Report NEP-ECM-2020-11-09

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:

• Pellatt , Daniel & Sun, Yixiao, 2020. "Asymptotic F test in Regressions with Observations Collected at High Frequency over Long Span," University of California at San Diego, Economics Working Paper Series qt19f0d9wz, Department of Economics, UC San Diego.
• Joshua C.C. Chan & Rodney W. Strachan, 2020. "Bayesian state space models in macroeconometrics," CAMA Working Papers 2020-90, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Harold D. Chiang & Bing Yang Tan, 2020. "Empirical likelihood and uniform convergence rates for dyadic kernel density estimation," Papers 2010.08838, arXiv.org, revised May 2022.
• Martínez-Iriarte, Julian & Sun, Yixiao, 2021. "Identification and Estimation of Unconditional Policy Effects of an Endogenous Binary Treatment: an Unconditional MTE Approach," University of California at San Diego, Economics Working Paper Series qt2bc57830, Department of Economics, UC San Diego.
• Bin Chen & Kenwin Maung, 2020. "Time-varying Forecast Combination for High-Dimensional Data," Papers 2010.10435, arXiv.org.
• Zongwu Cai & Xiyuan Liu, 2020. "A Functional-Coefficient VAR Model for Dynamic Quantiles with Constructing Financial Network," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202017, University of Kansas, Department of Economics, revised Oct 2020.
• Zhentao Shi & Liangjun Su & Tian Xie, 2020. "L2-Relaxation: With Applications to Forecast Combination and Portfolio Analysis," Papers 2010.09477, arXiv.org, revised Aug 2022.
• Lam, Clifford, 2020. "High-dimensional covariance matrix estimation," LSE Research Online Documents on Economics 101667, London School of Economics and Political Science, LSE Library.
• Chaojun Li & Yan Liu, 2020. "Asymptotic Properties of the Maximum Likelihood Estimator in Regime-Switching Models with Time-Varying Transition Probabilities," Papers 2010.04930, arXiv.org, revised Dec 2021.
• Jorg Stoye, 2020. "A Simple, Short, but Never-Empty Confidence Interval for Partially Identified Parameters," Papers 2010.10484, arXiv.org, revised Dec 2020.
• Tu, Yundong & Yao, Qiwei & Zhang, Rongmao, 2020. "Error-correction factor models for high-dimensional cointegrated time series," LSE Research Online Documents on Economics 106994, London School of Economics and Political Science, LSE Library.
• Rahul Singh & Liyuan Xu & Arthur Gretton, 2020. "Kernel Methods for Causal Functions: Dose, Heterogeneous, and Incremental Response Curves," Papers 2010.04855, arXiv.org, revised Oct 2022.
• Patrik Guggenberger & Frank Kleibergen & Sophocles Mavroeidis, 2020. "A Test for Kronecker Product Structure Covariance Matrix," Papers 2010.10961, arXiv.org, revised Jan 2022.
• George Z. Gui, 2020. "Combining Observational and Experimental Data to Improve Efficiency Using Imperfect Instruments," Papers 2010.05117, arXiv.org, revised Dec 2023.
• Ollech, Daniel & Webel, Karsten, 2020. "A random forest-based approach to identifying the most informative seasonality tests," Discussion Papers 55/2020, Deutsche Bundesbank.
• Marcin Pitera & Thorsten Schmidt, 2020. "Estimating and backtesting risk under heavy tails," Papers 2010.09937, arXiv.org, revised Jan 2022.
• Obafèmi Philippe Koutchadé & Alain Carpentier & Fabienne Féménia, 2020. "Crop choices in micro-econometric multi-crop models: modelling corners, kinks and jumps," Working Papers SMART 20-09, INRAE UMR SMART.
• Ben Deaner, 2020. "Approximation-Robust Inference in Dynamic Discrete Choice," Papers 2010.11482, arXiv.org.
• Christian Glocker & Serguei Kaniovski, 2020. "Macroeconometric Forecasting Using a Cluster of Dynamic Factor Models," WIFO Working Papers 614, WIFO.
• Jonathan Roth & Pedro H. C. Sant'Anna, 2020. "When Is Parallel Trends Sensitive to Functional Form?," Papers 2010.04814, arXiv.org, revised Sep 2022.
• Annabelle Doerr & Anthony Strittmatter, 2020. "Identifying causal channels of policy reforms with multiple treatments and different types of selection," Papers 2010.05221, arXiv.org.
• Edward S. Knotek & Saeed Zaman, 2020. "Real-Time Density Nowcasts of US Inflation: A Model-Combination Approach," Working Papers 20-31, Federal Reserve Bank of Cleveland.
• Koki Fusejima, 2020. "Identification of multi-valued treatment effects with unobserved heterogeneity," Papers 2010.04385, arXiv.org, revised Apr 2023.
• Kang, Natasha & Marmer, Vadim, 2020. "Modeling Long Cycles," Economics working papers vadim_marmer-2020-3, Vancouver School of Economics, revised 26 Oct 2020.
• Bryan S. Graham, 2020. "Sparse Network Asymptotics for Logistic Regression under Possible Misspecification," NBER Working Papers 27962, National Bureau of Economic Research, Inc.
• David S. Lee & Justin McCrary & Marcelo J. Moreira & Jack Porter, 2020. "Valid t-ratio Inference for IV," Papers 2010.05058, arXiv.org.
• Yucheng Yang & Zhong Zheng & Weinan E, 2020. "Interpretable Neural Networks for Panel Data Analysis in Economics," Papers 2010.05311, arXiv.org, revised Nov 2020.