Report NEP-ECM-2021-03-01

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:

• Wang, Wenjie, 2021. "Wild Bootstrap for Instrumental Variables Regression with Weak Instruments and Few Clusters," MPRA Paper 106227, University Library of Munich, Germany.
• Magne Mogstad & Alexander Torgovitsky & Christopher R. Walters, 2020. "Policy Evaluation with Multiple Instrumental Variables," Working Papers 2020-99, Becker Friedman Institute for Research In Economics.
• Yoonseok Lee & Donggyu Sul, 2021. "Trimmed Mean Group Estimation," Center for Policy Research Working Papers 237, Center for Policy Research, Maxwell School, Syracuse University.
• Ruoyao Shi, 2021. "An Averaging Estimator for Two Step M Estimation in Semiparametric Models," Working Papers 202105, University of California at Riverside, Department of Economics.
• Fischer, Manfred M. & Hauzenberger, Niko & Huber, Florian & Pfarrhofer, Michael, 2022. "General Bayesian time-varying parameter VARs for modeling government bond yields," Working Papers in Regional Science 2021/01, WU Vienna University of Economics and Business.
• Jianqing Fan & Ricardo Masini & Marcelo C. Medeiros, 2021. "Bridging factor and sparse models," Papers 2102.11341, arXiv.org, revised Sep 2022.
• Amaresh K Tiwari, 2021. "A Control Function Approach to Estimate Panel Data Binary Response Model," Papers 2102.12927, arXiv.org, revised Sep 2021.
• Takaki Sato & Yasumasa Matsuda, 2021. "Spatial Extension of Mixed Analysis of Variance Models," DSSR Discussion Papers 120, Graduate School of Economics and Management, Tohoku University.
• Jiangtao Duan & Jushan Bai & Xu Han, 2021. "Quasi-maximum likelihood estimation of break point in high-dimensional factor models," Papers 2102.12666, arXiv.org, revised Mar 2021.
• Alfred Galichon & Marc Henry, 2021. "Inference in Incomplete Models," Papers 2102.12257, arXiv.org.
• Kohtaro Hitomi & Masamune Iwasawa & Yoshihiko Nishiyama, 2021. "Optimal Minimax Rates of Specification Testing with Data-driven Bandwidth," KIER Working Papers 1053, Kyoto University, Institute of Economic Research.
• Chen, Yunxiao & Ying, Zhiliang & Zhang, Haoran, 2021. "Unfolding-model-based visualization: theory, method and applications," LSE Research Online Documents on Economics 108876, London School of Economics and Political Science, LSE Library.
• Michael Gilraine & Jiaying Gu & Robert McMillan, 2021. "A Nonparametric Method for Estimating Teacher Value-Added," Working Papers tecipa-689, University of Toronto, Department of Economics.
• Tobias Hartl, 2021. "Monitoring the pandemic: A fractional filter for the COVID-19 contact rate," Papers 2102.10067, arXiv.org.
• Müller, Henrik & Hornig, Nico & Rieger, Jonas, 2021. ""For the times they are a-changin": Gauging Uncertainty Perception over Time," DoCMA Working Papers 3, TU Dortmund University, Dortmund Center for Data-based Media Analysis (DoCMA).
• Charles F Manski & Michael Gmeiner & Anat Tamburc, 2021. "Misguided Use of Observed Covariates to Impute Missing Covariates in Conditional Prediction: A Shrinkage Problem," Papers 2102.11334, arXiv.org.
• Yoonseok Lee & Donggyu Sul, 2021. "Depth-Weighted Forecast Combination: Application to COVID-19 Cases," Center for Policy Research Working Papers 238, Center for Policy Research, Maxwell School, Syracuse University.
• Tengyuan Liang, 2020. "How Well Generative Adversarial Networks Learn Distributions," Working Papers 2020-154, Becker Friedman Institute for Research In Economics.
• Moehring, Katja, 2021. "The fixed effects approach as an alternative to multilevel analysis for cross-national analyses," SocArXiv 3xw7v, Center for Open Science.
• Zacharias Psaradakis & Marian Vavra, 2020. "On Using Triples to Assess Symmetry Under Weak Dependence," Working and Discussion Papers WP 7/2020, Research Department, National Bank of Slovakia.
• Tengyuan Liang & Pragya Sur, 2020. "A Precise High-Dimensional Asymptotic Theory for Boosting and Minimum-L1-Norm Interpolated Classifiers," Working Papers 2020-152, Becker Friedman Institute for Research In Economics.
• Alain Hecq & Marie Ternes & Ines Wilms, 2021. "Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions," Papers 2102.11780, arXiv.org, revised Mar 2022.
• Xiuqin Xu & Ying Chen, 2021. "Deep Stochastic Volatility Model," Papers 2102.12658, arXiv.org.
• Ding, Y., 2021. "Augmented Real-Time GARCH: A Joint Model for Returns, Volatility and Volatility of Volatility," Cambridge Working Papers in Economics 2112, Faculty of Economics, University of Cambridge.
• Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2021. "Addressing COVID-19 Outliers in BVARs with Stochastic Volatility," Working Papers 21-02R, Federal Reserve Bank of Cleveland, revised 09 Aug 2021.