political Science, LSE Library.
• Lutz Kilian, 2020. "Understanding the Estimation of Oil Demand and Oil Supply Elasticities," Working Papers 2027, Federal Reserve Bank of Dallas.
• Yang Ning & Sida Peng & Jing Tao, 2020. "Doubly Robust Semiparametric Difference-in-Differences Estimators with High-Dimensional Data," Papers 2009.03151, arXiv.org.
• Whitney K. Newey & Sami Stouli, 2020. "Heterogeneous Coefficients, Control Variables, and Identification of Multiple Treatment Effects," Papers 2009.02314, arXiv.org, revised Nov 2021.
• Tesary Lin & Sanjog Misra, 2020. "The Identity Fragmentation Bias," Papers 2008.12849, arXiv.org, revised Feb 2021.
• Ian R. White & Ella Marley-Zagar & Tim Morris & Mahesh K. B. Parmar & Abdel G. Babiker, 2020. "Sample size calculation for an ordered categorical outcome," London Stata Conference 2020 08, Stata Users Group.
• Wayne Yuan Gao & Sheng Xu & Kan Xu, 2020. "Two-Stage Maximum Score Estimator," Papers 2009.02854, arXiv.org, revised Sep 2022.
• Yingjie Feng, 2020. "Causal Inference in Possibly Nonlinear Factor Models," Papers 2008.13651, arXiv.org, revised Oct 2021.
• Walter Distaso & Rustam Ibragimov & Alexander Semenov & Anton Skrobotov, 2020. "COVID-19: Tail Risk and Predictive Regressions," Papers 2009.02486, arXiv.org, revised Oct 2021.
• Michelle Marcus & Pedro H. C. Sant'Anna, 2020. "The role of parallel trends in event study settings: An application to environmental economics," Papers 2009.01963, arXiv.org.
• Gianluca Cubadda & Alain Hecq, 2020. "Dimension Reduction for High Dimensional Vector Autoregressive Models," Papers 2009.03361, arXiv.org, revised Feb 2022.
• Steven T. Berry & Giovanni Compiani, 2020. "An Instrumental Variable Approach to Dynamic Models," NBER Working Papers 27756, National Bureau of Economic Research, Inc.
• Yicong Lin & Hanno Reuvers, 2020. "Cointegrating Polynomial Regressions with Power Law Trends: Environmental Kuznets Curve or Omitted Time Effects?," Papers 2009.02262, arXiv.org, revised Dec 2021.
• Rossi, Barbara & Wang, Yiru, 2019. "Vector autoregressive-based Granger causality test in the presence of instabilities," MPRA Paper 101492, University Library of Munich, Germany.
• Ganesh Karapakula & James J. Heckman, 2020. "Using a Satisficing Model of Experimenter Decision-Making to Guide Finite-Sample Inference for Compromised Experiments," NBER Working Papers 27738, National Bureau of Economic Research, Inc.
• Xiaohong Chen & Matthew Gentry & Tong Li & Jingfeng Lu, 2020. "Identification and Inference in First-Price Auctions with Risk Averse Bidders and Selective Entry," Cowles Foundation Discussion Papers 2257, Cowles Foundation for Research in Economics, Yale University.
• Carlo Campajola & Fabrizio Lillo & Piero Mazzarisi & Daniele Tantari, 2020. "On the equivalence between the Kinetic Ising Model and discrete autoregressive processes," Papers 2008.10666, arXiv.org, revised Feb 2021.
• Victor Chernozhukov & Christian Hansen & Kaspar Wuthrich, 2020. "Instrumental Variable Quantile Regression," Papers 2009.00436, arXiv.org.