Report NEP-ECM-2020-10-05

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:

• Anoek Castelein & Dennis Fok & Richard Paap, 2020. "Heterogeneous variable selection in nonlinear panel data models: A semiparametric Bayesian approach," Tinbergen Institute Discussion Papers 20-061/III, Tinbergen Institute.
• Cui, Guowei & Norkute, Milda & Sarafidis, Vasilis & Yamagata, Takashi, 2020. "Two-Stage Instrumental Variable Estimation of Linear Panel Data Models with Interactive Effects," MPRA Paper 102827, University Library of Munich, Germany.
• Alfelt, Gustav & Mazur, Stepan, 2020. "On the mean and variance of the estimated tangency portfolio weights for small samples," Working Papers 2020:8, Örebro University, School of Business.
• Alexander Klein & Guy Tchuente, 2020. "Spatial Differencing for Sample Selection Models with Unobserved Heterogeneity," Papers 2009.06570, arXiv.org.
• Martin,William J., 2020. "Making Gravity Great Again," Policy Research Working Paper Series 9391, The World Bank.
• Harold D. Chiang & Kengo Kato & Yuya Sasaki, 2020. "Inference for high-dimensional exchangeable arrays," Papers 2009.05150, arXiv.org, revised Jul 2021.
• Kumbhakar, Subal C. & Peresetsky, Anatoly & Shchetynin, Yevgenii & Zaytsev, Alexey, 2020. "Technical efficiency and inefficiency: Reassurance of standard SFA models and a misspecification problem," MPRA Paper 102797, University Library of Munich, Germany.
• Rico Krueger & Michel Bierlaire & Thomas Gasos & Prateek Bansal, 2020. "Robust discrete choice models with t-distributed kernel errors," Papers 2009.06383, arXiv.org, revised Dec 2022.
• del Barrio Castro, Tomás & Rachinger, Heiko, 2020. "Aggregation of Seasonal Long-Memory Processes," MPRA Paper 102890, University Library of Munich, Germany.
• Carolina Caetano & Gregorio Caetano & Eric R. Nielsen, 2020. "Correcting for Endogeneity in Models with Bunching," Finance and Economics Discussion Series 2020-080, Board of Governors of the Federal Reserve System (U.S.).
• Sayar Karmakar & Arkaprava Roy, 2020. "Bayesian modelling of time-varying conditional heteroscedasticity," Papers 2009.06007, arXiv.org, revised Mar 2021.
• Kirill Borusyak & Peter Hull, 2020. "Non-Random Exposure to Exogenous Shocks: Theory and Applications," NBER Working Papers 27845, National Bureau of Economic Research, Inc.
• Yanqin Fan & Marc Henry, 2020. "Vector copulas," Papers 2009.06558, arXiv.org, revised Apr 2021.
• Marc-Aurèle Divernois, 2020. "A Deep Learning Approach to Estimate Forward Default Intensities," Swiss Finance Institute Research Paper Series 20-79, Swiss Finance Institute.
• KAINOU Kazunari, 2020. "Development of new treatment/causal effect evaluation methodology with synthetic control group Difference In Difference where stable unit treatment value assumption (SUTVA) may not hold (Japanese)," Discussion Papers (Japanese) 20035, Research Institute of Economy, Trade and Industry (RIETI).
• Damjana Kokol Bukovv{s}ek & Tomav{z} Kov{s}ir & Blav{z} Mojv{s}kerc & Matjav{z} Omladiv{c}, 2020. "Spearman's footrule and Gini's gamma: Local bounds for bivariate copulas and the exact region with respect to Blomqvist's beta," Papers 2009.06221, arXiv.org, revised Jan 2021.
• Alejandro Puerta & Andr'es Ram'irez-Hassan, 2020. "Inferring hidden potentials in analytical regions: uncovering crime suspect communities in Medell\'in," Papers 2009.05360, arXiv.org.
• Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2020. "No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates," Working Papers 20-27, Federal Reserve Bank of Cleveland.
• Peng Ding, 2020. "The Frisch--Waugh--Lovell Theorem for Standard Errors," Papers 2009.06621, arXiv.org.