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Report NEP-ECM-2023-08-21
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:
- Zhou, Yunzhe & Shi, Chengchun & Li, Lexin & Yao, Qiwei, 2023, "Testing for the Markov property in time series via deep conditional generative learning," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119352, Sep.
- Vishal Kamat & Samuel Norris & Matthew Pecenco, 2023, "Identification in Multiple Treatment Models under Discrete Variation," Papers, arXiv.org, number 2307.06174, Jul, revised Jan 2026.
- Jeremy Majerovitz & Karthik Sastry, 2023, "How Much Should We Trust Regional-Exposure Designs?," Working Papers, Federal Reserve Bank of St. Louis, number 2023-018, Jul, DOI: 10.20955/wp.2023.018.
- Xiaorui Zhu & Yichen Qin & Peng Wang, 2023, "Sparsified Simultaneous Confidence Intervals for High-Dimensional Linear Models," Papers, arXiv.org, number 2307.07574, Jul, revised Jan 2025.
- Takamitsu Kurita & Mototsugu Shintani, 2023, "Johansen Test with Fourier-Type Smooth Nonlinear Trends in Cointegrating Relations," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-1216, Jun.
- Yoshihiro Yajima & Yasumasa Matsuda, 2023, "Gaussian semiparametric estimation Gaussian semiparametric estimation of two-dimensional intrinsically stationary random fields," DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University, number 136, Jul.
- Alena Skolkova, 2023, "Instrumental Variable Estimation with Many Instruments Using Elastic-Net IV," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp759, Jul.
- Amandeep Singh & Ye Liu & Hema Yoganarasimhan, 2023, "Choice Models and Permutation Invariance: Demand Estimation in Differentiated Products Markets," Papers, arXiv.org, number 2307.07090, Jul, revised Feb 2024.
- Alena Skolkova, 2023, "Model Averaging with Ridge Regularization," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp758, Jul.
- Viet Hoang Dinh & Didier Nibbering & Benjamin Wong, 2023, "Random Subspace Local Projections," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2023-34, Jul.
- Andrii Babii & Ryan T. Ball & Eric Ghysels & Jonas Striaukas, 2023, "Panel Data Nowcasting: The Case of Price-Earnings Ratios," Papers, arXiv.org, number 2307.02673, Jul.
- Bram van Os, 2023, "Information-Theoretic Time-Varying Density Modeling," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 23-037/III, Jun.
- Anders Rønn-Nielsen & Dorte Kronborg & Mette Asmild, 2022, "Permutation tests on returns to scale and common production frontiers in nonparametric models," IFRO Working Paper, University of Copenhagen, Department of Food and Resource Economics, number 2022/05, Aug.
- del Barrio Castro, Tomás & Osborn, Denise R., 2023, "Periodic Integration and Seasonal Unit Roots," MPRA Paper, University Library of Munich, Germany, number 117935, revised 2023.
- James A. Duffy & Sophocles Mavroeidis & Sam Wycherley, 2023, "Stationarity with Occasionally Binding Constraints," Papers, arXiv.org, number 2307.06190, Jul, revised Feb 2025.
- Jamie Cross & Lennart Hoogerheide & Paul Labonne & Herman K. van Dijk, 2023, "Bayesian Mode Inference for Discrete Distributions in Economics and Finance," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 23-038/III, Jun.
- Beatrice Foroni & Luca Merlo & Lea Petrella, 2023, "Quantile and expectile copula-based hidden Markov regression models for the analysis of the cryptocurrency market," Papers, arXiv.org, number 2307.06400, Jul.
- Jiyuan Huang & Per Östberg, 2023, "Difference-in-differences with Economic Factors and the Case of Housing Returns," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-55, Jun.
- Dargel, Lukas & Thomas-Agnan, Christine, 2023, "Share-ratio interpretations of compositional regression models," TSE Working Papers, Toulouse School of Economics (TSE), number 23-1456, Jul, revised 20 Sep 2023.
- Dargel, Lukas & Thomas-Agnan, Christine, 2023, "The link between multiplicative competitive interaction models and compositional data regression with a total," TSE Working Papers, Toulouse School of Economics (TSE), number 23-1455, Jul.
- Josep Lluís Carrion-i-Silvestre & Andreu Sansó, 2023, ""Generalized Extreme Value Approximation to the CUMSUMQ Test for Constant Unconditional Variance in Heavy-Tailed Time Series"," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 202309, Jul, revised Jul 2023.
- Lin William Cong & Guanhao Feng & Jingyu He & Junye Li, 2023, "Sparse Modeling Under Grouped Heterogeneity with an Application to Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 31424, Jul.
- Zhaoxing Gao & Ruey S. Tsay, 2023, "Supervised Dynamic PCA: Linear Dynamic Forecasting with Many Predictors," Papers, arXiv.org, number 2307.07689, Jul.
- Xiyue Han & Alexander Schied, 2023, "Estimating the roughness exponent of stochastic volatility from discrete observations of the integrated variance," Papers, arXiv.org, number 2307.02582, Jul, revised Apr 2026.
- Pustejovsky, James E & Chen, Man, 2023, "Equivalences between ad hoc strategies and meta-analytic models for dependent effect sizes," MetaArXiv, Center for Open Science, number pw54r, Jul, DOI: 10.31219/osf.io/pw54r.
- Davide Brignone & Alessandro Franconi & Marco Mazzali, 2023, "Robust Impulse Responses using External Instruments: the Role of Information," Papers, arXiv.org, number 2307.06145, Jul.