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Report NEP-ECM-2024-01-22
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:
- Annalivia Polselli, 2023, "Robust Inference in Panel Data Models: Some Effects of Heteroskedasticity and Leveraged Data in Small Samples," Papers, arXiv.org, number 2312.17676, Dec.
- Joann Jasiak & Aryan Manafi Neyazi, 2023, "GCov-Based Portmanteau Test," Papers, arXiv.org, number 2312.05373, Dec, revised Nov 2025.
- Gregory Faletto, 2023, "Fused Extended Two-Way Fixed Effects for Difference-in-Differences With Staggered Adoptions," Papers, arXiv.org, number 2312.05985, Dec, revised Apr 2025.
- Demetrescu, Matei & Rodrigues, Paulo MM & Taylor, AM Robert, 2025, "Predictive Quantile Regressions with Persistent and Heteroskedastic Predictors: A Powerful 2SLS Testing Approach," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 37486, Apr.
- Philipp Otto & Osman Dou{g}an & Suleyman Tac{s}p{i}nar, 2023, "Dynamic Spatiotemporal ARCH Models: Small and Large Sample Results," Papers, arXiv.org, number 2312.05898, Dec.
- Paul S. Clarke & Annalivia Polselli, 2023, "Double Machine Learning for Static Panel Models with Fixed Effects," Papers, arXiv.org, number 2312.08174, Dec, revised Dec 2024.
- Andrew Chesher & Adam Rosen & Yuanqi Zhang, 2024, "Robust analysis of short panels," CeMMAP working papers, Institute for Fiscal Studies, number 01/24, Jan, DOI: 10.47004/wp.cem.2024.0124.
- Matias D. Cattaneo & Fang Han & Zhexiao Lin, 2023, "On Rosenbaum's Rank-based Matching Estimator," Papers, arXiv.org, number 2312.07683, Dec, revised Jan 2024.
- Augusto Cerqua & Marco Letta & Fiammetta Menchetti, 2023, "Causal inference and policy evaluation without a control group," Papers, arXiv.org, number 2312.05858, Dec, revised Oct 2024.
- Annalivia Polselli, 2023, "Influence Analysis with Panel Data," Papers, arXiv.org, number 2312.05700, Dec.
- Lihua Lei & Brad Ross, 2023, "Estimating Counterfactual Matrix Means with Short Panel Data," Papers, arXiv.org, number 2312.07520, Dec, revised Dec 2025.
- William Liu, 2023, "A Theory Guide to Using Control Functions to Instrument Hazard Models," Papers, arXiv.org, number 2312.03165, Dec.
- Jean-Jacques Forneron, 2023, "Occasionally Misspecified," Papers, arXiv.org, number 2312.05342, Dec.
- Peter Knaus & Sylvia Fruhwirth-Schnatter, 2023, "The Dynamic Triple Gamma Prior as a Shrinkage Process Prior for Time-Varying Parameter Models," Papers, arXiv.org, number 2312.10487, Dec, revised Jan 2025.
- Marcin Pitera & Thorsten Schmidt & {L}ukasz Stettner, 2023, "A novel scaling approach for unbiased adjustment of risk estimators," Papers, arXiv.org, number 2312.05655, Dec.
- Lajos Horv'ath & Lorenzo Trapani, 2023, "Real-time monitoring with RCA models," Papers, arXiv.org, number 2312.11710, Dec.
- 'Alvaro Cartea & Gerardo Duran-Martin & Leandro S'anchez-Betancourt, 2023, "Detecting Toxic Flow," Papers, arXiv.org, number 2312.05827, Dec, revised Jan 2026.
- Jos'e Luis Montiel Olea & Chen Qiu & Jorg Stoye, 2023, "Decision Theory for Treatment Choice Problems with Partial Identification," Papers, arXiv.org, number 2312.17623, Dec, revised Jun 2025.
- Niccolò Lomys & Emanuele Tarantino, 2023, "Identification in Search Models with Social Information," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 694, Nov.
- Narine Yegoryan & Daniel Guhl & Friederike Paetz, 2023, "When Zeros Count: Confounding in Preference Heterogeneity and Attribute Non-attendance," Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition, number 482, Dec.
- Daniel Ngo & Keegan Harris & Anish Agarwal & Vasilis Syrgkanis & Zhiwei Steven Wu, 2023, "Incentive-Aware Synthetic Control: Accurate Counterfactual Estimation via Incentivized Exploration," Papers, arXiv.org, number 2312.16307, Dec, revised Feb 2026.
- Viola Monostoriné Grolmusz, 2023, "Optimal Forecast Combination Under Asymmetric Loss and Regime-Switching," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2023/3.
- Igor Ferreira Batista Martins & Hedibert Freitas Lopes, 2023, "Stochastic volatility models with skewness selection," Papers, arXiv.org, number 2312.00282, Nov.
- Milan Ficura & Jiri Witzany, 2023, "Historical Calibration of SVJD Models with Deep Learning," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2023/36, Dec, revised Dec 2023.
- K. B. Gubbels & J. Y. Ypma & C. W. Oosterlee, 2023, "Principal Component Copulas for Capital Modelling and Systemic Risk," Papers, arXiv.org, number 2312.13195, Dec, revised Jul 2025.
- Yuan Liao & Xinjie Ma & Andreas Neuhierl & Zhentao Shi, 2023, "Benign Overfitting in Economic Forecasting via Noise Regularization," Papers, arXiv.org, number 2312.05593, Dec, revised Apr 2026.
- Masahiro Kato, 2023, "Locally Optimal Fixed-Budget Best Arm Identification in Two-Armed Gaussian Bandits with Unknown Variances," Papers, arXiv.org, number 2312.12741, Dec, revised Mar 2024.
- Agathe Sadeghi & Achintya Gopal & Mohammad Fesanghary, 2023, "Causal Discovery in Financial Markets: A Framework for Nonstationary Time-Series Data," Papers, arXiv.org, number 2312.17375, Dec, revised Jun 2024.
- Yoosoon Chang & Yongok Choi & Chang Sik Kim & J. Isaac Miller & Joon Y. Park, 2024, "Common Trends and Country Specific Heterogeneities in Long-Run World Energy Consumption," Working Papers, Department of Economics, University of Missouri, number 2401, Jan.
- Christopher Palmer, 2023, "An IV Hazard Model of Loan Default with an Application to Subprime Mortgage Cohorts," NBER Working Papers, National Bureau of Economic Research, Inc, number 32000, Dec.