Report NEP-ECM-2025-01-06

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:

• Donggyu Kim, 2024. "High-Dimensional Time-Varying Coefficient Estimation," Working Papers 202416, University of California at Riverside, Department of Economics.
• Doko Tchatoka, Firmin & Wang, Wenjie, 2024. "Weak-Identification-Robust Bootstrap Tests after Pretesting for Exogeneity," MPRA Paper 123060, University Library of Munich, Germany.
• Siddhartha Chib & Minchul Shin & Anna Simoni, 2024. "Testing for Endogeneity: A Moment-Based Bayesian Approach," Working Papers 24-19, Federal Reserve Bank of Philadelphia.
• Jianqing Fan & Donggyu Kim & Minseok Shin & Yazhen Wang, 2024. "Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data," Working Papers 202415, University of California at Riverside, Department of Economics.
• Donggyu Kim & Minseok Shin, 2024. "Nonconvex High-Dimensional Time-Varying Coefficient Estimation for Noisy High-Frequency Observations with a Factor Structure," Working Papers 202418, University of California at Riverside, Department of Economics.
• Donggyu Kim & Minseok Shin, 2024. "Robust High-Dimensional Time-Varying Coefficient Estimation," Working Papers 202417, University of California at Riverside, Department of Economics.
• Ranieri Dugo & Giacomo Giorgio & Paolo Pigato, 2024. "Multivariate Rough Volatility," CEIS Research Paper 589, Tor Vergata University, CEIS, revised 20 Dec 2024.
• Hao Hao & Tae-Hwy Lee, 2024. "Boosting GMM with Many Instruments When Some Are Invalid and/or Irrelevant," Working Papers 202411, University of California at Riverside, Department of Economics.
• Jianqing Fan & Donggyu Kim & Minseok Shin, 2024. "Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data," Working Papers 202419, University of California at Riverside, Department of Economics.
• Gabriele Mingoli, 2024. "Modeling Common Bubbles: A Mixed Causal Non-Causal Dynamic Factor Model," Tinbergen Institute Discussion Papers 24-072/III, Tinbergen Institute.
• Jianghao Chu & Tae-Hwy Lee & Aman Ullah, 2024. "Asymmetric AdaBoost for Maximum Score Estimation of High-dimensional Binary Choice Regression Models," Working Papers 202414, University of California at Riverside, Department of Economics.
• Magirr, Dominic & Wang, Craig & Przybylski, Alexander & Baillie, Mark, 2024. "Estimating the variance of covariate-adjusted estimators of average treatment effects in clinical trials with binary endpoints," OSF Preprints k56v8, Center for Open Science.
• Donggyu Kim & Minseog Oh & Yazhen Wang, 2024. "Robust Realized Integrated Beta Estimator with Application to Dynamic Analysis of Integrated Beta," Working Papers 202422, University of California at Riverside, Department of Economics.
• Koutchade, Obafémi Philippe & Carpentier, Alain & Féménia, Fabienne, 2024. "Variable Inputs Allocation among Crops: A Time-Varying Random Parameters Approach," Working Papers 348476, Institut National de la recherche Agronomique (INRA), Departement Sciences Sociales, Agriculture et Alimentation, Espace et Environnement (SAE2).
• Donggyu Kim & Minseog Oh, 2024. "Property of Inverse Covariance Matrix-based Financial Adjacency Matrix for Detecting Local Groups," Working Papers 202420, University of California at Riverside, Department of Economics.
• Stephen J. Redding, 2024. "Quantitative Urban Economics," Working Papers 340, Princeton University, Department of Economics, Center for Economic Policy Studies..
• Sebastian Bell & Ali Kakhbod & Martin Lettau & Abdolreza Nazemi, 2024. "Glass Box Machine Learning and Corporate Bond Returns," NBER Working Papers 33320, National Bureau of Economic Research, Inc.