Report NEP-ECM-2023-06-19

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:

• Shunsuke Imai & Lei Qin & Takahide Yanagi, 2023, "Doubly Robust Uniform Confidence Bands for Group-Time Conditional Average Treatment Effects in Difference-in-Differences," Papers, arXiv.org, number 2305.02185, May, revised Jul 2025.
• Florian Huber & Gary Koop, 2023, "Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks," Papers, arXiv.org, number 2305.16827, May.
• Christis Katsouris, 2023, "Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models," Papers, arXiv.org, number 2305.11282, May, revised Jul 2023.
• Alvarez, Luis Antonio, 2023, "Approximate Bayesian Computation for Partially Identified Models," MPRA Paper, University Library of Munich, Germany, number 117339, Mar.
• Ahnaf Rafi, 2023, "Efficient Semiparametric Estimation of Average Treatment Effects Under Covariate Adaptive Randomization," Papers, arXiv.org, number 2305.08340, May.
• Chen, Zezhun Chen & Dassios, Angelos & Tzougas, George, 2023, "INAR approximation of bivariate linear birth and death process," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118769, Oct.
• Curbelo Benitez, Ernesto Angel & Martino, Luca & Llorente Fernández, Fernando & Delgado Gómez, David, 2023, "Adaptive posterior distributions for covariance matrix learning in Bayesian inversion problems for multioutput signals," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 37391, May.
• Nadja van ’t Hoff & Arthur Lewbel & Giovanni Mellace, 2023, "Limited Monotonicity and the Combined Compliers LATE," Boston College Working Papers in Economics, Boston College Department of Economics, number 1059, May, revised 20 Jan 2025.
• Bo Zhou, 2023, "Semiparametrically Optimal Cointegration Test," Papers, arXiv.org, number 2305.08880, May.
• Valentin Zelenyuk & Shirong Zhao, 2023, "Further Improvements of Finite Sample Approximation of Central Limit Theorems for Weighted and Unweighted Malmquist Productivity Indices," CEPA Working Papers Series, School of Economics, University of Queensland, Australia, number WP042023, May.
• Haitian Xie, 2023, "Grenander-type Density Estimation under Myerson Regularity," Papers, arXiv.org, number 2305.09052, May.
• Emilija Dzuverovic & Matteo Barigozzi, 2023, "Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices," Papers, arXiv.org, number 2305.08488, May, revised Jul 2024.
• Gary Koop & Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon & Ping Wu, 2023, "Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting," Working Papers, Federal Reserve Bank of Cleveland, number 23-09, May, DOI: 10.26509/frbc-wp-202309.
• Fernando Delbianco & Fernando Tohmé, 2023, "Individualized Conformal," Working Papers, Red Nacional de Investigadores en Economía (RedNIE), number 247, May.
• Sumanjay Dutta & Shashi Jain, 2023, "Precision versus Shrinkage: A Comparative Analysis of Covariance Estimation Methods for Portfolio Allocation," Papers, arXiv.org, number 2305.11298, May.
• Mario Martinoli & Alessio Moneta & Gianluca Pallante, 2022, "Calibration and Validation of Macroeconomic Simulation Models by Statistical Causal Search," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2022/33, Oct.
• Mugrabi, Farah Daniela, 2023, "Detecting and dating possibly distinct structural breaks in the covariance structure of financial assets," LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2023001, Mar.
• Federico Podestà, 2023, "Studying the Welfare State by Analysing Time-Series-Cross-Section Data," FBK-IRVAPP Working Papers, Research Institute for the Evaluation of Public Policies (IRVAPP), Bruno Kessler Foundation, number 2023-03, May.
• Leccadito, Arturo & Staino, Alessandro & Toscano, Pietro, 2022, "A Novel Robust Method for Estimating the Covariance Matrix of Financial Returns with Applications to Risk Management," LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2022011, Nov.
• Mariia Artemova & Francisco Blasques & Siem Jan Koopman, 2023, "A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic Factors," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 23-021/III, Apr.
• Jia Xu & Longbing Cao, 2023, "Copula Variational LSTM for High-dimensional Cross-market Multivariate Dependence Modeling," Papers, arXiv.org, number 2305.08778, May.
• Yichi Zhang & Mihai Cucuringu & Alexander Y. Shestopaloff & Stefan Zohren, 2023, "Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models," Papers, arXiv.org, number 2305.06704, May, revised Sep 2023.

Report NEP-ECM-2023-06-19

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: