Report NEP-ECM-2017-10-01

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:

• Degui Li & Peter C.B. Phillips & Jiti Gao, 2017. "Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression," Cowles Foundation Discussion Papers 3009, Cowles Foundation for Research in Economics, Yale University.
• Jann Spiess, 2017. "Unbiased Shrinkage Estimation," Papers 1708.06436, arXiv.org, revised Oct 2017.
• Qiying Wang & Peter C.B. Phillips & Ioannis Kasparis, 2017. "Latent Variable Nonparametric Cointegrating Regression," Cowles Foundation Discussion Papers 3011, Cowles Foundation for Research in Economics, Yale University.
• Ye Luo & Martin Spindler, 2017. "$L_2$Boosting for Economic Applications," Papers 1702.03244, arXiv.org.
• Marcus Cordi & Damien Challet & Ioane Muni Toke, 2017. "Testing the causality of Hawkes processes with time reversal," Papers 1709.08516, arXiv.org.
• Isaiah Andrews & Emily Oster, 2017. "A Simple Approximation for Evaluating External Validity Bias," NBER Working Papers 23826, National Bureau of Economic Research, Inc.
• Subal C. Kumbhakar & Christopher F. Parmeter & Valentin Zelenyuk, 2017. "Stochastic Frontier Analysis: Foundations and Advances," Working Papers 2017-10, University of Miami, Department of Economics.
• Francis J. DiTraglia & Camilo García-Jimeno, 2017. "Mis-classified, Binary, Endogenous Regressors: Identification and Inference," NBER Working Papers 23814, National Bureau of Economic Research, Inc.
• Jann Spiess, 2017. "Bias Reduction in Instrumental Variable Estimation through First-Stage Shrinkage," Papers 1708.06443, arXiv.org, revised Oct 2017.
• Clarke, Damian, 2017. "Estimating Difference-in-Differences in the Presence of Spillovers," MPRA Paper 81604, University Library of Munich, Germany.
• Jens Ludwig & Sendhil Mullainathan & Jann Spiess, 2017. "Machine-Learning Tests for Effects on Multiple Outcomes," Papers 1707.01473, arXiv.org, revised May 2019.
• Todd Prono, 2017. "Regular Variation of Popular GARCH Processes Allowing for Distributional Asymmetry," Finance and Economics Discussion Series 2017-095, Board of Governors of the Federal Reserve System (U.S.).
• Marc Hallin, 2017. "On Distribution and Quantile Functions, Ranks and Signs in R_d," Working Papers ECARES ECARES 2017-34, ULB -- Universite Libre de Bruxelles.
• Jiri Witzany, 2017. "A Bayesian Approach to Backtest Overfitting," Working Papers IES 2017/18, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2017.
• Dietmar Pfeifer & Andreas Mandle & Olena Ragulina, 2017. "New copulas based on general partitions-of-unity and their applications to risk management (part II)," Papers 1709.07682, arXiv.org, revised Jan 2019.
• Chen, Liang, 2017. "Quantile Factor Models," UC3M Working papers. Economics 25299, Universidad Carlos III de Madrid. Departamento de Economía.
• Lenard Lieb & Stephan Smeekes, 2017. "Inference for Impulse Responses under Model Uncertainty," Papers 1709.09583, arXiv.org, revised Oct 2019.
• Sauer, Robert M. & Taber, Christopher, 2017. "Indirect Inference with Importance Sampling: An Application to Women's Wage Growth," IZA Discussion Papers 11004, Institute of Labor Economics (IZA).
• Anirban Basu & Norma Coe & Cole G. Chapman, 2017. "Comparing 2SLS vs 2SRI for Binary Outcomes and Binary Exposures," NBER Working Papers 23840, National Bureau of Economic Research, Inc.
• Ismael Mourifie & Marc Henry & Romuald Meango, 2017. "Sharp bounds and testability of a Roy model of STEM major choices," Papers 1709.09284, arXiv.org, revised Nov 2019.
• Steel, Mark F. J., 2017. "Model Averaging and its Use in Economics," MPRA Paper 81568, University Library of Munich, Germany.
• Iv'an Fern'andez-Val & Martin Weidner, 2017. "Fixed Effect Estimation of Large T Panel Data Models," Papers 1709.08980, arXiv.org, revised Mar 2018.
• Yu-Wei Hsieh & Xiaoxia Shi & Matthew Shum, 2017. "Inference on Estimators defined by Mathematical Programming," Papers 1709.09115, arXiv.org.
• Franses, Ph.H.B.F. & Janssens, E., 2017. "This time it is different! Or not?," Econometric Institute Research Papers EI2017-25, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.