Report NEP-ECM-2022-04-04

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:

• Giuseppe De Luca & Jan Magnus & Franco Peracchi, 2022. "Asymptotic properties of the weighted average least squares (WALS) estimator," Tinbergen Institute Discussion Papers 22-022/III, Tinbergen Institute.
• Christian Gourieroux & Joann Jasiak, 2022. "Long Run Risk in Stationary Structural Vector Autoregressive Models," Papers 2202.09473, arXiv.org.
• Minkah, Richard & de Wet, Tertius & Ghosh, Abhik, 2022. "Robust Extreme Quantile Estimation for Pareto-Type tails through an Exponential Regression Model," AfricArxiv hf7vk, Center for Open Science.
• Perepolkin, Dmytro & Goodrich, Benjamin & Sahlin, Ullrika, 2021. "Hybrid elicitation and indirect Bayesian inference with quantile-parametrized likelihood," OSF Preprints paby6, Center for Open Science.
• Gery Andr'es D'iaz Rubio & Simone Giannerini & Greta Goracci, 2022. "A multivariate extension of the Misspecification-Resistant Information Criterion," Papers 2202.09225, arXiv.org.
• Taras Bodnar & Nestor Parolya & Erik Thors'en, 2022. "Two is better than one: Regularized shrinkage of large minimum variance portfolio," Papers 2202.06666, arXiv.org.
• Javier Hidalgo & Heejun Lee & Heejun Lee & Jungyoon Lee & Myung Hwan Seo, 2021. "Minimax Risk in Estimating Kink Threshold and Testing," STICERD - Econometrics Paper Series 622, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
• Damir Filipović & Markus Pelger & Ye Ye, 2022. "Stripping the Discount Curve - a Robust Machine Learning Approach," Swiss Finance Institute Research Paper Series 22-24, Swiss Finance Institute.
• Ryan Thompson & Catherine S. Forbes & Steven N. MacEachern & Mario Peruggia, 2022. "Familial Inference," Monash Econometrics and Business Statistics Working Papers 2/22, Monash University, Department of Econometrics and Business Statistics.
• Charles Beach, 2022. "Better Off or More Apart? Empirically Testing Welfare and Inequality Dominance Criteria," Working Paper 1484, Economics Department, Queen's University.
• Shi, Chengchun & Wang, Xiaoyu & Luo, Shikai & Zhu, Hongtu & Ye, Jieping & Song, Rui, 2022. "Dynamic causal effects evaluation in A/B testing with a reinforcement learning framework," LSE Research Online Documents on Economics 113310, London School of Economics and Political Science, LSE Library.
• Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022. "Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates," Working Papers 22-06, Federal Reserve Bank of Cleveland.
• Chao Zhang & Yihuang Zhang & Mihai Cucuringu & Zhongmin Qian, 2022. "Volatility forecasting with machine learning and intraday commonality," Papers 2202.08962, arXiv.org, revised Feb 2023.
• Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino, 2022. "Forecasting US Inflation Using Bayesian Nonparametric Models," Working Papers 22-05, Federal Reserve Bank of Cleveland.
• Eckert, C. & J. Hohberger (Jan) & Franses, Ph.H.B.F., 2022. "Gaussian Copula Regression in the Presence of Thresholds," Econometric Institute Research Papers 2022-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Rendtel, Ulrich & Alho, Juha M., 2022. "On the fade-away of an initial bias in longitudinal surveys," Discussion Papers 2022/4, Free University Berlin, School of Business & Economics.
• César Garcia-Gomez & Ana Pérez & Mercedes Prieto-Alaiz, 2022. "The evolution of poverty in the EU-28: a further look based on multivariate tail dependence," Working Papers 605, ECINEQ, Society for the Study of Economic Inequality.