Report NEP-ECM-2019-09-23

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:

• Korobilis, Dimitris, 2019. "High-dimensional macroeconomic forecasting using message passing algorithms," MPRA Paper 96079, University Library of Munich, Germany.
• Jennifer Castle & Jurgen Doornik & David Hendry, 2018. "Selecting a Model for Forecasting," Economics Series Working Papers 861, University of Oxford, Department of Economics.
• Colella, Fabrizio & Lalive, Rafael & Sakalli, Seyhun Orcan & Thoenig, Mathias, 2019. "Inference with Arbitrary Clustering," IZA Discussion Papers 12584, Institute of Labor Economics (IZA).
• Millimet, Daniel L. & Parmeter, Christopher F., 2019. "Accounting for Skewed or One-Sided Measurement Error in the Dependent Variable," IZA Discussion Papers 12576, Institute of Labor Economics (IZA).
• Vanessa Berenguer Rico & Bent Nielsen & Søren Johansen, 2019. "Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood," Economics Series Working Papers 879, University of Oxford, Department of Economics.
• Robert Calvert Jump, 2018. "Unambiguous inference in sign-restricted VAR models," Working Papers 20181802, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
• Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2019. "Estimation of Large Dimensional Conditional Factor Models in Finance," Swiss Finance Institute Research Paper Series 19-46, Swiss Finance Institute.
• Junyue Wua & Yasumasa Matsuda, 2019. "A threshold extension of spatial dynamic panel model," DSSR Discussion Papers 98, Graduate School of Economics and Management, Tohoku University.
• Matthieu Garcin, 2019. "Fractal analysis of the multifractality of foreign exchange rates [Analyse fractale de la multifractalité des taux de change]," Working Papers hal-02283915, HAL.
• Francesco Sergi, 2018. "DSGE Models and the Lucas Critique. A Historical Appraisal," Working Papers 20181806, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
• Damjana Kokol Bukovv{s}ek & Tomav{z} Kov{s}ir & Blav{z} Mojv{s}kerc & Matjav{z} Omladiv{c}, 2019. "Relation between non-exchangeability and measures of concordance of copulas," Papers 1909.06648, arXiv.org, revised Dec 2019.