Report NEP-ECM-2021-12-13

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:

• Dimitris Korobilis & Kenichi Shimizu, 2021. "Bayesian Approaches to Shrinkage and Sparse Estimation," Working Papers 2021_19, Business School - Economics, University of Glasgow.
• Greg Lewis & Bora Ozaltun & Georgios Zervas, 2021. "Maximum Likelihood Estimation of Differentiated Products Demand Systems," Papers 2111.12397, arXiv.org.
• Jin Seo Cho & Meng Huang & Halbert White, 2021. "Testing a Constant Mean Function Using Functional Regression," Working papers 2021rwp-190, Yonsei University, Yonsei Economics Research Institute.
• Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021. "Non-standard errors," Economics Working Papers 1807, Department of Economics and Business, Universitat Pompeu Fabra.
• Vishwajit Hegde & Arvind S. Menon & L. A. Prashanth & Krishna Jagannathan, 2021. "Online Estimation and Optimization of Utility-Based Shortfall Risk," Papers 2111.08805, arXiv.org, revised Nov 2023.
• Bin Peng & Liangjun Su & Joakim Westerlund & Yanrong Yang, 2021. "Interactive Effects Panel Data Models with General Factors and Regressors," Papers 2111.11506, arXiv.org.
• Narayanan, Sridhar & Kalyanam, Kirthi, 2021. "Machine Learning, Behavioral Targeting and Regression Discontinuity Designs," Research Papers 3992, Stanford University, Graduate School of Business.
• Michael J. Bohm & Hans-Martin von Gaudecker, 2021. "The Performance of Recent Methods for Estimating Skill Prices in Panel Data," Papers 2111.12459, arXiv.org.
• Evan K. Rose & Yotam Shem-Tov, 2021. "On Recoding Ordered Treatments as Binary Indicators," Papers 2111.12258, arXiv.org, revised Mar 2024.
• Taras Bodnar & Nestor Parolya & Erik Thors'en, 2021. "Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?," Papers 2111.12532, arXiv.org.
• Chao Zhang & Zihao Zhang & Mihai Cucuringu & Stefan Zohren, 2021. "A Universal End-to-End Approach to Portfolio Optimization via Deep Learning," Papers 2111.09170, arXiv.org.
• Hui Chen & Antoine Didisheim & Simon Scheidegger, 2021. "Deep Structural Estimation:With an Application to Option Pricing," Cahiers de Recherches Economiques du Département d'économie 21.14, Université de Lausanne, Faculté des HEC, Département d’économie.
• Jiarui Chu & Ludovic Tangpi, 2021. "Non-asymptotic estimation of risk measures using stochastic gradient Langevin dynamics," Papers 2111.12248, arXiv.org, revised Feb 2023.
• Heng Z. Chen & Stephen R. Cosslett, 2021. "Semi-nonparametric Estimation of Operational Risk Capital with Extreme Loss Events," Papers 2111.11459, arXiv.org, revised Jul 2022.
• Krishnamurthy, Sanath Kumar & Athey, Susan, 2021. "Optimal Model Selection in Contextual Bandits with Many Classes via Offline Oracles," Research Papers 3971, Stanford University, Graduate School of Business.