Report NEP-ECM-2021-10-25

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:

• Susana Campos-Martins & Cristina Amado, 2021. "Modelling Time-Varying Volatility Interactions," NIPE Working Papers 12/2021, NIPE - Universidade do Minho.
• Lujia Bai & Weichi Wu, 2021. "Detecting long-range dependence for time-varying linear models," Papers 2110.08089, arXiv.org, revised Mar 2023.
• Jiti Gao & Bin Peng & Yayi Yan, 2021. "Parameter Stability Testing for Multivariate Dynamic Time-Varying Models," Monash Econometrics and Business Statistics Working Papers 11/21, Monash University, Department of Econometrics and Business Statistics.
• Wei Wang & Xiaodong Yan & Yanyan Ren & Zhijie Xiao, 2021. "Bi-integrative analysis of two-dimensional heterogeneous panel data model," Papers 2110.10480, arXiv.org.
• Badi H. Baltagi & Georges Bresson & Anoop Chaturvedi & Guy Lacroix, 2021. "Robust Dynamic Panel Data Models Using 𝛆𝛆-Contamination," Center for Policy Research Working Papers 240, Center for Policy Research, Maxwell School, Syracuse University.
• Jean-Pierre Florens & Anna Simoni, 2021. "Revisiting identification concepts in Bayesian analysis," Papers 2110.09954, arXiv.org.
• Haoge Chang & Joel Middleton & P. M. Aronow, 2021. "Exact Bias Correction for Linear Adjustment of Randomized Controlled Trials," Papers 2110.08425, arXiv.org, revised Oct 2021.
• Dhruv Rohatgi & Vasilis Syrgkanis, 2021. "Robust Generalized Method of Moments: A Finite Sample Viewpoint," Papers 2110.03070, arXiv.org, revised Oct 2021.
• Jad Beyhum, 2021. "Two-stage least squares with a randomly right censored outcome," Papers 2110.05107, arXiv.org.
• Joshua Angrist & Michal Koles'ar, 2021. "One Instrument to Rule Them All: The Bias and Coverage of Just-ID IV," Papers 2110.10556, arXiv.org, revised Dec 2022.
• Armin Pourkhanali & Jonathan Keith & Xibin Zhang, 2021. "Conditional Heteroscedasticity Models with Time-Varying Parameters: Estimation and Asymptotics," Monash Econometrics and Business Statistics Working Papers 15/21, Monash University, Department of Econometrics and Business Statistics.
• Jelena Bradic & Weijie Ji & Yuqian Zhang, 2021. "High-dimensional Inference for Dynamic Treatment Effects," Papers 2110.04924, arXiv.org, revised May 2023.
• Kyle Butts, 2021. "Difference-in-Differences with Geocoded Microdata," Papers 2110.10192, arXiv.org.
• Eiji Kurozumi & Anton Skrobotov, 2021. "On the asymptotic behavior of bubble date estimators," Papers 2110.04500, arXiv.org, revised Sep 2022.
• Caporina, Massimiliano & Costola, Michele, 2021. "Time-varying granger causality tests for applications in global crude oil markets: A study on the DCC-MGARCH Hong test," SAFE Working Paper Series 324, Leibniz Institute for Financial Research SAFE.
• Matias D. Cattaneo & Paul Cheung & Xinwei Ma & Yusufcan Masatlioglu, 2021. "Attention Overload," Papers 2110.10650, arXiv.org, revised Sep 2024.
• Michael Keane & Timothy Neal, 2021. "Robust Inference for the Frisch Labor Supply Elasticity," Discussion Papers 2021-07b, School of Economics, The University of New South Wales.
• Aguilera Morillo, María del Carmen, 2021. "A quantile based dimension reduction technique," DES - Working Papers. Statistics and Econometrics. WS 33469, Universidad Carlos III de Madrid. Departamento de Estadística.
• Parley Ruogu Yang & Ryan Lucas, 2021. "DMS, AE, DAA: methods and applications of adaptive time series model selection, ensemble, and financial evaluation," Papers 2110.11156, arXiv.org, revised Jul 2022.
• Härdle, Wolfgang & Klochkov, Yegor & Petukhina, Alla & Zhivotovskiy, Nikita, 2021. "Robustifying Markowitz," IRTG 1792 Discussion Papers 2021-018, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Mingyang Li & Linlin Niu, 2021. "Faster fiscal stimulus and a higher government spending multiplier in China: Mixed-frequency identification with SVAR," Working Papers 2021-10-19, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.