Report NEP-ECM-2022-06-27

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:

• Martin Bruns & Helmut Lütkepohl, 2022. "Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies," Discussion Papers of DIW Berlin 2005, DIW Berlin, German Institute for Economic Research.
• Léopold Simar & Valentin Zelenyuk & Shirong Zhao, 2022. "Further Improvements of Finite Sample Approximation of Central Limit Theorems for Envelopment Estimators," CEPA Working Papers Series WP062022, School of Economics, University of Queensland, Australia.
• Zhang, Siliang & Chen, Yunxiao, 2022. "Computation for latent variable model estimation: a unified stochastic proximal framework," LSE Research Online Documents on Economics 114489, London School of Economics and Political Science, LSE Library.
• Jean-Jacques Forneron, 2022. "Estimation and Inference by Stochastic Optimization," Papers 2205.03254, arXiv.org.
• Xavier D'Haultf{oe}uille & Purevdorj Tuvaandorj, 2022. "A Robust Permutation Test for Subvector Inference in Linear Regressions," Papers 2205.06713, arXiv.org, revised Sep 2023.
• Chen, Zezhun & Dassios, Angelos & Tzougas, George, 2022. "EM estimation for the bivariate mixed exponential regression model," LSE Research Online Documents on Economics 115132, London School of Economics and Political Science, LSE Library.
• James G. MacKinnon & Morten {O}rregaard Nielsen & Matthew D. Webb, 2022. "Leverage, Influence, and the Jackknife in Clustered Regression Models: Reliable Inference Using summclust," Papers 2205.03288, arXiv.org, revised Nov 2023.
• Fève, Frédérique & Florens, Jean-Pierre & Simar, Léopold, 2022. "Proportional Incremental Cost Probability Functions and their Frontiers," LIDAM Discussion Papers ISBA 2022016, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Nathan Kallus & Miruna Oprescu, 2022. "Robust and Agnostic Learning of Conditional Distributional Treatment Effects," Papers 2205.11486, arXiv.org, revised Feb 2023.
• Paul Levine & Joseph Pearlman & Alessio Volpicella & Bo Yang, 2022. "The Use and Mis-Use of SVARs for Validating DSGE Models," School of Economics Discussion Papers 0522, School of Economics, University of Surrey.
• Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2022. "We modeled long memory with just one lag!," LIDAM Discussion Papers CORE 2022016, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Fabiana Gomez & David Pacini, 2022. "Spillover Effects in Empirical Corporate Finance: Choosing the Proxy for the Treatment Intensity," Bristol Economics Discussion Papers 22/766, School of Economics, University of Bristol, UK.
• Simon M. S. Lo & Ralf A. Wilke, 2022. "A single risk approach to the semiparametric copula competing risks model," Papers 2205.06087, arXiv.org.
• Erhao Xie, 2022. "Nonparametric Identification of Incomplete Information Discrete Games with Non-equilibrium Behaviors," Staff Working Papers 22-22, Bank of Canada.
• Yasushi Ota & Yu Jiang & Daiki Maki, 2022. "Parameters identification for an inverse problem arising from a binary option using a Bayesian inference approach," Papers 2205.11012, arXiv.org.
• Bhattacharjee, Arnab & Kohns, David, 2022. "Nowcasting Growth using Google Trends Data: A Bayesian Structural Time Series Model," National Institute of Economic and Social Research (NIESR) Discussion Papers 538, National Institute of Economic and Social Research.
• Manudeep Bhuller & Henrik Sigstad, 2022. "2SLS with Multiple Treatments," Papers 2205.07836, arXiv.org, revised May 2024.
• Chaojun Li & Shi Qiu, 2022. "Efficient Score Computation and Expectation-Maximization Algorithm in Regime-Switching Models," Papers 2205.01565, arXiv.org.
• Robin C. Sickles & Zhichao Wang & Valentin Zelenyuk, 2022. "Stochastic Frontier Analysis for Healthcare, with Illustrations in R," CEPA Working Papers Series WP052022, School of Economics, University of Queensland, Australia.
• Kirstin Hubrich & Daniel F. Waggoner, 2022. "The transmission of financial shocks and leverage of financial institutions: An endogenous regime switching framework," Finance and Economics Discussion Series 2022-034, Board of Governors of the Federal Reserve System (U.S.).
• Kiran Tomlinson & Austin R. Benson, 2022. "Graph-Based Methods for Discrete Choice," Papers 2205.11365, arXiv.org, revised Nov 2023.
• Johannes König & David I. Stern & Richard S.J. Tol, 2022. "Confidence Intervals for Recursive Journal Impact Factors," Tinbergen Institute Discussion Papers 22-038/III, Tinbergen Institute.
• Rafael Reisenhofer & Xandro Bayer & Nikolaus Hautsch, 2022. "HARNet: A Convolutional Neural Network for Realized Volatility Forecasting," Papers 2205.07719, arXiv.org.