Report NEP-ECM-2022-04-25

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:

• Christian Francq & Baye Matar Kandji & Jean-Michel Zakoian, 2022. "Inference on Multiplicative Component GARCH without any Small-Order Moment," Working Papers 2022-09, Center for Research in Economics and Statistics.
• Lin, Yingqian & Tu, Yundong & Yao, Qiwei, 2020. "Estimation for double-nonlinear cointegration," LSE Research Online Documents on Economics 103830, London School of Economics and Political Science, LSE Library.
• Rutger van der Spek & Alexis Derumigny, 2022. "Fast estimation of Kendall's Tau and conditional Kendall's Tau matrices under structural assumptions," Papers 2204.03285, arXiv.org, revised Dec 2024.
• Gao, Z. & Pesaran, M. H., 2022. "Identification and Estimation of Categorical Random Coeficient Models," Cambridge Working Papers in Economics 2228, Faculty of Economics, University of Cambridge.
• Daniel J. Lewis & Karel Mertens, 2022. "Dynamic Identification Using System Projections on Instrumental Variables," Working Papers 2204, Federal Reserve Bank of Dallas, revised 03 Jul 2024.
• Yunyun Wang & Tatsushi Oka & Dan Zhu, 2022. "Bivariate Distribution Regression with Application to Insurance Data," Papers 2203.12228, arXiv.org, revised Sep 2023.
• Jiti Gao & Bin Peng & Yayi Yan, 2022. "Nonparametric Estimation and Testing for Time-Varying VAR Models," Monash Econometrics and Business Statistics Working Papers 3/22, Monash University, Department of Econometrics and Business Statistics.
• Jaume Vives-i-Bastida, 2022. "Predictor Selection for Synthetic Controls," Papers 2203.11576, arXiv.org, revised Dec 2022.
• Deepankar Basu, 2022. "Bounds for Bias-Adjusted Treatment Effect in Linear Econometric Models," Papers 2203.12431, arXiv.org.
• Tzougas, George & di Cerchiara, Alice Pignatelli, 2021. "Bivariate mixed Poisson regression models with varying dispersion," LSE Research Online Documents on Economics 114327, London School of Economics and Political Science, LSE Library.
• Andreas Ferrara & Joung Yeob Ha & Randall Walsh, 2022. "Using Digitized Newspapers to Refine Historical Measures: The Case of the Boll Weevil," NBER Working Papers 29808, National Bureau of Economic Research, Inc.
• Rubens Morita & Zacharias Psaradakis & Martín Sola & Patricio Yunis, 2022. "On Testing for Bubbles During Hyperinflations," Department of Economics Working Papers 2022_02, Universidad Torcuato Di Tella.
• Johannes Huber, 2022. "An Augmented Steady-State Kalman Filter to Evaluate the Likelihood of Linear and Time-Invariant State-Space Models," Discussion Paper Series 343, Universitaet Augsburg, Institute for Economics.
• James J. Heckman & Rodrigo Pinto, 2022. "Causality and Econometrics," NBER Working Papers 29787, National Bureau of Economic Research, Inc.
• Pötscher, Benedikt M. & Preinerstorfer, David, 2022. "A Modern Gauss-Markov Theorem? Really?," MPRA Paper 112185, University Library of Munich, Germany.
• Martin Lettau, 2022. "High-Dimensional Factor Models with an Application to Mutual Fund Characteristics," NBER Working Papers 29833, National Bureau of Economic Research, Inc.
• Alessandro Casini, 2022. "Comment on Andrews (1991) “Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation”," CEIS Research Paper 536, Tor Vergata University, CEIS, revised 02 Apr 2022.
• Arora, Nikita & Quaife, Matthew & Hanson, Kara & Lagarde, Mylène & Woldesenbet, Dorka & Seifu, Abiy & Crastes dit Sourd, Romain, 2022. "Discrete choice analysis of health worker job preferences in Ethiopia: separating attribute non-attendance from taste heterogeneity," LSE Research Online Documents on Economics 113529, London School of Economics and Political Science, LSE Library.
• Barend Abeln & Jan P.A.M. Jacobs & Machiel Mulder, 2022. "Seasonal adjustment of daily data with CAMPLET," CIRANO Working Papers 2022s-06, CIRANO.