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.

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