Orthogonal Machine Learning: Power and Limitations,
Lester Mackey, Vasilis Syrgkanis and Ilias Zadik,
from arXiv.org
(2018)
Estimation of agent-based models using sequential Monte Carlo methods,
Thomas Lux,
from Christian-Albrechts-University of Kiel, Department of Economics
(2017)
Keywords: agent-based models, estimation, Markov chain Monte Carlo, particle filter
A New Nonlinear Unit Root Test with Fourier Function,
Burak Güriş,
from University Library of Munich, Germany
(2017)
Keywords: Flexible Fourier Form, Unit Root Test, Nonlinearity
Nonparametric Identification in Index Models of Link Formation,
Wayne Gao,
from arXiv.org
(2018)
Generalized Yule–Walker estimation for spatio-temporal models with unknown diagonal coefficients,
Baojun Dou, Maria Lucia Parrella and Qiwei Yao,
from London School of Economics and Political Science, LSE Library
(2016)
Keywords: α-mixing; dynamic panels; high dimensionality; least squares estimation; spatial autoregression; stationarity
Adaptive estimation in multiple time series with independent component errors,
Peter Robinson and Luke Taylor,
from London School of Economics and Political Science, LSE Library
(2017)
Nested sub-sample search algorithm for estimation of threshold models,
Dong Li and Howell Tong,
from London School of Economics and Political Science, LSE Library
(2016)
Keywords: Least squares estimation; maximum likelihood estimation; nested sub-sample search algorithm; standard grid search algorithm; threshold model
Parameter estimation for generalized thurstone choice models,
Milan Vojnovic and Seyoung Yun,
from London School of Economics and Political Science, LSE Library
(2016)
Modeling and forecasting the oil volatility index,
Massimo B. Mariti,
from Universidad Carlos III de Madrid. Departamento de EstadÃstica
(2017)
Keywords: Heterogeneous autoregression
A Note on Variance Decomposition with Local Projections,
Yuriy Gorodnichenko and Byoungchan Lee,
from National Bureau of Economic Research, Inc
(2017)
Matrix Completion Methods for Causal Panel Data Models,
Susan Athey, Mohsen Bayati, Nikolay Doudchenko, Guido Imbens and Khashayar Khosravi,
from arXiv.org
(2022)
Homogenous vs. heterogenous transition functions in smooth transition regressions: A LM-type test,
Matei Demetrescu, Julian Leppin and Stefan Reitz,
from Kiel Institute for the World Economy (IfW Kiel)
(2017)
Keywords: STR model, multivariate, nonlinear models, testing
Finite Sample Optimality of Score-Driven Volatility Models,
Francisco Blasques, Andre Lucas and Andries van Vlodrop,
from Tinbergen Institute
(2017)
Keywords: Volatility models, score-driven dynamics, finite samples, Kullback-Leibler divergence, optimality.
Priors for the long run,
Domenico Giannone, Michele Lenza and Giorgio Primiceri,
from Federal Reserve Bank of New York
(2017)
Keywords: Bayesian vector autoregressions; forecasting; overfitting; initial conditions; hierarchical models
An Empirical Investigation of Direct and Iterated Multistep Conditional Forecasts,
Michael McCracken and Joseph McGillicuddy,
from Federal Reserve Bank of St. Louis
(2017)
Keywords: Prediction; forecasting; out-of-sample
Estimation of dynamic models of recurring events with censored data,
Tue Gorgens and Sanghyeok Lee,
from Australian National University, College of Business and Economics, School of Economics
(2017)
Keywords: Duration analysis; survival analysis; failure-time analysis; reliability analysis; event history analysis; hazard rates; data censoring; panel data; initial conditions; random effects; maximum simulated likelihood; Monte Carlo integration; importance sampling.
WAVELET VARIANCE RATIO TEST AND WAVESTRAPPING FOR THE DETERMINATION OF THE COINTEGRATION RANK,
Burak Eroglu,
from The Center for Financial Studies (CEFIS), Istanbul Bilgi University
(2017)
Keywords: Fractional integration; Cointegration; Wavelet; Wavestrapping
FRACTIONAL SEASONAL VARIANCE RATIO UNIT ROOT TESTS,
Burak Eroglu, Kemal Caglar Gogebakan and Mirza Trokic,
from The Center for Financial Studies (CEFIS), Istanbul Bilgi University
(2017)
Keywords: Seasonal unit roots; Fractional integration; Wavelets; Wavestrapping
Including covariates in the regression discontinuity design,
Markus Frölich and Martin Huber,
from Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland
(2017)
Keywords: Treatment effect ; causal effect ; complier ; LATE ; nonparametric regression ; endogeneity