Report NEP-ECM-2020-12-07

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:

• Morten Ørregaard Nielsen & Antoine L. Noël, 2020. "To infinity and beyond: Efficient computation of ARCH(1) models," CREATES Research Papers 2020-13, Department of Economics and Business Economics, Aarhus University.
• Liu, Xiaobin & Shi, Shuping & Yu, Jun, 2020. "Persistent and Rough Volatility," Economics and Statistics Working Papers 23-2020, Singapore Management University, School of Economics.
• Beyhum, Jad & Florens, Jean-Pierre & Van Keilegom, Ingrid, 2020. "Nonparametric Instrumental Regression with Right Censored Duration Outcomes," TSE Working Papers 20-1164, Toulouse School of Economics (TSE).
• L. Bauwens & E. Otranto, 2020. "Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models," Working Paper CRENoS 202007, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
• Florian Stark & Sven Otto, 2020. "Testing and Dating Structural Changes in Copula-based Dependence Measures," Papers 2011.05036, arXiv.org.
• Yuanhua Feng & Jan Beran & Sebastian Letmathe & Sucharita Ghosh, 2020. "Fractionally integrated Log-GARCH with application to value at risk and expected shortfall," Working Papers CIE 137, Paderborn University, CIE Center for International Economics.
• Tymon S{l}oczy'nski, 2020. "When Should We (Not) Interpret Linear IV Estimands as LATE?," Papers 2011.06695, arXiv.org, revised Oct 2024.
• Stefano, Roberta di & Mellace, Giovanni, 2020. "The inclusive synthetic control method," Discussion Papers on Economics 14/2020, University of Southern Denmark, Department of Economics.
• Davide Viviano & Jess Rudder, 2020. "Policy design in experiments with unknown interference," Papers 2011.08174, arXiv.org, revised May 2024.
• Francis J. DiTraglia & Camilo Garcia-Jimeno, 2020. "Identifying the effect of a mis-classified, binary, endogenous regressor," Papers 2011.07272, arXiv.org.
• Stefanelli, Alberto & Lukac, Martin, 2020. "Subjects, Trials, and Levels: Statistical Power in Conjoint Experiments," SocArXiv spkcy, Center for Open Science.
• David Kohns & Arnab Bhattacharjee, 2019. "Interpreting Big Data in the Macro Economy: A Bayesian Mixed Frequency Estimator," CEERP Working Paper Series 010, Centre for Energy Economics Research and Policy, Heriot-Watt University.
• Ding, Y., 2020. "Diffusion Limits of Real-Time GARCH," Cambridge Working Papers in Economics 20112, Faculty of Economics, University of Cambridge.
• Aleksey Oshchepkov & Anna Shirokanova, 2020. "Multilevel Modeling For Economists: Why, When And How," HSE Working papers WP BRP 233/EC/2020, National Research University Higher School of Economics.
• Pesaran, M. H. & Yang, C. F., 2020. "Matching Theory and Evidence on Covid-19 using a Stochastic Network SIR Model," Cambridge Working Papers in Economics 20102, Faculty of Economics, University of Cambridge.
• Young, Alwyn, 2019. "Channeling Fisher: randomization tests and the statistical insignificance of seemingly significant experimental results," LSE Research Online Documents on Economics 101401, London School of Economics and Political Science, LSE Library.
• Miguel de Carvalho & Manuele Leonelli & Alex Rossi, 2020. "Tracking change-points in multivariate extremes," Papers 2011.05067, arXiv.org.
• Matthew Cefalu & Brian G. Vegetabile & Michael Dworsky & Christine Eibner & Federico Girosi, 2020. "Reducing bias in difference-in-differences models using entropy balancing," Papers 2011.04826, arXiv.org.
• Gabriel Lang & Eric Marcon & Florence Puech, 2020. "Distance-based measures of spatial concentration: Introducing a relative density function," Post-Print hal-01082178, HAL.