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Report NEP-ECM-2022-05-02
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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-ECM
The following items were announced in this report:
- Zhenting Sun & Kaspar Wuthrich, 2022, "Pairwise Valid Instruments," Papers, arXiv.org, number 2203.08050, Mar, revised Feb 2025.
- Philipp Otto & Osman Dou{g}an & Suleyman Tac{s}p{i}nar, 2022, "Dynamic Spatiotemporal ARCH Models," Papers, arXiv.org, number 2202.13856, Feb.
- Maaz Mahadi & Tarig Ballal & Muhammad Moinuddin & Tareq Y. Al-Naffouri & Ubaid Al-Saggaf, 2022, "Portfolio Optimization Using a Consistent Vector-Based MSE Estimation Approach," Papers, arXiv.org, number 2204.05611, Apr.
- Nathan Canen & Ko Sugiura, 2022, "Inference in Linear Dyadic Data Models with Network Spillovers," Papers, arXiv.org, number 2203.03497, Mar, revised Jun 2023.
- Cameron Fen, 2022, "Fast Simulation-Based Bayesian Estimation of Heterogeneous and Representative Agent Models using Normalizing Flow Neural Networks," Papers, arXiv.org, number 2203.06537, Mar.
- Matthew Harding & Carlos Lamarche & Chris Muris, 2022, "Estimation of a Factor-Augmented Linear Model with Applications Using Student Achievement Data," Papers, arXiv.org, number 2203.03051, Mar.
- Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim & Aaron Mora, 2022, "On Robust Inference in Time Series Regression," Papers, arXiv.org, number 2203.04080, Mar, revised May 2024.
- Denis Chetverikov & Yukun Liu & Aleh Tsyvinski, 2022, "Weighted-average quantile regression," Papers, arXiv.org, number 2203.03032, Mar.
- David W. Hughes, 2022, "A jackknife bias correction for nonlinear network data models with fixed effects," Papers, arXiv.org, number 2203.15603, Mar, revised Nov 2025.
- Aknouche, Abdelhakim & Scotto, Manuel, 2022, "A multiplicative thinning-based integer-valued GARCH model," MPRA Paper, University Library of Munich, Germany, number 112475, Mar.
- Daniel Czarnowske & Amrei Stammann, 2022, "Latent Unbalancedness in Three-Way Gravity Models," Papers, arXiv.org, number 2203.02235, Mar.
- Elia Lapenta & Pascal Lavergne, 2022, "Encompassing Tests for Nonparametric Regressions," Papers, arXiv.org, number 2203.06685, Mar, revised Oct 2023.
- Nibbering, Didier & Oosterveen, Matthijs & Silva, Pedro Luís, 2022, "Clustered Local Average Treatment Effects: Fields of Study and Academic Student Progress," IZA Discussion Papers, IZA Network @ LISER, number 15159, Mar.
- Brantly Callaway, 2022, "Difference-in-Differences for Policy Evaluation," Papers, arXiv.org, number 2203.15646, Mar.
- Shi, Chengchun & Li, Lexin, 2022, "Testing mediation effects using logic of Boolean matrices," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 108881, Oct.
- Javier Hidalgo & Heejun Lee & Jungyoon Lee & Myung Hwan Seo, 2022, "Minimax Risk in Estimating Kink Threshold and Testing Continuity," Papers, arXiv.org, number 2203.00349, Mar.
- Timo Dimitriadis & Lutz Duembgen & Alexander Henzi & Marius Puke & Johanna Ziegel, 2022, "Honest calibration assessment for binary outcome predictions," Papers, arXiv.org, number 2203.04065, Mar, revised Nov 2022.
- Daniel Czarnowske, 2022, "A Classifier-Lasso Approach for Estimating Production Functions with Latent Group Structures," Papers, arXiv.org, number 2203.02220, Mar.
- Victor Chernozhukov & Whitney Newey & Rahul Singh & Vasilis Syrgkanis, 2022, "Automatic Debiased Machine Learning for Dynamic Treatment Effects and General Nested Functionals," Papers, arXiv.org, number 2203.13887, Mar, revised Jun 2023.
- Martin Cousineau & Vedat Verter & Susan A. Murphy & Joelle Pineau, 2022, "Estimating causal effects with optimization-based methods: A review and empirical comparison," Papers, arXiv.org, number 2203.00097, Feb.
- Ravi Kashyap, 2022, "Are Instrumental Variables Really That Instrumental? Endogeneity Resolution in Regression Models for Comparative Studies," Papers, arXiv.org, number 2203.14255, Mar.
- Jun Lu & Shao Yi, 2022, "Reducing overestimating and underestimating volatility via the augmented blending-ARCH model," Papers, arXiv.org, number 2203.12456, Mar.
- Dalia Ghanem & Sarojini Hirshleifer & D'esir'e K'edagni & Karen Ortiz-Becerra, 2022, "Correcting Attrition Bias using Changes-in-Changes," Papers, arXiv.org, number 2203.12740, Mar, revised Mar 2024.
- Alberto Abadie & Jaume Vives-i-Bastida, 2022, "Synthetic Controls in Action," Papers, arXiv.org, number 2203.06279, Mar.
- Zeidman, Peter & Friston, Karl & Parr, Thomas, 2022, "A primer on Variational Laplace," OSF Preprints, Center for Open Science, number 28vwh, Apr, DOI: 10.31219/osf.io/28vwh.
- Jase Clarkson & Mihai Cucuringu & Andrew Elliott & Gesine Reinert, 2022, "DAMNETS: A Deep Autoregressive Model for Generating Markovian Network Time Series," Papers, arXiv.org, number 2203.15009, Mar, revised Oct 2023.
- Harrison H. Li & Art B. Owen, 2022, "A general characterization of optimal tie-breaker designs," Papers, arXiv.org, number 2202.12511, Feb, revised Oct 2022.
- Lotfi Boudabsa & Damir Filipović, 2022, "Ensemble learning for portfolio valuation and risk management," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-30, Apr.
- Baishuai Zuo & Chuancun Yin, 2022, "Multivariate doubly truncated moments for generalized skew-elliptical distributions with application to multivariate tail conditional risk measures," Papers, arXiv.org, number 2203.00839, Mar.
- Den Haan, Wouter J., 2020, "Discussion of estimating linearized heterogeneous agent models using panel data," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 103971, Jun.