Report NEP-ECM-2021-08-09

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:

• Adam Lee & Geert Mesters, 2021. "Robust non-Gaussian inference for linear simultaneous equations models," Economics Working Papers 1792, Department of Economics and Business, Universitat Pompeu Fabra.
• Xiaohong Chen & Timothy M. Christensen & Sid Kankanala, 2021. "Adaptive Estimation and Uniform Confidence Bands for Nonparametric IV," Cowles Foundation Discussion Papers 2292, Cowles Foundation for Research in Economics, Yale University.
• Josep Lluís Carrion-i-Silvestre & María Dolores Gadea, 2021. "“Detecting multiple level shifts in bounded time series”," AQR Working Papers 202106, University of Barcelona, Regional Quantitative Analysis Group, revised Jul 2021.
• Szymon Sacher & Laura Battaglia & Stephen Hansen, 2021. "Hamiltonian Monte Carlo for Regression with High-Dimensional Categorical Data," Papers 2107.08112, arXiv.org, revised Feb 2024.
• Milda Norkute & Joakim Westerlund & Ovidijus Stauskas, 2021. "The Factor Analytical Approach in Trending Near Unit Root Panels," Bank of Lithuania Working Paper Series 91, Bank of Lithuania.
• Seisho Sato & Naoto Kunitomo, 2021. "Backward Smoothing for Noisy Non-stationary Time Series," CARF F-Series CARF-F-517, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• David Kohns & Tibor Szendrei, 2021. "Decoupling Shrinkage and Selection for the Bayesian Quantile Regression," Papers 2107.08498, arXiv.org.
• Silvia De Nicol`o & Maria Rosaria Ferrante & Silvia Pacei, 2021. "Mind the Income Gap: Bias Correction of Inequality Estimators in Small-Sized Samples," Papers 2107.08950, arXiv.org, revised May 2023.
• Jiafeng Chen & David M. Ritzwoller, 2021. "Semiparametric Estimation of Long-Term Treatment Effects," Papers 2107.14405, arXiv.org, revised Aug 2023.
• Jaime Sevilla & Alexandra Mayn, 2021. "A conditional independence test for causality in econometrics," Papers 2107.09765, arXiv.org.
• Jesús Otero & Theodore Panagiotidis & Georgios Papapanagiotou, 2021. "Testing for exuberance in house prices using data sampled at different frequencies," Working Paper series 21-13, Rimini Centre for Economic Analysis.
• Felix Brunner & Ruben Hipp, 2021. "Estimating Large-Dimensional Connectedness Tables: The Great Moderation Through the Lens of Sectoral Spillovers," Staff Working Papers 21-37, Bank of Canada.
• Wen Su, 2021. "Volatility of S&P500: Estimation and Evaluation," Papers 2107.09273, arXiv.org.
• Barkowski, Scott, 2021. "Interpretation of nonlinear difference-in-differences: the role of the parallel trends assumption," MPRA Paper 108975, University Library of Munich, Germany.
• Gadat, Sébastien & Bercu, Bernard & Bigot, Jérémie & Siviero, Emilia, 2021. "A Stochastic Gauss-Newton Algorithm for Regularized Semi-discrete Optimal Transport," TSE Working Papers 21.1231, Toulouse School of Economics (TSE).
• Martin Bruns & Michele Piffer, 2021. "Monetary policy shocks over the business cycle: Extending the Smooth Transition framework," University of East Anglia School of Economics Working Paper Series 2021-07, School of Economics, University of East Anglia, Norwich, UK..
• Filip Premik, 2021. "Evaluating the 500+ child support program in Poland," GRAPE Working Papers 53, GRAPE Group for Research in Applied Economics.
• Cem Cakmakli & Verda Ozturk, 2021. "Economic Value of Modeling the Joint Distribution of Returns and Volatility: Leverage Timing," Koç University-TUSIAD Economic Research Forum Working Papers 2110, Koc University-TUSIAD Economic Research Forum.
• Mathur, Maya B & VanderWeele, Tyler, 2021. "Methods to address confounding and other biases in meta-analyses: Review and recommendations," OSF Preprints v7dtq, Center for Open Science.
• Allan W. Gregory & James McNeil & Gregor W. Smith, 2022. "US Fiscal Policy Shocks: Proxy-SVAR Overidentification via GMM," Working Paper 1461, Economics Department, Queen's University.