Report NEP-ECM-2020-10-26

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:

• Luidas Giraitis & George Kapetanios & Massimiliano Marcellino, 2020. "Time-Varying Instrumental Variable Estimation," Working Papers 911, Queen Mary University of London, School of Economics and Finance.
• Qiang Liu & Zhi Liu & Chuanhai Zhang, 2020. "Heteroscedasticity test of high-frequency data with jumps and microstructure noise," Papers 2010.07659, arXiv.org.
• Timo Dimitriadis & Xiaochun Liu & Julie Schnaitmann, 2020. "Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary," Papers 2009.07341, arXiv.org.
• Karlsson, Sune & Mazur, Stepan & Muhinyuza, Stanislas, 2020. "Statistical Inference for the Tangency Portfolio in High Dimension," Working Papers 2020:10, Örebro University, School of Business.
• Laurent Davezies & Xavier D'Haultfoeuille & Martin Mugnier, 2020. "Fixed Effects Binary Choice Models with Three or More Periods," Papers 2009.08108, arXiv.org, revised Sep 2022.
• Dean Eckles & Nikolaos Ignatiadis & Stefan Wager & Han Wu, 2020. "Noise-Induced Randomization in Regression Discontinuity Designs," Papers 2004.09458, arXiv.org, revised Nov 2023.
• Zheng Fang & Andres Santos & Azeem M. Shaikh & Alexander Torgovitsky, 2020. "Inference for Large-Scale Linear Systems with Known Coefficients," Papers 2009.08568, arXiv.org, revised Sep 2021.
• Bas Werker & Bo Zhou, 2020. "Semiparametric Testing with Highly Persistent Predictors," Papers 2009.08291, arXiv.org.
• Cem Cakmakli & Hamza Demircan, 2020. "Using Survey Information for Improving the Density Nowcasting of US GDP with a Focus on Predictive Performance during Covid-19 Pandemic," Koç University-TUSIAD Economic Research Forum Working Papers 2016, Koc University-TUSIAD Economic Research Forum.
• Ban, Kyunghoon & Kedagni, Desire, 2020. "Nonparametric Bounds on Treatment Effects with Imperfect Instruments," ISU General Staff Papers 202010120700001113, Iowa State University, Department of Economics.
• Dimitrakopoulos, Stefanos & Tsionas, Mike G. & Aknouche, Abdelhakim, 2020. "Ordinal-response models for irregularly spaced transactions: A forecasting exercise," MPRA Paper 103250, University Library of Munich, Germany, revised 01 Oct 2020.
• Jianqing Fan & Kunpeng Li & Yuan Liao, 2020. "Recent Developments on Factor Models and its Applications in Econometric Learning," Papers 2009.10103, arXiv.org.
• Zongwu Cai & Chaoqun Ma & Xianhua Mi, 2020. "Realized Volatility Forecasting Based on Dynamic Quantile Model Averaging," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202016, University of Kansas, Department of Economics, revised Sep 2020.
• Kedagni, Desire & Li, Lixiong & Mourifie, Ismael, 2018. "Bounding Average Returns to Schooling using Unconditional Moment Restrictions," ISU General Staff Papers 201812290800001086, Iowa State University, Department of Economics.
• Badi H. Baltagi & Sophia Ding & Peter H. Egger, 2020. "A Panel Data Model with Generalized Higher-Order Network Effects," Center for Policy Research Working Papers 233, Center for Policy Research, Maxwell School, Syracuse University.
• Javed, Farrukh & Loperfido, Nicola & Mazur, Stepan, 2020. "Edgeworth Expansions for Multivariate Random Sums," Working Papers 2020:9, Örebro University, School of Business.
• Klaus Wälde, 2020. "How to remove the testing bias in CoV-2 statistics," Working Papers 2021, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz.
• Jesus Otero & Theodore Panagiotidis & Georgios Papapanagiotou, 2020. "Multivariate cointegration and temporal aggregation: some further simulation results," Discussion Paper Series 2020_05, Department of Economics, University of Macedonia, revised Oct 2020.
• Baranowski, Rafal & Chen, Yining & Fryzlewicz, Piotr, 2020. "Ranking-based variable selection for high-dimensional data," LSE Research Online Documents on Economics 90233, London School of Economics and Political Science, LSE Library.
• Bernd Funovits, 2020. "Comment on Gouri\'eroux, Monfort, Renne (2019): Identification and Estimation in Non-Fundamental Structural VARMA Models," Papers 2010.02711, arXiv.org.
• Yayi Yan & Jiti Gao & Bin peng, 2020. "A Class of Time-Varying Vector Moving Average (infinity) Models," Monash Econometrics and Business Statistics Working Papers 39/20, Monash University, Department of Econometrics and Business Statistics.
• Haroon Mumtaz, 2020. "A Generalised Stochastic Volatility in Mean VAR. An Updated Algorithm," Working Papers 908, Queen Mary University of London, School of Economics and Finance.
• Lina Zhang, 2020. "Spillovers of Program Benefits with Missing Network Links," Papers 2009.09614, arXiv.org, revised Aug 2024.
• Hugo Kruiniger, 2020. "Further results on the estimation of dynamic panel logit models with fixed effects," Papers 2010.03382, arXiv.org, revised Feb 2023.
• Federico A. Bugni & Jackson Bunting & Takuya Ura, 2020. "Testing homogeneity in dynamic discrete games in finite samples," Papers 2010.02297, arXiv.org, revised Aug 2024.
• Gomez-Ruano, Gerardo, 2020. "Data Science: A Primer for Economists," MPRA Paper 102928, University Library of Munich, Germany.
• Moyu Liao, 2020. "Identification and Estimation of A Rational Inattention Discrete Choice Model with Bayesian Persuasion," Papers 2009.08045, arXiv.org.
• Takuya Ishihara & Masayuki Sawada, 2020. "Manipulation-Robust Regression Discontinuity Designs," Papers 2009.07551, arXiv.org, revised Sep 2024.
• Martin Mugnier, 2020. "On the Existence of Conditional Maximum Likelihood Estimates of the Binary Logit Model with Fixed Effects," Papers 2009.09998, arXiv.org, revised Sep 2020.
• Dennis Guignet & Christoper Moore & Haoluan Wang, 2020. "Hot Spots, Cold Feet, and Warm Glow: Identifying Spatial Heterogeneity in Willingness to Pay," NCEE Working Paper Series 202001, National Center for Environmental Economics, U.S. Environmental Protection Agency.