Report NEP-ECM-2020-10-19

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:

• Fryzlewicz, Piotr, 2020. "Detecting possibly frequent change-points: Wild Binary Segmentation 2 and steepest-drop model selection—rejoinder," LSE Research Online Documents on Economics 106681, London School of Economics and Political Science, LSE Library.
• Andreas Hagemann, 2020. "Inference with a single treated cluster," Papers 2010.04076, arXiv.org.
• Bartalotti, Otávio & Kedagni, Desire & Possebom, Vitor, 2019. "Identifying Marginal Treatment Effects in the Presence of Sample Selection," ISU General Staff Papers 201909150700001080, Iowa State University, Department of Economics.
• Anthoulla Phella, 2020. "Consistent Specification Test of the Quantile Autoregression," Papers 2010.03898, arXiv.org, revised Jan 2024.
• Julien Royer, 2020. "Conditional asymmetry in ARCH($\infty$) models," Working Papers 2020-21, Center for Research in Economics and Statistics.
• Lukas Boer & Helmut Lütkepohl, 2020. "A Simple Instrument for Proxy Vector Autoregressive Analysis," Discussion Papers of DIW Berlin 1905, DIW Berlin, German Institute for Economic Research.
• Christoph Breunig & Stephan Martin, 2020. "Nonclassical Measurement Error in the Outcome Variable," Papers 2009.12665, arXiv.org, revised May 2021.
• Chen, Yining, 2020. "Jump or kink: note on super-efficiency in segmented linear regression break-point estimation," LSE Research Online Documents on Economics 103488, London School of Economics and Political Science, LSE Library.
• Matias D. Cattaneo & Michael Jansson & Xinwei Ma, 2020. "Local Regression Distribution Estimators," Papers 2009.14367, arXiv.org, revised Jan 2021.
• Kedagni, Desire, 2019. "Identification of Treatment Effects with Mismeasured Imperfect Instruments," ISU General Staff Papers 201906030700001073, Iowa State University, Department of Economics.
• Masahiro Kato & Shota Yasui & Kenichiro McAlinn, 2020. "The Adaptive Doubly Robust Estimator for Policy Evaluation in Adaptive Experiments and a Paradox Concerning Logging Policy," Papers 2010.03792, arXiv.org, revised Jun 2021.
• Nadja Klein & Michael Stanley Smith & David J. Nott, 2020. "Deep Distributional Time Series Models and the Probabilistic Forecasting of Intraday Electricity Prices," Papers 2010.01844, arXiv.org, revised May 2021.
• Item repec:cte:wsrepe:30899 is not listed on IDEAS anymore

• Sukjin Han & Shenshen Yang, 2020. "A Computational Approach to Identification of Treatment Effects for Policy Evaluation," Papers 2009.13861, arXiv.org, revised Aug 2023.
• David M. Kaplan, 2020. "Interpreting Unconditional Quantile Regression with Conditional Independence," Papers 2010.03606, arXiv.org, revised Oct 2021.
• Yayi Yan & Jiti Gao & Bin Peng, 2020. "A Class of Time-Varying Vector Moving Average Models: Nonparametric Kernel Estimation and Application," Papers 2010.01492, arXiv.org.
• Del Bono, Emilia & Kinsler, Josh & Pavan, Ronni, 2020. "A Note on the Importance of Normalizations in Dynamic Latent Factor Models of Skill Formation," IZA Discussion Papers 13714, Institute of Labor Economics (IZA).
• Kedagni, Desire & Mourifié, Ismael, 2020. "Generalized instrumental inequalities: testing the instrumental variable independence assumption," ISU General Staff Papers 202002290800001697, Iowa State University, Department of Economics.
• Akanksha Negi & Jeffrey M. Wooldridge, 2020. "Robust and Efficient Estimation of Potential Outcome Means under Random Assignment," Papers 2010.01800, arXiv.org, revised Aug 2024.
• Chuheng Zhang & Yuanqi Li & Xi Chen & Yifei Jin & Pingzhong Tang & Jian Li, 2020. "DoubleEnsemble: A New Ensemble Method Based on Sample Reweighting and Feature Selection for Financial Data Analysis," Papers 2010.01265, arXiv.org, revised Jan 2021.
• Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Working Papers hal-02946146, HAL.
• Tullio Mancini & Hector Calvo-Pardo & Jose Olmo, 2020. "Prediction intervals for Deep Neural Networks," Papers 2010.04044, arXiv.org, revised May 2021.
• Hirschauer, Norbert & Gruener, Sven & Mußhoff, Oliver & Becker, Claudia, 2020. "A primer on p-value thresholds and α-levels – two different kettles of fish," SocArXiv d46m2, Center for Open Science.
• Marco Avellaneda & Juan Andr'es Serur, 2020. "Hierarchical PCA and Modeling Asset Correlations," Papers 2010.04140, arXiv.org.
• Soichiro Yamauchi, 2020. "Difference-in-Differences for Ordinal Outcomes: Application to the Effect of Mass Shootings on Attitudes toward Gun Control," Papers 2009.13404, arXiv.org.