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Report NEP-ECM-2023-08-28
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, "Bootstrapping Nonstationary Autoregressive Processes with Predictive Regression Models," Papers, arXiv.org, number 2307.14463, Jul.
- Matteo Barigozzi, 2023, "Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models," Papers, arXiv.org, number 2307.09864, Jul, revised Jun 2024.
- Jad Beyhum & Jonas Striaukas, 2023, "Testing for sparse idiosyncratic components in factor-augmented regression models," Papers, arXiv.org, number 2307.13364, Jul, revised Jul 2024.
- Masahiro Kato & Akari Ohda, 2023, "Asymptotically Unbiased Synthetic Control Methods by Moment Matching," Papers, arXiv.org, number 2307.11127, Jul, revised Nov 2025.
- Christis Katsouris, 2023, "Predictability Tests Robust against Parameter Instability," Papers, arXiv.org, number 2307.15151, Jul.
- Yuehao Bai & Jizhou Liu & Azeem M. Shaikh & Max Tabord-Meehan, 2023, "On the Efficiency of Finely Stratified Experiments," Papers, arXiv.org, number 2307.15181, Jul, revised Nov 2025.
- Ping Wu & Gary Koop, 2022, "Fast, Order-Invariant Bayesian Inference in VARs using the Eigendecomposition of the Error Covariance Matrix," Working Papers, University of Strathclyde Business School, Department of Economics, number 2310, Nov.
- Francesco Ruggieri, 2023, "Dynamic Regression Discontinuity: An Event-Study Approach," Papers, arXiv.org, number 2307.14203, Jul, revised Mar 2025.
- Hugo Kruiniger, 2023, "Large sample properties of GMM estimators under second-order identification," Papers, arXiv.org, number 2307.13475, Jul, revised Aug 2025.
- Frank Kleibergen & Lingwei Kong, 2023, "Identification Robust Inference for the Risk Premium in Term Structure Models," Papers, arXiv.org, number 2307.12628, Jul.
- Yuehao Bai & Hongchang Guo & Azeem M. Shaikh & Max Tabord-Meehan, 2023, "Inference in Experiments with Matched Pairs and Imperfect Compliance," Papers, arXiv.org, number 2307.13094, Jul, revised Jun 2024.
- Jad Beyhum & Elia Lapenta & Pascal Lavergne, 2023, "One-step smoothing splines instrumental regression," Papers, arXiv.org, number 2307.14867, Jul, revised Dec 2024.
- Younghoon Kim & Marie-Christine Duker & Zachary F. Fisher & Vladas Pipiras, 2023, "Latent Gaussian dynamic factor modeling and forecasting for multivariate count time series," Papers, arXiv.org, number 2307.10454, Jul, revised Apr 2025.
- Deepankar Basu, 2023, "The Yule-Frisch-Waugh-Lovell Theorem for Linear Instrumental Variables Estimation," Papers, arXiv.org, number 2307.12731, Jul, revised Aug 2023.
- Nalan Basturk & Jamie Cross & Peter de Knijff & Lennart Hoogerheide & Paul Labonne & Herman K van Dijk, 2023, "BayesMultiMode: Bayesian Mode Inference in R," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 23-041/III, Jul.
- Lingwei Kong, 2023, "Weak (Proxy) Factors Robust Hansen-Jagannathan Distance For Linear Asset Pricing Models," Papers, arXiv.org, number 2307.14499, Jul.
- Bruno Feunou, 2023, "Generalized Autoregressive Gamma Processes," Staff Working Papers, Bank of Canada, number 23-40, Aug, DOI: 10.34989/swp-2023-40.
- Andrew Bennett & Nathan Kallus & Xiaojie Mao & Whitney Newey & Vasilis Syrgkanis & Masatoshi Uehara, 2023, "Source Condition Double Robust Inference on Functionals of Inverse Problems," Papers, arXiv.org, number 2307.13793, Jul.
- St'ephane Bonhomme & Kevin Dano, 2023, "Functional Differencing in Networks," Papers, arXiv.org, number 2307.11484, Jul.
- Romuald Meango, 2023, "Using Probabilistic Stated Preference Analyses to Understand Actual Choices," Papers, arXiv.org, number 2307.13966, Jul.
- Torben G. Andersen & Viktor Todorov & Bo Zhou, 2023, "Real-Time Detection of Local No-Arbitrage Violations," Papers, arXiv.org, number 2307.10872, Jul.
- Mr. Sam Ouliaris & Ms. Celine Rochon, 2023, "Assessing the Impact of Policy Changes on a Nowcast," IMF Working Papers, International Monetary Fund, number 2023/153, Jul.
- Bryan S. Graham & Andrin Pelican, 2023, "Scenario Sampling for Large Supermodular Games," NBER Working Papers, National Bureau of Economic Research, Inc, number 31511, Jul.
- Dassios, Angelos & Zhang, Junyi, 2023, "Exact simulation of Poisson-Dirichlet distribution and generalised gamma process," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119755, Jun.
- Luca Mucciante & Alessio Sancetta, 2023, "Estimation of an Order Book Dependent Hawkes Process for Large Datasets," Papers, arXiv.org, number 2307.09077, Jul.
- Songnian Chen & Junlong Feng, 2023, "Group-Heterogeneous Changes-in-Changes and Distributional Synthetic Controls," Papers, arXiv.org, number 2307.15313, Jul.
- Evan Friedman & Duarte Gonc{c}alves, 2023, "Quantal Response Equilibrium with a Continuum of Types: Characterization and Nonparametric Identification," Papers, arXiv.org, number 2307.08011, Jul, revised Mar 2024.
- Bryan S. Graham & Andrin Pelican, 2023, "Scenario Sampling for Large Supermodular Games," Papers, arXiv.org, number 2307.11857, Jul.
- Nelson Kyakutwika & Bruce Bartlett, 2023, "Bayesian Forecasting of Stock Returns on the JSE using Simultaneous Graphical Dynamic Linear Models," Papers, arXiv.org, number 2307.08665, Jul.
- Philipp Gersing & Matteo Barigozzi & Christoph Rust & Manfred Deistler, 2023, "The Canonical Decomposition of Factor Models: Weak Factors are Everywhere," Papers, arXiv.org, number 2307.10067, Jul, revised Feb 2025.
- Kurt Graden Lunsford & Kenneth D. West, 2023, "Random Walk Forecasts of Stationary Processes Have Low Bias," Working Papers, Federal Reserve Bank of Cleveland, number 23-18, Aug, DOI: 10.26509/frbc-wp-202318.
- Lutz Kilian, 2023, "How to Construct Monthly VAR Proxies Based on Daily Futures Market Surprises," Working Papers, Federal Reserve Bank of Dallas, number 2310, Jul, DOI: 10.24149/wp2310.
- Bournakis, Ioannis & Tsionas, Mike G., 2023, "A Non-Parametric Estimation of Productivity with Idiosyncratic and Aggregate Shocks: The Role of Research and Development (R&D) and Corporate Tax," MPRA Paper, University Library of Munich, Germany, number 118100, Jul.
- Irsova, Zuzana & Doucouliagos, Hristos & Havranek, Tomas & Stanley, T. D., 2023, "Meta-Analysis of Social Science Research: A Practitioner’s Guide," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 273719.