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Report NEP-ECM-2023-05-29
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:
- Christis Katsouris, 2023, "Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors," Papers, arXiv.org, number 2305.00860, May, revised May 2023.
- Xuan Leng & Jiaming Mao & Yutao Sun, 2023, "Debiased Inference for Dynamic Nonlinear Panels with Multi-dimensional Heterogeneities," Papers, arXiv.org, number 2305.03134, May, revised Jan 2026.
- Liang Chen & Minyuan Zhang, 2023, "Common Correlated Effects Estimation of Nonlinear Panel Data Models," Papers, arXiv.org, number 2304.13199, Apr.
- Pedro H. C. Sant'Anna & Qi Xu, 2023, "Difference-in-Differences with Compositional Changes," Papers, arXiv.org, number 2304.13925, Apr, revised Nov 2025.
- David Bruns-Smith & Oliver Dukes & Avi Feller & Elizabeth L. Ogburn, 2023, "Augmented balancing weights as linear regression," Papers, arXiv.org, number 2304.14545, Apr, revised Jun 2024.
- Arindrajit Dube & Daniele Girardi & Òscar Jordà & Alan M. Taylor, 2023, "A Local Projections Approach to Difference-in-Differences," NBER Working Papers, National Bureau of Economic Research, Inc, number 31184, Apr.
- Paulo M.M. Rodrigues & João Nicolau, 2023, "Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics," Working Papers, Banco de Portugal, Economics and Research Department, number w202306.
- Jann Spiess & Guido Imbens & Amar Venugopal, 2023, "Double and Single Descent in Causal Inference with an Application to High-Dimensional Synthetic Control," Papers, arXiv.org, number 2305.00700, May, revised Oct 2023.
- Christian Bongiorno & Marco Berritta, 2023, "Optimal Covariance Cleaning for Heavy-Tailed Distributions: Insights from Information Theory," Papers, arXiv.org, number 2304.14098, Apr, revised Apr 2023.
- Konrad Menzel, 2023, "Transfer Estimates for Causal Effects across Heterogeneous Sites," Papers, arXiv.org, number 2305.01435, May, revised Oct 2025.
- Badi Baltagi, 2023, "The Two-way Mundlak Estimator," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 256, Apr.
- Sung Hoon Choi & Donggyu Kim, 2023, "Large Global Volatility Matrix Analysis Based on Observation Structural Information," Papers, arXiv.org, number 2305.01464, May, revised Feb 2024.
- Lutz Kilian & Michael D. Plante & Alexander W. Richter, 2023, "Estimating Macroeconomic News and Surprise Shocks," Working Papers, Federal Reserve Bank of Dallas, number 2304, Apr, revised 22 Mar 2024, DOI: 10.24149/wp2304r2.
- Mohamed Hamdouche & Pierre Henry-Labordere & Huyên Pham, 2023, "Generative modeling for time series via Schrödinger bridge," Working Papers, HAL, number hal-04063041, Apr.
- Jean-Jacques Forneron & Liang Zhong, 2023, "Convexity Not Required: Estimation of Smooth Moment Condition Models," Papers, arXiv.org, number 2304.14386, Apr, revised Jul 2025.
- Carsten H. Chong & Viktor Todorov, 2023, "Volatility of Volatility and Leverage Effect from Options," Papers, arXiv.org, number 2305.04137, May, revised Jan 2024.
- Luis J. Álvarez & Florens Odendahl, 2022, "Data outliers and Bayesian VARs in the Euro Area," Working Papers, Banco de España, number 2239, Nov, DOI: https://doi.org/10.53479/23552.
- Cantone, Giulio Giacomo & Tomaselli, Venera, 2023, "Multiversal Methods and Applications," MetaArXiv, Center for Open Science, number ukvw7, May, DOI: 10.31219/osf.io/ukvw7.
- Silvia Goncalves & Ana María Herrera & Lutz Kilian & Elena Pesavento, 2023, "State-Dependent Local Projections," Working Papers, Federal Reserve Bank of Dallas, number 2302, Apr, DOI: 10.24149/wp2302.
- Cheng Zhang & Nilam Nur Amir Sjarif & Roslina Ibrahim, 2023, "Deep learning models for price forecasting of financial time series: A review of recent advancements: 2020-2022," Papers, arXiv.org, number 2305.04811, Apr, revised Sep 2023.
- Andrew Na & Meixin Zhang & Justin Wan, 2023, "Computing Volatility Surfaces using Generative Adversarial Networks with Minimal Arbitrage Violations," Papers, arXiv.org, number 2304.13128, Apr, revised Dec 2023.