Report NEP-ECM-2022-10-24

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:

• Sreevidya Ayyar & Yukitoshi Matsushita & Taisuke Otsu, 2022. "Conditional likelihood ratio test with many weak instruments," STICERD - Econometrics Paper Series 624, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
• B. Cooper Boniece & Jos'e E. Figueroa-L'opez & Yuchen Han, 2022. "Efficient Integrated Volatility Estimation in the Presence of Infinite Variation Jumps via Debiased Truncated Realized Variations," Papers 2209.10128, arXiv.org, revised Apr 2024.
• Tayanagi, Toshikazu & 田柳, 俊和 & Kurozumi, Eiji & 黒住, 英司, 2022. "In-fill asymptotic distribution of the change point estimator when estimating breaks one at a time," Discussion Papers 2022-03, Graduate School of Economics, Hitotsubashi University.
• Sergiu Hart & Yosef Rinott, 2022. "Posterior Probabilities: Nonmonotonicity, Asymptotic Rates, Log-Concavity, and Tur\'an's Inequality," Papers 2209.11728, arXiv.org.
• Alex Tian & Tom Coupé & Sayak Khatua & W. Robert Reed & Ben Wood, 2022. "Power to the Researchers: Calculating Power After Estimation," Working Papers in Economics 22/17, University of Canterbury, Department of Economics and Finance.
• Leonardo Marinho, 2022. "Causal Impulse Responses for Time Series," Working Papers Series 570, Central Bank of Brazil, Research Department.
• St'ephane Cr'epey & Lehdili Noureddine & Nisrine Madhar & Maud Thomas, 2022. "Anomaly Detection on Financial Time Series by Principal Component Analysis and Neural Networks," Papers 2209.11686, arXiv.org, revised Oct 2022.
• Markus Brueckner, 2022. "Estimating Causal Effects of Monetary Policy for a Small Open Economy: Econometric Model and Estimation Framework," ANU Working Papers in Economics and Econometrics 2022-689, Australian National University, College of Business and Economics, School of Economics.
• Dangxing Chen & Weicheng Ye & Jiahui Ye, 2022. "Interpretable Selective Learning in Credit Risk," Papers 2209.10127, arXiv.org.
• Dangxing Chen & Weicheng Ye, 2022. "Monotonic Neural Additive Models: Pursuing Regulated Machine Learning Models for Credit Scoring," Papers 2209.10070, arXiv.org.
• Dangxing Chen & Weicheng Ye, 2022. "Generalized Groves of Neural Additive Models: Pursuing transparent and accurate machine learning models in finance," Papers 2209.10082, arXiv.org, revised Jul 2024.