Report NEP-ECM-2020-11-30

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:

• Marc Hallin & Davide La Vecchia & Hang Liu, 2020. "Rank-Based Testing for Semiparametric VAR Models: a measure transportation approach," Working Papers ECARES 2020-47, ULB -- Universite Libre de Bruxelles.
• Richard Spady & Sami Stouli, 2020. "Gaussian Transforms Modeling and the Estimation of Distributional Regression Functions," Papers 2011.06416, arXiv.org.
• Lijuan Huo & Jin Seo Cho, 2020. "Sequentially Estimating Approximate Conditional Mean Using the Extreme Learning Machine," Working papers 2020rwp-180, Yonsei University, Yonsei Economics Research Institute.
• David T. Frazier & Eric Renault & Lina Zhang & Xueyan Zhao, 2020. "Weak Identification in Discrete Choice Models," Papers 2011.06753, arXiv.org, revised Jan 2021.
• Minsu Chang & Francis J. DiTraglia, 2020. "A Generalized Focused Information Criterion for GMM," Papers 2011.07085, arXiv.org.
• Luca Nocciola, "undated". "Finite sample forecast properties and window length under breaks in cointegrated systems," Discussion Papers 19/07, University of Nottingham, Granger Centre for Time Series Econometrics.
• Jiafeng Chen & Daniel L. Chen & Greg Lewis, 2020. "Mostly Harmless Machine Learning: Learning Optimal Instruments in Linear IV Models," Papers 2011.06158, arXiv.org, revised Jun 2021.
• Thomas-Agnan, Christine & Laurent, Thibault & Ruiz-Gazen, Anne, 2020. "Covariates impacts in spatial autoregressive models for compositional data," TSE Working Papers 20-1162, Toulouse School of Economics (TSE), revised Oct 2021.
• Gusarov, N. & Talebijmalabad, A. & Joly, I., 2020. "Exploration of model performances in the presence of heterogeneous preferences and random effects utilities awareness," Working Papers 2020-12, Grenoble Applied Economics Laboratory (GAEL).
• Robert F. Engle & Susana Campos-Martins, 2020. "Measuring and Hedging Geopolitical Risk," NIPE Working Papers 08/2020, NIPE - Universidade do Minho.
• Yuta Yamauchi & Yasuhiro Omori, 2020. "Dynamic Factor, Leverage and Realized Covariances in Multivariate Stochastic Volatility," CIRJE F-Series CIRJE-F-1158, CIRJE, Faculty of Economics, University of Tokyo.
• Einmahl, John & He, Y., 2020. "Unified Extreme Value Estimation for Heterogeneous Data," Discussion Paper 2020-025, Tilburg University, Center for Economic Research.
• Francis J. DiTraglia & Camilo Garcia-Jimeno & Rossa O'Keeffe-O'Donovan & Alejandro Sanchez-Becerra, 2020. "Identifying Causal Effects in Experiments with Spillovers and Non-compliance," Papers 2011.07051, arXiv.org, revised Jan 2023.