Report NEP-ECM-2023-05-22

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:

• Puyi Fang & Zhaoxing Gao & Ruey S. Tsay, 2023. "Determination of the effective cointegration rank in high-dimensional time-series predictive regressions," Papers 2304.12134, arXiv.org, revised Apr 2023.
• Yassine Sbai Sassi, 2023. "The Ordinary Least Eigenvalues Estimator," Papers 2304.12554, arXiv.org.
• Daniele Girolimetto & George Athanasopoulos & Tommaso Di Fonzo & Rob J Hyndman, 2023. "Cross-temporal Probabilistic Forecast Reconciliation," Monash Econometrics and Business Statistics Working Papers 6/23, Monash University, Department of Econometrics and Business Statistics.
• Paul Ho & Thomas A. Lubik & Christian Matthes, 2023. "Averaging Impulse Responses Using Prediction Pools," Working Paper 23-04, Federal Reserve Bank of Richmond.
• Virbickaite, Audrone & Nguyen, Hoang & Tran, Minh-Ngoc, 2023. "Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models," Working Papers 2023:7, Örebro University, School of Business.
• Jarek Duda, 2023. "Adaptive Student's t-distribution with method of moments moving estimator for nonstationary time series," Papers 2304.03069, arXiv.org, revised Apr 2023.
• Hernandez Amaro, Pavel & Aguilera Morillo, María del Carmen & Esteban Gonzalez, Cristobal & Arostegui, Inma, 2023. "Modelling physical activity profiles in COPD patients: a new approach to variable-domain functional regression models," DES - Working Papers. Statistics and Econometrics. WS 37255, Universidad Carlos III de Madrid. Departamento de Estadística.
• Kyungsub Lee, 2023. "Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data," Papers 2304.11883, arXiv.org.
• Carranza, Aldo Gael & Krishnamurthy, Sanath Kumar & Athey, Susan, 2023. "Flexible and Efficient Contextual Bandits with Heterogeneous Treatment Effect Oracles," Research Papers 4081, Stanford University, Graduate School of Business.
• Mathias Silva, 2023. "Parametric models of income distributions integrating misreporting and non-response mechanisms," AMSE Working Papers 2311, Aix-Marseille School of Economics, France.
• Lihua Lei & Roshni Sahoo & Stefan Wager, 2023. "Policy Learning under Biased Sample Selection," Papers 2304.11735, arXiv.org.
• Csaba Burger & Mihály Berndt, 2023. "Error Spotting with Gradient Boosting: A Machine Learning-Based Application for Central Bank Data Quality," MNB Occasional Papers 2023/148, Magyar Nemzeti Bank (Central Bank of Hungary).
• Monica Billio & Lorenzo Frattarolo & Dominique Guégan, 2022. "High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-04085236, HAL.
• Oliver Cassagneau-Francis, 2022. "Revisiting the Returns to Higher Education: Heterogeneity by Cognitive and Non-Cognitive Abilities," SciencePo Working papers Main hal-04067399, HAL.
• A. Hennessy, Christopher & Goodhart, C. A. E., 2023. "Goodhart's law and machine learning: a structural perspective," LSE Research Online Documents on Economics 118656, London School of Economics and Political Science, LSE Library.
• Ahmad W. Bitar & Nathan de Carvalho & Valentin Gatignol, 2023. "Covariance matrix estimation for robust portfolio allocation," Working Papers hal-04046454, HAL.
• Wei Tian & Seojeong Lee & Valentyn Panchenko, 2023. "Synthetic Controls with Multiple Outcomes: Estimating the Effects of Non-Pharmaceutical Interventions in the COVID-19 Pandemic," Discussion Papers 2023-05, School of Economics, The University of New South Wales.
• Ajit Desai, 2023. "Machine Learning for Economics Research: When What and How?," Papers 2304.00086, arXiv.org, revised Apr 2023.
• Simon Smith & Allan Timmermann & Jonathan H. Wright, 2023. "Breaks in the Phillips Curve: Evidence from Panel Data," NBER Working Papers 31153, National Bureau of Economic Research, Inc.