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Report NEP-ECM-2023-02-27
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:
- Harold D Chiang & Yukitoshi Matsushita & Taisuke Otsu, 2023, "Regression adjustment in randomized controlled trials with many covariates," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 627, Feb.
- Alain Hecq & Luca Margaritella & Stephan Smeekes, 2023, "Inference in Non-stationary High-Dimensional VARs," Papers, arXiv.org, number 2302.01434, Feb, revised Sep 2023.
- Liudas Giraitis & Yufei Li & Peter C.B. Phillips, 2023, "Robust Inference on Correlation under General Heterogeneity," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2354, Feb.
- Pesaran, M. H. & Smith, R. P., 2023, "The Role of Pricing Errors in Linear Asset Pricing Models with Strong, Semi-strong, and Latent Factors," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2317, Feb.
- Nicholas Brown, 2023, "Moment-Based Estimation of Linear Panel Data Models with Factor-Augmented Errors," Working Paper, Economics Department, Queen's University, number 1498, Feb.
- Chronopoulos, Ilias & Raftapostolos, Aristeidis & Kapetanios, George, 2023, "Forecasting Value-at-Risk using deep neural network quantile regression," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 34837, Feb.
- Jan Pruser & Florian Huber, 2023, "Nonlinearities in Macroeconomic Tail Risk through the Lens of Big Data Quantile Regressions," Papers, arXiv.org, number 2301.13604, Jan, revised Sep 2023.
- Alain Hecq & Marie Ternes & Ines Wilms, 2023, "Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions," Papers, arXiv.org, number 2301.10592, Jan, revised Nov 2024.
- Cheng Peng & Stanislav Uryasev, 2023, "Factor Model of Mixtures," Papers, arXiv.org, number 2301.13843, Jan, revised Mar 2023.
- Rainer Winkelmann, 2023, "Neglected heterogeneity, Simpson’s paradox, and the anatomy of least squares," ECON - Working Papers, Department of Economics - University of Zurich, number 426, Jan, revised Jul 2023.
- Hongjian Shi & Mathias Drton & Marc Hallin & Fang Han, 2023, "Semiparametrically Efficient Tests of Multivariate Independence Using Center-Outward Quadrant, Spearman, and Kendall Statistics," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2023-03, Jan.
- Harold D Chiang & Yuya Sasaki, 2023, "On Using The Two-Way Cluster-Robust Standard Errors," Papers, arXiv.org, number 2301.13775, Jan.
- Jean-Jacques Forneron, 2023, "Noisy, Non-Smooth, Non-Convex Estimation of Moment Condition Models," Papers, arXiv.org, number 2301.07196, Jan, revised Aug 2025.
- Geert Dhaene & Martin Weidner, 2023, "Approximate Functional Differencing," Papers, arXiv.org, number 2301.13736, Jan, revised May 2023.
- Richard K. Crump & Nikolay Gospodinov & Hunter Wieman, 2023, "Sparse Trend Estimation," Staff Reports, Federal Reserve Bank of New York, number 1049, Feb.
- Bo E. Honore & Luojia Hu, 2021, "Sample Selection Models Without Exclusion Restrictions: Parameter Heterogeneity and Partial Identification," Working Paper Series, Federal Reserve Bank of Chicago, number WP 2022-33, Jul, DOI: 10.21033/wp-2022-33.
- Phuong Anh Nguyen & Michael Wolf, 2023, "Single-firm inference in event studies via the permutation test," ECON - Working Papers, Department of Economics - University of Zurich, number 425, Jan, revised Nov 2023.
- Benjamin Avanzi & Greg Taylor & Melantha Wang & Bernard Wong, 2023, "Machine Learning with High-Cardinality Categorical Features in Actuarial Applications," Papers, arXiv.org, number 2301.12710, Jan.
- Matteo Barigozzi & Filippo Pellegrino, 2023, "Multidimensional dynamic factor models," Papers, arXiv.org, number 2301.12499, Jan.
- Mario Forni & Luca Gambetti & Giovanni Ricco, 2023, "External Instrument SVAR Analysis forNoninvertible Shocks," Working Papers, Center for Research in Economics and Statistics, number 2023-03, Jan.