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Report NEP-ECM-2023-04-17
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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-ECM
The following items were announced in this report:
- Yiqi Liu & Yuan Qi, 2023, "Using Forests in Multivariate Regression Discontinuity Designs," Papers, arXiv.org, number 2303.11721, Mar, revised Jun 2025.
- Matteo Barigozzi, 2023, "Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review," Papers, arXiv.org, number 2303.11777, Mar, revised May 2024.
- Alyssa Carlson & Wei Zhao, 2023, "Heckman sample selection estimators under heteroskedasticity," Working Papers, Department of Economics, University of Missouri, number 2303, Apr.
- Qizhao Chen & Morgane Austern & Vasilis Syrgkanis, 2023, "Inference on Optimal Dynamic Policies via Softmax Approximation," Papers, arXiv.org, number 2303.04416, Mar, revised Dec 2023.
- Antonis Demos, 2023, "Estimation of Asymmetric Stochastic Volatility in Mean Models," DEOS Working Papers, Athens University of Economics and Business, number 2309, Mar.
- Denis Chetverikov & Jinyong Hahn & Zhipeng Liao & Andres Santos, 2023, "Standard errors when a regressor is randomly assigned," Papers, arXiv.org, number 2303.10306, Mar.
- Facundo Arga~naraz & Juan Carlos Escanciano, 2023, "On the Existence and Information of Orthogonal Moments," Papers, arXiv.org, number 2303.11418, Mar, revised Jun 2023.
- Greeshma Balabhadra & El Mehdi Ainasse & Pawel Polak, 2023, "High-Frequency Volatility Estimation with Fast Multiple Change Points Detection," Papers, arXiv.org, number 2303.10550, Mar, revised Jun 2024.
- Yunyun Wang & Tatsushi Oka & Dan Zhu, 2023, "Distributional Vector Autoregression: Eliciting Macro and Financial Dependence," Papers, arXiv.org, number 2303.04994, Mar.
- Michaël Allouche & Mnacho Echenim & Emmanuel Gobet & Anne-Claire Maurice, 2024, "Statistical error bounds for weighted mean and median, with application to robust aggregation of cryptocurrency data," Working Papers, HAL, number hal-04017151, Dec.
- Apoorva Lal & Mac Lockhart & Yiqing Xu & Ziwen Zu, 2023, "How Much Should We Trust Instrumental Variable Estimates in Political Science? Practical Advice Based on Over 60 Replicated Studies," Papers, arXiv.org, number 2303.11399, Mar, revised Nov 2023.
- Raffaele Mattera & Philipp Otto, 2023, "Network log-ARCH models for forecasting stock market volatility," Papers, arXiv.org, number 2303.11064, Mar.
- Stéphane Crépey & Noufel Frikha & Azar Louzi, 2025, "A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-04037328, Aug, DOI: 10.1007/s00780-025-00573-5.
- David Muller & Emerson Melo & Ruben Schlotter, 2023, "A Distributionally Robust Random Utility Model," Papers, arXiv.org, number 2303.05888, Mar.