Report NEP-ECM-2022-10-17

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:

• Jad Beyhum & Lorenzo Tedesco & Ingrid Van Keilegom, 2022. "Instrumental variable quantile regression under random right censoring," Papers 2209.01429, arXiv.org, revised Feb 2023.
• Max-Sebastian Dov`i & Anders Bredahl Kock & Sophocles Mavroeidis, 2022. "A Ridge-Regularised Jackknifed Anderson-Rubin Test," Papers 2209.03259, arXiv.org, revised Nov 2023.
• Jieun Lee, 2022. "Testing Endogeneity of Spatial Weights Matrices in Spatial Dynamic Panel Data Models," Papers 2209.05563, arXiv.org.
• Maria Elvira Mancino & Tommaso Mariotti & Giacomo Toscano, 2022. "Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise," Papers 2209.08967, arXiv.org.
• Daniel J. Lewis & Davide Melcangi & Laura Pilossoph & Aidan Toner-Rodgers, 2022. "Approximating Grouped Fixed Effects Estimation via Fuzzy Clustering Regression," Staff Reports 1033, Federal Reserve Bank of New York.
• Gabriel Okasa & Kenneth A. Younge, 2022. "Sample Fit Reliability," Papers 2209.06631, arXiv.org.
• Christian, Paul & Barrett, Christopher B., 2022. "Spurious Regressions and Panel IV Estimation: Revisiting the Causes of Conflict," I4R Discussion Paper Series 1, The Institute for Replication (I4R).
• Robert Adamek & Stephan Smeekes & Ines Wilms, 2022. "Local Projection Inference in High Dimensions," Papers 2209.03218, arXiv.org, revised Apr 2024.
• Sourabh Balgi & Jose M. Pe~na & Adel Daoud, 2022. "$\rho$-GNF: A Copula-based Sensitivity Analysis to Unobserved Confounding Using Normalizing Flows," Papers 2209.07111, arXiv.org, revised Aug 2024.
• Luca Aiello & Matteo Fontana & Alessandra Guglielmi, 2022. "Bayesian Functional Emulation of CO2 Emissions on Future Climate Change Scenarios," Papers 2209.05767, arXiv.org.
• Michael Lechner & Jana Mareckova, 2022. "Modified Causal Forest," Papers 2209.03744, arXiv.org.
• Fabre, Anaïs, 2022. "Robustness of Two-Way Fixed Effects Estimators to Heterogeneous Treatment Effects," TSE Working Papers 22-1362, Toulouse School of Economics (TSE), revised Jun 2023.
• Rutger-Jan Lange & Bram van Os & Dick van Dijk, 2022. "Implicit score-driven filters for time-varying parameter models," Tinbergen Institute Discussion Papers 22-066/III, Tinbergen Institute, revised 21 Nov 2024.
• Gregory Cox, 2022. "A Generalized Argmax Theorem with Applications," Papers 2209.08793, arXiv.org.
• D Barrera & S Cr'epey & E Gobet & Hoang-Dung Nguyen & B Saadeddine, 2022. "Statistical Learning of Value-at-Risk and Expected Shortfall," Papers 2209.06476, arXiv.org, revised Sep 2024.
• Bram De Rock & Domenico Moramarco, 2022. "Nonparametric Analysis of Heterogeneous Multidimensional Fairness," Working Papers ECARES 2022-29, ULB -- Universite Libre de Bruxelles.
• Sheyu Li & Valentyn Litvin & Charles F. Manski, 2022. "Partial Identification of Personalized Treatment Response with Trial-reported Analyses of Binary Subgroups," NBER Working Papers 30461, National Bureau of Economic Research, Inc.
• Marc Hallin, 2022. "Manfred Deistler and the General Dynamic Factor Model Approach to the Analysis of High-Dimensional Time Series," Working Papers ECARES 2022-30, ULB -- Universite Libre de Bruxelles.
• Benjamin Ferri, 2022. "Novel Shift-Share Instruments and Their Applications," Boston College Working Papers in Economics 1053, Boston College Department of Economics.
• Aur'elien Alfonsi & Nerea Vadillo, 2022. "A stochastic volatility model for the valuation of temperature derivatives," Papers 2209.05918, arXiv.org, revised Aug 2023.
• Jordan Roulleau-Pasdeloup, 2022. "Analyzing Linear DSGE models: the Method of Undetermined Markov States," Papers 2209.05081, arXiv.org, revised Feb 2023.
• Hugo Inzirillo & Ludovic De Villelongue, 2022. "An Attention Free Long Short-Term Memory for Time Series Forecasting," Papers 2209.09548, arXiv.org.
• Masahiro Kato & Masaaki Imaizumi & Takuya Ishihara & Toru Kitagawa, 2022. "Best Arm Identification with Contextual Information under a Small Gap," Papers 2209.07330, arXiv.org, revised Jan 2023.
• Ziwei Mei & Peter C. B. Phillips & Zhentao Shi, 2022. "The boosted HP filter is more general than you might think," Papers 2209.09810, arXiv.org, revised Apr 2024.
• Giulio Bottazzi & Taewon Kang & Federico Tamagni, 2022. "Persistence in firm growth: inference from conditional quantile transition matrice," LEM Papers Series 2022/27, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.