Report NEP-ECM-2023-01-30

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:

• Yicong Lin & Hanno Reuvers, 2022. "Fully Modified Estimation in Cointegrating Polynomial Regressions: Extensions and Monte Carlo Comparison," Tinbergen Institute Discussion Papers 22-093/III, Tinbergen Institute.
• Jean-Pierre Florens & Elia Lapenta, 2022. "Partly Linear Instrumental Variables Regressions without Smoothing on the Instruments," Papers 2212.11012, arXiv.org, revised Oct 2023.
• Wagner, Martin, 2023. "Fully Modified Least Squares Estimation and Inference for Systems of Cointegrating Polynomial Regressions," IHS Working Paper Series 44, Institute for Advanced Studies.
• Elia Lapenta, 2022. "A Bootstrap Specification Test for Semiparametric Models with Generated Regressors," Papers 2212.11112, arXiv.org, revised Oct 2023.
• Costanza Naguib & Patrick Gagliardini, 2023. "A Semi-nonparametric Copula Model for Earnings Mobility," Diskussionsschriften dp2302, Universitaet Bern, Departement Volkswirtschaft.
• Ben Jann & Karlson, Kristian Bernt, 2023. "Estimation of marginal odds ratios," University of Bern Social Sciences Working Papers 44, University of Bern, Department of Social Sciences, revised 17 Jan 2023.
• Jan Pablo Burgard & Matthias Neuenkirch & Dennis Umlandt, 2023. "(Almost) Recursive Identification of Monetary Policy Shocks with Economic Parameter Restrictions," Working Paper Series 2023-01, University of Trier, Research Group Quantitative Finance and Risk Analysis.
• Poncela Blanco, Maria Pilar & Fresoli, Diego Eduardo, 2022. "Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models," DES - Working Papers. Statistics and Econometrics. WS 36251, Universidad Carlos III de Madrid. Departamento de Estadística.
• Julien Hambuckers & Li Sun & Luca Trapin, 2023. "Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors," Papers 2301.01362, arXiv.org.
• Christian Tien, 2023. "Relaxing Instrument Exogeneity with Common Confounders," Papers 2301.02052, arXiv.org, revised Aug 2023.
• Annika Camehl & Dennis Fok & Kathrin Gruber, 2022. "Multivariate quantile regression using superlevel sets of conditional densities," Tinbergen Institute Discussion Papers 22-094/III, Tinbergen Institute.
• Luofeng Liao & Christian Kroer, 2023. "Statistical Inference and A/B Testing for First-Price Pacing Equilibria," Papers 2301.02276, arXiv.org, revised Jun 2023.
• Einmahl, John & Krajina, Andrea, 2023. "Empirical Likelihood Based Testing for Multivariate Regular Variation," Discussion Paper 2023-001, Tilburg University, Center for Economic Research.
• Jinan Zou & Qingying Zhao & Yang Jiao & Haiyao Cao & Yanxi Liu & Qingsen Yan & Ehsan Abbasnejad & Lingqiao Liu & Javen Qinfeng Shi, 2022. "Stock Market Prediction via Deep Learning Techniques: A Survey," Papers 2212.12717, arXiv.org, revised Feb 2023.
• Lin William Cong & Guanhao Feng & Jingyu He & Xin He, 2022. "Growing the Efficient Frontier on Panel Trees," NBER Working Papers 30805, National Bureau of Economic Research, Inc.
• Amil Petrin & Mark Ponder & Boyoung Seo, 2022. "Identification and Estimation of Discrete Choice Demand Models when Observed and Unobserved Characteristics are Correlated," NBER Working Papers 30778, National Bureau of Economic Research, Inc.
• Victor Chernozhukov & Alfred Galichon & Marc Henry & Brendan Pass, 2021. "Identification of Hedonic Equilibrium and Nonseparable Simultaneous Equations," SciencePo Working papers Main hal-03893143, HAL.