Report NEP-ECM-2022-12-12

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:

• Woosik Gong & Myung Hwan Seo, 2022. "Bootstraps for Dynamic Panel Threshold Models," Papers 2211.04027, arXiv.org, revised Sep 2024.
• Zequn Jin & Lihua Lin & Zhengyu Zhang, 2022. "Identification and Auto-debiased Machine Learning for Outcome Conditioned Average Structural Derivatives," Papers 2211.07903, arXiv.org.
• Christian Gourieroux & Joann Jasiak, 2022. "Structural Modelling of Dynamic Networks and Identifying Maximum Likelihood," Papers 2211.11876, arXiv.org.
• Greta Goracci & Davide Ferrari & Simone Giannerini & Francesco ravazzolo, 2022. "Robust estimation for Threshold Autoregressive Moving-Average models," Papers 2211.08205, arXiv.org.
• Lui, Yiu Lim & Phillips, Peter C.B. & Yu, Jun, 2022. "Robust Testing for Explosive Behavior with Strongly Dependent Errors," Economics and Statistics Working Papers 11-2022, Singapore Management University, School of Economics.
• Kohtaro Hitomi & Jianwei Jin & Keiji Nagai & Yoshihiko Nishiyama & Junfan Tao, 2022. "Unit root tests considering initial values and a concise method for computing powers," KIER Working Papers 1084, Kyoto University, Institute of Economic Research.
• Naoya Sueishi, 2022. "A Misuse of Specification Tests," Papers 2211.11915, arXiv.org.
• Federico Crudu & Michael C. Knaus & Giovanni Mellace & Joeri Smits, 2022. "On the Role of the Zero Conditional Mean Assumption for Causal Inference in Linear Models," Papers 2211.09502, arXiv.org.
• Xiaomeng Zhang & Wendun Wang & Xinyu Zhang, 2022. "Asymptotic Properties of the Synthetic Control Method," Papers 2211.12095, arXiv.org.
• Marc S. Paolella & Pawel Polak, 2022. "Density and Risk Prediction with Non-Gaussian COMFORT Models," Swiss Finance Institute Research Paper Series 22-88, Swiss Finance Institute.
• Kyunghoon Ban & D'esir'e K'edagni, 2022. "Robust Difference-in-differences Models," Papers 2211.06710, arXiv.org, revised Aug 2023.
• Jingwen Zhang & Yifang Chen & Amandeep Singh, 2022. "Causal Bandits: Online Decision-Making in Endogenous Settings," Papers 2211.08649, arXiv.org, revised Feb 2023.
• James A. Duffy & Sophocles Mavroeidis & Sam Wycherley, 2022. "Cointegration with Occasionally Binding Constraints," Papers 2211.09604, arXiv.org, revised Jul 2023.
• Lutz Kilian & Michael D. Plante & Alexander W. Richter, 2022. "Macroeconomic Responses to Uncertainty Shocks: The Perils of Recursive Orderings," Working Papers 2223, Federal Reserve Bank of Dallas.
• Jianwei Jin & Keiji Nagai, 2022. "Sequential unit root test for first-order autoregressive processes with initial values," KIER Working Papers 1085, Kyoto University, Institute of Economic Research.
• Jack Jewson & Li Li & Laura Battaglia & Stephen Hansen & David Rossell & Piotr Zwiernik, 2022. "Graphical model inference with external network data," CeMMAP working papers 20/22, Institute for Fiscal Studies.
• Damian, Elena & Meuleman, Bart & van Oorschot, Wim, 2022. "Estimation of country-level effects in cross-national survey research using multilevel modelling: The role of statistical power," OSF Preprints m94kh, Center for Open Science.
• Vladim'ir Hol'y, 2022. "An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations," Papers 2211.12376, arXiv.org, revised May 2024.
• Jan Ditzen & Yiannis Karavias & Joakim Westerlund, 2022. "Multiple Structural Breaks in Interactive Effects Panel Data and the Impact of Quantitative Easing on Bank Lending," Papers 2211.06707, arXiv.org, revised Jan 2023.
• Andrzej Kocięcki & Marcin Kolasa, 2022. "A solution to the global identification problem in DSGE models," Working Papers 2022-01, Faculty of Economic Sciences, University of Warsaw.
• Andrey Shternshis & Piero Mazzarisi, 2022. "Variance of entropy for testing time-varying regimes with an application to meme stocks," Papers 2211.05415, arXiv.org, revised Jun 2023.
• Amoroso, Sara & Bruno, Randolph Luca & Magazzini, Laura, 2022. "The Identification of Time-Invariant Variables in Panel Data Model: Exploring the Role of Science in Firms’ Productivity," IZA Discussion Papers 15708, Institute of Labor Economics (IZA).
• Storti, Giuseppe & Wang, Chao, 2022. "A multivariate semi-parametric portfolio risk optimization and forecasting framework," MPRA Paper 115266, University Library of Munich, Germany.
• Clemens Possnig & Andreea Rotu{a}rescu & Kyungchul Song, 2022. "Estimating Dynamic Spillover Effects along Multiple Networks in a Linear Panel Model," Papers 2211.08995, arXiv.org.
• Thanh Trung Huynh & Minh Hieu Nguyen & Thanh Tam Nguyen & Phi Le Nguyen & Matthias Weidlich & Quoc Viet Hung Nguyen & Karl Aberer, 2022. "Efficient Integration of Multi-Order Dynamics and Internal Dynamics in Stock Movement Prediction," Papers 2211.07400, arXiv.org, revised Nov 2022.
• Youru Li & Zhenfeng Zhu & Xiaobo Guo & Shaoshuai Li & Yuchen Yang & Yao Zhao, 2022. "HGV4Risk: Hierarchical Global View-guided Sequence Representation Learning for Risk Prediction," Papers 2211.07956, arXiv.org.