Report NEP-ECM-2017-11-26

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:

• Gregor Kastner & Florian Huber, 2017. "Sparse Bayesian vector autoregressions in huge dimensions," Papers 1704.03239, arXiv.org, revised Dec 2019.
• Chirok Han & Goeun Lee, 2017. "Efficient Estimation of Linear Panel Data Models with Sample Selection and Fixed Effects," Discussion Paper Series 1707, Institute of Economic Research, Korea University.
• Jushan Bai & Serena Ng, 2017. "Principal Components and Regularized Estimation of Factor Models," Papers 1708.08137, arXiv.org, revised Nov 2017.
• Victor Chernozhukov & Iván Fernández-Val & Whitney Newey & Sami Stouli & Francis Vella, 2017. "Semiparametric Estimation of Structural Functions in Nonseparable Triangular Models," Bristol Economics Discussion Papers 17/690, School of Economics, University of Bristol, UK.
• Atkinson, Anthony C. & Biswas, Atanu, 2017. "Optimal response and covariate-adaptive biased-coin designs for clinical trials with continuous multivariate or longitudinal responses," LSE Research Online Documents on Economics 66761, London School of Economics and Political Science, LSE Library.
• M Hashem Pesaran & Ron P Smith, 2017. "Posterior Means and Precisions of the Coefficients in Linear Models with Highly Collinear Regressors," BCAM Working Papers 1707, Birkbeck Centre for Applied Macroeconomics.
• Karun Adusumilli & Taisuke Otsu & Yoon-Jae Whang, 2017. "Inference on distribution functions under measurement error," STICERD - Econometrics Paper Series 594, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
• Lorenzo Camponovo & Taisuke Otsu, 2017. "Relative error accurate statistic based on nonparametric likelihood," STICERD - Econometrics Paper Series 593, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
• Matteo Barigozzi & Matteo Luciani, 2017. "Common Factors, Trends, and Cycles in Large Datasets," Finance and Economics Discussion Series 2017-111, Board of Governors of the Federal Reserve System (U.S.).
• Taku Yamamoto & Hiroaki Chigira, 2017. "Forecasting Mortality: Some Recent Developments," Proceedings of International Academic Conferences 5808110, International Institute of Social and Economic Sciences.
• Wong, Shiu Fung & Tong, Howell & Siu, Tak Kuen & Lu, Zudi, 2017. "A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach," LSE Research Online Documents on Economics 78515, London School of Economics and Political Science, LSE Library.
• Simon Freyaldenhoven, 2017. "A Generalized Factor Model with Local Factors," 2017 Papers pfr361, Job Market Papers.
• Anders Bredahl Kock & David Preinerstorfer, 2017. "Power in High-dimensional testing Problems," Working Papers ECARES ECARES 2017-42, ULB -- Universite Libre de Bruxelles.
• Florian Huber & Gregor Kastner & Martin Feldkircher, 2016. "Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models," Papers 1607.04532, arXiv.org, revised Jul 2018.
• Kuha, Jouni & Mills, Colin, 2018. "On group comparisons with logistic regression models," LSE Research Online Documents on Economics 84163, London School of Economics and Political Science, LSE Library.
• Lillestøl, Jostein & Sinding-Larsen, Richard, 2017. "Creaming - and the depletion of resources: A Bayesian data analysis," Discussion Papers 2017/16, Norwegian School of Economics, Department of Business and Management Science.
• Franses, Ph.H.B.F. & Janssens, E., 2017. "Spurious Principal Components," Econometric Institute Research Papers EI2017-31, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Andrew Binning & Junior Maih, 2017. "Modelling Occasionally Binding Constraints Using Regime-Switching," Working Paper 2017/23, Norges Bank.