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Report NEP-ECM-2022-12-12
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:
- Woosik Gong & Myung Hwan Seo, 2022, "Bootstraps for Dynamic Panel Threshold Models," Papers, arXiv.org, number 2211.04027, Nov, revised Nov 2025.
- Zequn Jin & Lihua Lin & Zhengyu Zhang, 2022, "Identification and Auto-debiased Machine Learning for Outcome Conditioned Average Structural Derivatives," Papers, arXiv.org, number 2211.07903, Nov.
- Christian Gourieroux & Joann Jasiak, 2022, "Structural Modelling of Dynamic Networks and Identifying Maximum Likelihood," Papers, arXiv.org, number 2211.11876, Nov.
- Greta Goracci & Davide Ferrari & Simone Giannerini & Francesco ravazzolo, 2022, "Robust estimation for Threshold Autoregressive Moving-Average models," Papers, arXiv.org, number 2211.08205, Nov.
- Yiu Lim Lui & Peter C.B. Phillips & Jun Yu, 2022, "Robust Testing for Explosive Behavior with Strongly Dependent Errors," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 11-2022, Oct.
- Kohtaro Hitomi & Jianwei Jin & Keiji Nagai & Yoshihiko Nishiyama & Junfan Tao, 2022, "Unit root tests considering initial values and a concise method for computing powers," KIER Working Papers, Kyoto University, Institute of Economic Research, number 1084, Nov.
- Naoya Sueishi, 2022, "A Misuse of Specification Tests," Papers, arXiv.org, number 2211.11915, Nov, revised Sep 2025.
- Federico Crudu & Michael C. Knaus & Giovanni Mellace & Joeri Smits, 2022, "On the Role of the Zero Conditional Mean Assumption for Causal Inference in Linear Models," Papers, arXiv.org, number 2211.09502, Nov.
- Xiaomeng Zhang & Wendun Wang & Xinyu Zhang, 2022, "Asymptotic Properties of the Synthetic Control Method," Papers, arXiv.org, number 2211.12095, Nov.
- Marc S. Paolella & Pawel Polak, 2022, "Density and Risk Prediction with Non-Gaussian COMFORT Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-88, Nov.
- Kyunghoon Ban & D'esir'e K'edagni, 2022, "Robust Difference-in-differences Models," Papers, arXiv.org, number 2211.06710, Nov, revised Aug 2023.
- Jingwen Zhang & Yifang Chen & Amandeep Singh, 2022, "Causal Bandits: Online Decision-Making in Endogenous Settings," Papers, arXiv.org, number 2211.08649, Nov, revised Feb 2023.
- James A. Duffy & Sophocles Mavroeidis & Sam Wycherley, 2022, "Cointegration with Occasionally Binding Constraints," Papers, arXiv.org, number 2211.09604, Nov, revised Sep 2025.
- Lutz Kilian & Michael D. Plante & Alexander W. Richter, 2022, "Macroeconomic Responses to Uncertainty Shocks: The Perils of Recursive Orderings," Working Papers, Federal Reserve Bank of Dallas, number 2223, Nov, DOI: 10.24149/wp2223.
- Jianwei Jin & Keiji Nagai, 2022, "Sequential unit root test for first-order autoregressive processes with initial values," KIER Working Papers, Kyoto University, Institute of Economic Research, number 1085, Nov.
- Jack Jewson & Li Li & Laura Battaglia & Stephen Hansen & David Rossell & Piotr Zwiernik, 2022, "Graphical model inference with external network data," CeMMAP working papers, Institute for Fiscal Studies, number 20/22, Nov, DOI: 10.47004/wp.cem.2022.2022.
- Damian, Elena & Meuleman, Bart & van Oorschot, Wim, 2022, "Estimation of country-level effects in cross-national survey research using multilevel modelling: The role of statistical power," OSF Preprints, Center for Open Science, number m94kh, Aug, DOI: 10.31219/osf.io/m94kh.
- Vladim'ir Hol'y, 2022, "An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations," Papers, arXiv.org, number 2211.12376, Nov, revised May 2024.
- Jan Ditzen & Yiannis Karavias & Joakim Westerlund, 2022, "Multiple Structural Breaks in Interactive Effects Panel Data and the Impact of Quantitative Easing on Bank Lending," Papers, arXiv.org, number 2211.06707, Nov, revised Jan 2023.
- Andrzej Kocięcki & Marcin Kolasa, 2022, "A solution to the global identification problem in DSGE models," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2022-01.
- Andrey Shternshis & Piero Mazzarisi, 2022, "Variance of entropy for testing time-varying regimes with an application to meme stocks," Papers, arXiv.org, number 2211.05415, Nov, revised Jun 2023.
- Amoroso, Sara & Bruno, Randolph Luca & Magazzini, Laura, 2022, "The Identification of Time-Invariant Variables in Panel Data Model: Exploring the Role of Science in Firms’ Productivity," IZA Discussion Papers, IZA Network @ LISER, number 15708, Nov.
- Storti, Giuseppe & Wang, Chao, 2022, "A multivariate semi-parametric portfolio risk optimization and forecasting framework," MPRA Paper, University Library of Munich, Germany, number 115266, Aug.
- Clemens Possnig & Andreea Rotu{a}rescu & Kyungchul Song, 2022, "Estimating Dynamic Spillover Effects along Multiple Networks in a Linear Panel Model," Papers, arXiv.org, number 2211.08995, Nov.
- Thanh Trung Huynh & Minh Hieu Nguyen & Thanh Tam Nguyen & Phi Le Nguyen & Matthias Weidlich & Quoc Viet Hung Nguyen & Karl Aberer, 2022, "Efficient Integration of Multi-Order Dynamics and Internal Dynamics in Stock Movement Prediction," Papers, arXiv.org, number 2211.07400, Nov, revised Nov 2022.
- Youru Li & Zhenfeng Zhu & Xiaobo Guo & Shaoshuai Li & Yuchen Yang & Yao Zhao, 2022, "HGV4Risk: Hierarchical Global View-guided Sequence Representation Learning for Risk Prediction," Papers, arXiv.org, number 2211.07956, Nov.