Report NEP-ECM-2023-05-08

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:

• Jaime Ramirez-Cuellar, 2023. "Testing for idiosyncratic Treatment Effect Heterogeneity," Papers 2304.01141, arXiv.org.
• Item repec:tin:wpaper:20230016 is not listed on IDEAS anymore

• Léopold Simar & Valentin Zelenyuk & Shirong Zhao, 2023. "Inference for Aggregate Efficiency: Theory and Guidelines for Practitioners," CEPA Working Papers Series WP032023, School of Economics, University of Queensland, Australia.
• Demian Pouzo & Zacharias Psaradakis & Martin Sola, 2023. "A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities," Working Papers 234, Red Nacional de Investigadores en Economía (RedNIE).
• Zhang, Bo & Pan, Guangming & Yao, Qiwei & Wang, Jian-Zhou, 2023. "Factor modelling for clustering high-dimensional time series," LSE Research Online Documents on Economics 118186, London School of Economics and Political Science, LSE Library.
• Mike G. Tsionas, 2022. "Novel techniques for Bayesian inference in univariate and multivariate stochastic volatility models," Working Papers 294, Bank of Greece.
• Rui Wang, 2023. "Testing and Identifying Substitution and Complementarity Patterns," Papers 2304.00678, arXiv.org.
• Jir^o Akahori & Nien-Lin Liu & Maria Elvira Mancino & Tommaso Mariotti & Yukie Yasuda, 2023. "Symmetric positive semi-definite Fourier estimator of instantaneous variance-covariance matrix," Papers 2304.04372, arXiv.org.
• Daan Opschoor & Dick van Dijk, 2023. "Slow Expectation-Maximization Convergence in Low-Noise Dynamic Factor Models," Tinbergen Institute Discussion Papers 23-018/III, Tinbergen Institute.
• Nikolas Michael & Mihai Cucuringu & Sam Howison, 2023. "OFTER: An Online Pipeline for Time Series Forecasting," Papers 2304.03877, arXiv.org.
• Rodrigo García Arancibia & Ignacio Girela, 2023. "Graphical Representation of Multidimensional Poverty: Insights for Index Construction and Policy Making," Working Papers 233, Red Nacional de Investigadores en Economía (RedNIE).
• William H. Press, 2023. "Optimal Cross-Correlation Estimates from Asynchronous Tick-by-Tick Trading Data," Papers 2303.16153, arXiv.org.
• Rafael Alves & Diego S. de Brito & Marcelo C. Medeiros & Ruy M. Ribeiro, 2023. "Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage," Papers 2303.16151, arXiv.org.