Report NEP-ECM-2023-08-28

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.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-ECM

The following items were announced in this report:

• Christis Katsouris, 2023. "Bootstrapping Nonstationary Autoregressive Processes with Predictive Regression Models," Papers 2307.14463, arXiv.org.
• Matteo Barigozzi, 2023. "Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models," Papers 2307.09864, arXiv.org, revised Jun 2024.
• Jad Beyhum & Jonas Striaukas, 2023. "Testing for sparse idiosyncratic components in factor-augmented regression models," Papers 2307.13364, arXiv.org, revised Jul 2024.
• Masahiro Kato & Akari Ohda & Masaaki Imaizumi, 2023. "Asymptotically Unbiased Synthetic Control Methods by Distribution Matching," Papers 2307.11127, arXiv.org, revised May 2024.
• Christis Katsouris, 2023. "Predictability Tests Robust against Parameter Instability," Papers 2307.15151, arXiv.org.
• Yuehao Bai & Jizhou Liu & Azeem M. Shaikh & Max Tabord-Meehan, 2023. "On the Efficiency of Finely Stratified Experiments," Papers 2307.15181, arXiv.org, revised Aug 2024.
• Ping Wu & Gary Koop, 2022. "Fast, Order-Invariant Bayesian Inference in VARs using the Eigendecomposition of the Error Covariance Matrix," Working Papers 2310, University of Strathclyde Business School, Department of Economics.
• Francesco Ruggieri, 2023. "Dynamic Regression Discontinuity: A Within-Design Approach," Papers 2307.14203, arXiv.org.
• Hugo Kruiniger, 2023. "Large sample properties of GMM estimators under second-order identification," Papers 2307.13475, arXiv.org.
• Frank Kleibergen & Lingwei Kong, 2023. "Identification Robust Inference for the Risk Premium in Term Structure Models," Papers 2307.12628, arXiv.org.
• Yuehao Bai & Hongchang Guo & Azeem M. Shaikh & Max Tabord-Meehan, 2023. "Inference in Experiments with Matched Pairs and Imperfect Compliance," Papers 2307.13094, arXiv.org, revised Jun 2024.
• Jad Beyhum & Elia Lapenta & Pascal Lavergne, 2023. "One-step smoothing splines instrumental regression," Papers 2307.14867, arXiv.org, revised Dec 2024.
• Younghoon Kim & Marie-Christine Duker & Zachary F. Fisher & Vladas Pipiras, 2023. "Latent Gaussian dynamic factor modeling and forecasting for multivariate count time series," Papers 2307.10454, arXiv.org, revised Jul 2024.
• Deepankar Basu, 2023. "The Yule-Frisch-Waugh-Lovell Theorem for Linear Instrumental Variables Estimation," Papers 2307.12731, arXiv.org, revised Aug 2023.
• Nalan Basturk & Jamie Cross & Peter de Knijff & Lennart Hoogerheide & Paul Labonne & Herman K van Dijk, 2023. "BayesMultiMode: Bayesian Mode Inference in R," Tinbergen Institute Discussion Papers 23-041/III, Tinbergen Institute.
• Lingwei Kong, 2023. "Weak (Proxy) Factors Robust Hansen-Jagannathan Distance For Linear Asset Pricing Models," Papers 2307.14499, arXiv.org.
• Bruno Feunou, 2023. "Generalized Autoregressive Gamma Processes," Staff Working Papers 23-40, Bank of Canada.
• Andrew Bennett & Nathan Kallus & Xiaojie Mao & Whitney Newey & Vasilis Syrgkanis & Masatoshi Uehara, 2023. "Source Condition Double Robust Inference on Functionals of Inverse Problems," Papers 2307.13793, arXiv.org.
• St'ephane Bonhomme & Kevin Dano, 2023. "Functional Differencing in Networks," Papers 2307.11484, arXiv.org.
• Romuald Meango, 2023. "Using Probabilistic Stated Preference Analyses to Understand Actual Choices," Papers 2307.13966, arXiv.org.
• Torben G. Andersen & Viktor Todorov & Bo Zhou, 2023. "Real-Time Detection of Local No-Arbitrage Violations," Papers 2307.10872, arXiv.org.
• Mr. Sam Ouliaris & Ms. Celine Rochon, 2023. "Assessing the Impact of Policy Changes on a Nowcast," IMF Working Papers 2023/153, International Monetary Fund.
• Bryan S. Graham & Andrin Pelican, 2023. "Scenario Sampling for Large Supermodular Games," NBER Working Papers 31511, National Bureau of Economic Research, Inc.
• Dassios, Angelos & Zhang, Junyi, 2023. "Exact simulation of Poisson-Dirichlet distribution and generalised gamma process," LSE Research Online Documents on Economics 119755, London School of Economics and Political Science, LSE Library.
• Luca Mucciante & Alessio Sancetta, 2023. "Estimation of an Order Book Dependent Hawkes Process for Large Datasets," Papers 2307.09077, arXiv.org.
• Songnian Chen & Junlong Feng, 2023. "Group-Heterogeneous Changes-in-Changes and Distributional Synthetic Controls," Papers 2307.15313, arXiv.org.
• Evan Friedman & Duarte Gonc{c}alves, 2023. "Quantal Response Equilibrium with a Continuum of Types: Characterization and Nonparametric Identification," Papers 2307.08011, arXiv.org, revised Mar 2024.
• Bryan S. Graham & Andrin Pelican, 2023. "Scenario Sampling for Large Supermodular Games," Papers 2307.11857, arXiv.org.
• Nelson Kyakutwika & Bruce Bartlett, 2023. "Bayesian Forecasting of Stock Returns on the JSE using Simultaneous Graphical Dynamic Linear Models," Papers 2307.08665, arXiv.org.
• Philipp Gersing & Christoph Rust & Manfred Deistler, 2023. "Weak Factors are Everywhere," Papers 2307.10067, arXiv.org, revised Jan 2024.
• Kurt Graden Lunsford & Kenneth D. West, 2023. "Random Walk Forecasts of Stationary Processes Have Low Bias," Working Papers 23-18, Federal Reserve Bank of Cleveland.
• Lutz Kilian, 2023. "How to Construct Monthly VAR Proxies Based on Daily Futures Market Surprises," Working Papers 2310, Federal Reserve Bank of Dallas.
• Bournakis, Ioannis & Tsionas, Mike G., 2023. "A Non-Parametric Estimation of Productivity with Idiosyncratic and Aggregate Shocks: The Role of Research and Development (R&D) and Corporate Tax," MPRA Paper 118100, University Library of Munich, Germany.
• Irsova, Zuzana & Doucouliagos, Hristos & Havranek, Tomas & Stanley, T. D., 2023. "Meta-Analysis of Social Science Research: A Practitioner’s Guide," EconStor Preprints 273719, ZBW - Leibniz Information Centre for Economics.