Report NEP-ECM-2023-07-10

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:

• Fang, Qin & Guo, Shaojun & Qiao, Xinghao, 2024, "Adaptive functional thresholding for sparse covariance function estimation in high dimensions," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118700, Oct.
• Jia Chen Author-Name-First: Jia & Yongcheol Shin & Chaowen Zheng, 2023, "Dynamic Quantile Panel Data Models with Interactive Effects," Economics Discussion Papers, Department of Economics, University of Reading, number em-dp2023-06, Jun.
• Haiqi Li Author-Name-First: Haiqi & Jing Zhang & Chaowen Zheng, 2023, "Estimating and Testing for Functional Coefficient Quantile Cointegrating Regression," Economics Discussion Papers, Department of Economics, University of Reading, number em-dp2023-07, Jun.
• Wei Tian, 2023, "Individual Causal Inference Using Panel Data With Multiple Outcomes," Papers, arXiv.org, number 2306.01969, Jun.
• Christian Holberg & Susanne Ditlevsen, 2023, "Uniform Inference for Cointegrated Vector Autoregressive Processes," Papers, arXiv.org, number 2306.03632, Jun, revised Dec 2023.
• Christopher D. Walker, 2023, "Parametrization, Prior Independence, and the Semiparametric Bernstein-von Mises Theorem for the Partially Linear Model," Papers, arXiv.org, number 2306.03816, Jun, revised Apr 2025.
• Alejandro Sanchez-Becerra, 2023, "Robust inference for the treatment effect variance in experiments using machine learning," Papers, arXiv.org, number 2306.03363, Jun.
• Jiti Gao & Bin Peng & Yayi Yan, 2023, "Time-Varying Vector Error-Correction Models: Estimation and Inference," Papers, arXiv.org, number 2305.17829, May.
• Timothy B. Armstrong & Patrick Kline & Liyang Sun, 2023, "Adapting to Misspecification," Papers, arXiv.org, number 2305.14265, May, revised Sep 2025.
• Giovanni Ballarin, 2023, "Impulse Response Analysis of Structural Nonlinear Time Series Models," Papers, arXiv.org, number 2305.19089, May, revised Jun 2025.
• Eiji Kurozumi & Anton Skrobotov, 2023, "Improving the accuracy of bubble date estimators under time-varying volatility," Papers, arXiv.org, number 2306.02977, Jun.
• Ivan Jeliazkov & Shubham Karnawat & Mohammad Arshad Rahman & Angela Vossmeyer, 2023, "Flexible Bayesian Quantile Analysis of Residential Rental Rates," Papers, arXiv.org, number 2305.13687, May, revised Sep 2023.
• Bruno Ferman & Ot'avio Tecchio, 2023, "Dynamic LATEs with a Static Instrument," Papers, arXiv.org, number 2305.18114, May, revised Jan 2025.
• Wei Tian, 2023, "The Synthetic Control Method with Nonlinear Outcomes: Estimating the Impact of the 2019 Anti-Extradition Law Amendments Bill Protests on Hong Kong's Economy," Papers, arXiv.org, number 2306.01967, Jun.
• Sungyoon Lee & Sokbae Lee, 2023, "Prediction Risk and Estimation Risk of the Ridgeless Least Squares Estimator under General Assumptions on Regression Errors," Papers, arXiv.org, number 2305.12883, May, revised Jun 2024.
• Tommaso Manfè & Luca Nunziata, 2023, "Difference-In-Difference Design With Repeated Cross-Sections Under Compositional Changes: a Monte-Carlo Evaluation of Alternative Approaches," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0305, Nov.
• Christian Gourieroux & Quinlan Lee, 2023, "Nonlinear Impulse Response Functions and Local Projections," Papers, arXiv.org, number 2305.18145, May, revised Aug 2025.
• David M. Kaplan & Xin Liu, 2023, "Confidence Intervals for Intentionally Biased Estimators," Working Papers, Department of Economics, University of Missouri, number 2308, Jun.
• Rong J. B. Zhu, 2023, "Synthetic Regressing Control," Papers, arXiv.org, number 2306.02584, Jun, revised Jan 2026.
• Lei Bill Wang, 2023, "Estimating overidentified linear models with heteroskedasticity and outliers," Papers, arXiv.org, number 2305.17615, May, revised Aug 2024.
• Duarte, Belmiro P.M. & Atkinson, Anthony C. & P. Singh, Satya & S. Reis, Marco, 2023, "Optimal design of experiments for hypothesis testing on ordered treatments via intersection-union tests," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 115187, Apr.
• Matthieu Garcin, 2023, "Complexity measure, kernel density estimation, bandwidth selection, and the efficient market hypothesis," Papers, arXiv.org, number 2305.13123, May.
• F. Cipollini & G.M. Gallo & A. Palandri, 2023, "Modeling and evaluating conditional quantile dynamics in VaR forecasts," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 202308.
• Chen, Yudong & Wang, Tengyao & Samworth, Richard J., 2024, "Inference in high-dimensional online changepoint detection," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119449, Oct.
• Atsushi Inoue & `Oscar Jord`a & Guido M. Kuersteiner, 2023, "Inference for Local Projections," Papers, arXiv.org, number 2306.03073, Jun, revised Aug 2024.
• Andrew J. Patton & Yasin Simsek, 2023, "Generalized Autoregressive Score Trees and Forests," Papers, arXiv.org, number 2305.18991, May.

Report NEP-ECM-2023-07-10

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: