Report NEP-ECM-2021-11-01

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:

• Dakyung Seong & Won-Ki Seo, 2021. "Functional instrumental variable regression with an application to estimating the impact of immigration on native wages," Papers 2110.12722, arXiv.org, revised Dec 2023.
• Peter C.B. Phillips & Igor Kheifets, 2021. "On Multicointegration," Cowles Foundation Discussion Papers 2306, Cowles Foundation for Research in Economics, Yale University.
• Carolina Caetano & Gregorio Caetano & Hao Fe & Eric R. Nielsen, 2021. "A Dummy Test of Identification in Models with Bunching," Finance and Economics Discussion Series 2021-068, Board of Governors of the Federal Reserve System (U.S.).
• Yanbo Liu & Peter C.B. Phillips, 2021. "Robust Inference with Stochastic Local Unit Root Regressors in Predictive Regressions," Cowles Foundation Discussion Papers 2305, Cowles Foundation for Research in Economics, Yale University.
• Yuya Sasaki & Takuya Ura, 2021. "Slow Movers in Panel Data," Papers 2110.12041, arXiv.org.
• Peter C.B. Phillips, 2021. "Estimation and Inference with Near Unit Roots," Cowles Foundation Discussion Papers 2304, Cowles Foundation for Research in Economics, Yale University.
• Peter C.B. Phillips & Ying Wang, 2021. "Limit Theory for Locally Flat Functional Coefficient Regression," Cowles Foundation Discussion Papers 2307, Cowles Foundation for Research in Economics, Yale University.
• Alessandra Luati & Francesca Papagni & Tommaso Proietti, 2021. "Efficient Nonparametric Estimation of Generalized Autocovariances," CEIS Research Paper 515, Tor Vergata University, CEIS, revised 14 Oct 2021.
• Abhishek K. Umrawal & Joshua C. C. Chan, 2021. "On Parameter Estimation in Unobserved Components Models subject to Linear Inequality Constraints," Papers 2110.12149, arXiv.org, revised Feb 2023.
• Tommaso Proietti & Federico Maddanu, 2021. "Modelling Cycles in Climate Series: the Fractional Sinusoidal Waveform Process," CEIS Research Paper 518, Tor Vergata University, CEIS, revised 19 Oct 2021.
• Peter C.B. Phillips, 2021. "Discrete Fourier Transforms of Fractional Processes with Econometric Applications," Cowles Foundation Discussion Papers 2303, Cowles Foundation for Research in Economics, Yale University.
• Matias D. Cattaneo & Luke Keele & Rocio Titiunik, 2021. "Covariate Adjustment in Regression Discontinuity Designs," Papers 2110.08410, arXiv.org, revised Aug 2022.
• Morgan Kelly, 2021. "Persistence, Randomization, and Spatial Noise," Working Papers 202124, School of Economics, University College Dublin.
• Blanka Horvath & Zacharia Issa & Aitor Muguruza, 2021. "Clustering Market Regimes using the Wasserstein Distance," Papers 2110.11848, arXiv.org.
• Bhattacharya, Rudrani & Bhandari, Bornali & Mundle, Sudipto, 2021. "Nowcasting India's Quarterly GDP Growth: A Factor Augmented Time-Varying Coefficient Regression Model (FA-TVCRM)," Working Papers 21/357, National Institute of Public Finance and Policy.