Report NEP-ECM-2024-08-12

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:

• Bin Chen & Yuefeng Han & Qiyang Yu, 2024. "Estimation and Inference for CP Tensor Factor Models," Papers 2406.17278, arXiv.org.
• Bertille Antoine & Otilia Boldea & Niccolo Zaccaria, 2024. "Efficient two-sample instrumental variable estimators with change points and near-weak identification," Papers 2406.17056, arXiv.org.
• Ruofan Yu & Rong Chen & Han Xiao & Yuefeng Han, 2024. "Dynamic Matrix Factor Models for High Dimensional Time Series," Papers 2407.05624, arXiv.org.
• Benjamin Poignard & Manabu Asai, 2024. "Factor multivariate stochastic volatility models of high dimension," Papers 2406.19033, arXiv.org.
• Diego Fresoli & Pilar Poncela & Esther Ruiz, 2024. "Dealing with idiosyncratic cross-correlation when constructing confidence regions for PC factors," Papers 2407.06883, arXiv.org.
• Atsushi Inoue & Lutz Kilian, 2024. "When Is the Use of Gaussian-inverse Wishart-Haar Priors Appropriate?," Working Papers 2404, Federal Reserve Bank of Dallas.
• Marie-Christine Duker & David S. Matteson & Ruey S. Tsay & Ines Wilms, 2024. "Vector AutoRegressive Moving Average Models: A Review," Papers 2406.19702, arXiv.org.
• Battulga Gankhuu, 2024. "EM Estimation of Conditional Matrix Variate $t$ Distributions," Papers 2406.10837, arXiv.org, revised Oct 2024.
• Mario Martinoli & Raffaello Seri & Fulvio Corsi, 2024. "Generalized Optimization Algorithms for Complex Objective Functions," LEM Papers Series 2024/18, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
• Michael Sekatchev & Zhengxiang Zhou, 2024. "Stochastic Approaches to Asset Price Analysis," Papers 2407.06745, arXiv.org.
• Attar, Itay & Cohen-Zada, Danny & Elder, Todd E., 2024. "Measuring and Correcting Monotonicity Bias: The Case of School Entrance Age Effects," IZA Discussion Papers 17088, Institute of Labor Economics (IZA).
• Agnes Norris Keiller & Áureo de Paula & John Van Reenen, 2024. "Production function estimation using subjective expectations data," CeMMAP working papers 15/24, Institute for Fiscal Studies.
• Federico Gatta & Fabrizio Lillo & Piero Mazzarisi, 2024. "CAESar: Conditional Autoregressive Expected Shortfall," Papers 2407.06619, arXiv.org.
• Rami V. Tabri & Mathew J. Elias, 2024. "Testing for Restricted Stochastic Dominance under Survey Nonresponse with Panel Data: Theory and an Evaluation of Poverty in Australia," Papers 2406.15702, arXiv.org.
• Victor Chernozhukov & Iv'an Fern'andez-Val & Jonas Meier & Aico van Vuuren & Francis Vella, 2024. "Conditional Rank-Rank Regression," Papers 2407.06387, arXiv.org, revised Dec 2024.
• YoonHaeng Hur & Tengyuan Liang, 2024. "A Convexified Matching Approach to Imputation and Individualized Inference," Papers 2407.05372, arXiv.org.
• Joshua C. C. Chan & Davide Pettenuzzo & Aubrey Poon & Dan Zhu, 2024. "Conditional Forecasts in Large Bayesian VARs with Multiple Equality and Inequality Constraints," Papers 2407.02262, arXiv.org.
• Thorsten Drautzburg & Jesus Fernandez-Villaverde & Pablo Guerron-Quintana & Dick Oosthuizen, 2024. "Filtering with Limited Information," PIER Working Paper Archive 24-016, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
• Elnura Baiaman kyzy & Roberto Leon-Gonzalez, 2024. "Estimation of Nonlinear DSGE Models Through Laplace Based Solutions," Working Paper series 24-11, Rimini Centre for Economic Analysis.
• Anil K. Bera & Yannis Bilias, 2024. "Three Scores and 15 Years (1948-2023) of Rao's Score Test: A Brief History," Papers 2406.19956, arXiv.org, revised Oct 2024.
• Borko Stosic & Tatijana Stosic, 2024. "Dissecting Multifractal detrended cross-correlation analysis," Papers 2406.19406, arXiv.org.
• Anita Behme, 2024. "Volatility modeling in a Markovian environment: Two Ornstein-Uhlenbeck-related approaches," Papers 2407.05866, arXiv.org.