Report NEP-ECM-2021-05-31

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.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-ECM

The following items were announced in this report:

• Alyssa Carlson & Riju Joshi, 2021. "Sample Selection in Linear Panel Data Models with Heterogeneous Coefficients," Working Papers 2103, Department of Economics, University of Missouri.
• Giuseppe Cavaliere & Indeewara Perera & Anders Rahbek, 2021. "Specification tests for GARCH processes," Discussion Papers 21-06, University of Copenhagen. Department of Economics.
• Arulampalam, Wiji & Corradi, Valentina & Gutknecht, Daniel, 2021. "Intercept Estimation in Nonlinear Selection Models," IZA Discussion Papers 14364, Institute of Labor Economics (IZA).
• Jinyong Hahn & Zhipeng Liao & Geert Ridder & Ruoyao Shi, 2021. "The Influence Function of Semiparametric Two-step Estimators with Estimated Control Variables," Working Papers 202107, University of California at Riverside, Department of Economics.
• Laura Liu & Alexandre Poirier & Ji-Liang Shiu, 2021. "Identification and Estimation of Partial Effects in Nonlinear Semiparametric Panel Models," Papers 2105.12891, arXiv.org, revised Jul 2024.
• Jiang, Peiyun & Kurozumi, Eiji, 2021. "A new test for common breaks in heterogeneous panel data models," Discussion paper series HIAS-E-107, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
• Canepa, Alessandra, 2021. "Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202108, University of Turin.
• Martin Bruns & Helmut Luetkepohl, 2021. "Comparison of Local Projection Estimators for Proxy Vector Autoregressions," University of East Anglia School of Economics Working Paper Series 2021-04, School of Economics, University of East Anglia, Norwich, UK..
• Marina Dias & Demian Pouzo, 2021. "Inference for multi-valued heterogeneous treatment effects when the number of treated units is small," Papers 2105.10965, arXiv.org.
• Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2021. "Vector autoregression models with skewness and heavy tails," Working Papers 2021:8, Örebro University, School of Business.
• Gaillac, Christophe & Gautier, Eric, 2021. "Non Parametric Classes for Identification in Random Coefficients Models when Regressors have Limited Variation," TSE Working Papers 21-1218, Toulouse School of Economics (TSE).
• Eric Auerbach, 2021. "Identification and Estimation of a Partially Linear Regression Model using Network Data: Inference and an Application to Network Peer Effects," Papers 2105.10002, arXiv.org.
• Stauskas, Ovidijus, 2021. "Uniform Theory for CCE under Heterogeneous Slopes and General Unknown Factors," Working Papers 2021:9, Lund University, Department of Economics.
• Rossi, Barbara & Odendahl, Florens & Sekhposyan, Tatevik, 2020. "Comparing Forecast Performance with State Dependence," CEPR Discussion Papers 15217, C.E.P.R. Discussion Papers.
• Borusyak, Kirill & Hull, Peter & Jaravel, Xavier, 2020. "Quasi-Experimental Shift-Share Research Designs," CEPR Discussion Papers 15212, C.E.P.R. Discussion Papers.
• Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Multivariate Hermite polynomials and information matrix tests," Working Paper series 21-12, Rimini Centre for Economic Analysis.
• Yong Shi & Wei Dai & Wen Long & Bo Li, 2021. "Deep Kernel Gaussian Process Based Financial Market Predictions," Papers 2105.12293, arXiv.org.
• Stefan Leknes & Sturla A. Løkken, 2021. "Flexible empirical Bayes estimation of local fertility schedules. reducing small area problems and preserving regional variation," Discussion Papers 953, Statistics Norway, Research Department.
• Thomas von Brasch & Arvid Raknerud, 2021. "A two-stage pooled panel data estimator of demand elasticities," Discussion Papers 951, Statistics Norway, Research Department.
• Chemla, Gilles & Hennessy, Christopher, 2020. "Signaling, Random Assignment, and Causal Effect Estimation," CEPR Discussion Papers 15175, C.E.P.R. Discussion Papers.
• Valencia Caicedo, Felipe, 2020. "Historical Econometrics: Instrumental Variables and Regression Discontinuity Designs," CEPR Discussion Papers 15208, C.E.P.R. Discussion Papers.
• Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2021. "Forecasting with Shadow-Rate VARs," Working Papers 21-09, Federal Reserve Bank of Cleveland.