Report NEP-ECM-2018-02-19

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:

• Filippeli, Thomai & Harrison, Richard & Theodoridis, Konstantinos, 2018. "DSGE-based Priors for BVARs & Quasi-Bayesian DSGE Estimation," Cardiff Economics Working Papers E2018/5, Cardiff University, Cardiff Business School, Economics Section.
• Christophe Dutang & Yuri Goegebeur & Armelle Guillou, 2016. "Robust and bias-corrected estimation of the probability of extreme failure sets," Post-Print hal-01616187, HAL.
• Mohitosh Kejriwal, 2017. "A Robust Sequential Procedure for Estimating the Number of Structural Changes in Persistence," Purdue University Economics Working Papers 1303, Purdue University, Department of Economics.
• Gerlach, Richard & Naimoli, Antonio & Storti, Giuseppe, 2018. "Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting," MPRA Paper 83893, University Library of Munich, Germany.
• Ioannis Ntzoufras & Claudia Tarantola & Monia Lupparelli, 2018. "Probability Based Independence Sampler for Bayesian Quantitative Learning in Graphical Log-Linear Marginal Models," DEM Working Papers Series 149, University of Pavia, Department of Economics and Management.
• Cerovecki, Clément & Francq, Christian & Hormann, Siegfried & Zakoian, Jean-Michel, 2018. "Functional GARCH models: the quasi-likelihood approach and its applications," MPRA Paper 83990, University Library of Munich, Germany.
• Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Econometrics Working Papers Archive 2018_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
• Darolles, Serges & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," MPRA Paper 83988, University Library of Munich, Germany.
• Christophe Chesneau & Salima El Kolei & Fabien Navarro, 2017. "Parametric estimation of hidden Markov models by least squares type estimation and deconvolution," Working Papers 2017-66, Center for Research in Economics and Statistics.
• James H. Stock & Mark W. Watson, 2018. "Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments," NBER Working Papers 24216, National Bureau of Economic Research, Inc.
• Alexander Buchholz & Nicolas CHOPIN, 2017. "Improving approximate Bayesian computation via quasi Monte Carlo," Working Papers 2017-37, Center for Research in Economics and Statistics.
• Riccardo Lucchetti & Claudia Pigini, 2018. "Dynamic panel probit: finite-sample performance of alternative random-effects estimators," Working Papers 426, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
• Denis Belomestny & Mathias Trabs & Alexandre Tsybakov, 2017. "Sparse covariance matrix estimation in high-dimensional deconvolution," Working Papers 2017-25, Center for Research in Economics and Statistics.
• Guillaume Lecué & Mathieu Lerasle, 2017. "Robust machine learning by median-of-means : theory and practice," Working Papers 2017-32, Center for Research in Economics and Statistics.
• Håvard Hungnes, 2018. "Encompassing tests for evaluating multi-step system forecasts invariant to linear transformations," Discussion Papers 871, Statistics Norway, Research Department.
• Léna CAREL & Pierre ALQUIER, 2017. "Simultaneous Dimension Reduction and Clustering via the NMF-EM Algorithm," Working Papers 2017-38, Center for Research in Economics and Statistics.
• Guillaume Lecué & Mathieu Lerasle, 2017. "Learning from MOM’s principles : Le Cam’s approach," Working Papers 2017-28, Center for Research in Economics and Statistics.
• Olga Klopp & Yu Lu & Alexandre B. Tsybakov & Harrison H. Zhou, 2017. "Structured Matrix Estimation and Completion," Working Papers 2017-43, Center for Research in Economics and Statistics.
• Pierre C. Bellec & Guillaume Lecué & Alexandre Tsybakov, 2017. "Towards the study of least squares Estimators with convex penalty," Working Papers 2017-23, Center for Research in Economics and Statistics.
• Olga Klopp & Yu Lu & Alexandre Tsybakov & Harrison H. Zhou, 2017. "Stuctured Matrix Estimation and Completion," Working Papers 2017-24, Center for Research in Economics and Statistics.
• Wenjuan Chen & Aleksei Netsunajev, 2018. "Structural vector autoregression with time varying transition probabilities: identifying uncertainty shocks via changes in volatility," Bank of Estonia Working Papers wp2018-2, Bank of Estonia, revised 13 Feb 2018.