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Report NEP-ECM-2024-02-26
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:
- Yuling Yan & Martin J. Wainwright, 2024, "Entrywise Inference for Missing Panel Data: A Simple and Instance-Optimal Approach," Papers, arXiv.org, number 2401.13665, Jan, revised Jul 2024.
- Sandro Heiniger, 2024, "Data-driven model selection within the matrix completion method for causal panel data models," Papers, arXiv.org, number 2402.01069, Feb.
- Felix Chan & Laszlo Matyas, 2024, "Estimation with Pairwise Observations," Papers, arXiv.org, number 2401.11229, Jan, revised Feb 2024.
- Nora Bearth & Michael Lechner, 2024, "Causal Machine Learning for Moderation Effects," Papers, arXiv.org, number 2401.08290, Jan, revised Jan 2025.
- Jochmans, Koen, 2024, "Modified-likelihood estimation of fixed-effect models for dyadic data," TSE Working Papers, Toulouse School of Economics (TSE), number 24-1502, Jan.
- Chudamani Poudyal, 2024, "Robust Estimation of the Tail Index of a Single Parameter Pareto Distribution from Grouped Data," Papers, arXiv.org, number 2401.14593, Jan, revised Feb 2024.
- Isaac Loh, 2024, "Inference under partial identification with minimax test statistics," Papers, arXiv.org, number 2401.13057, Jan, revised Apr 2024.
- Kaicheng Chen & Kyoo il Kim, 2024, "Identification of Average Responses with Endogenous Controls," Papers, arXiv.org, number 2401.14395, Jan, revised Feb 2026.
- Zachary Porreca, 2024, "A Note on Uncertainty Quantification for Maximum Likelihood Parameters Estimated with Heuristic Based Optimization Algorithms," Papers, arXiv.org, number 2401.07176, Jan.
- Haruki Kono, 2024, "Local Identification in Instrumental Variable Multivariate Quantile Regression Models," Papers, arXiv.org, number 2401.11422, Jan, revised Oct 2025.
- Zhenhao Gong & Min Seong Kim, 2024, "Policy Analysis Using Multilevel Regression Models with Group Interactive Fixed Effects," Working papers, University of Connecticut, Department of Economics, number 2024-01, Jan.
- Coady Wing & Seth M. Freedman & Alex Hollingsworth, 2024, "Stacked Difference-in-Differences," NBER Working Papers, National Bureau of Economic Research, Inc, number 32054, Jan.
- Sylvia Kaufmann & Markus Pape, 2023, "Bayesian (non-)unique sparse factor modelling," Working Papers, Swiss National Bank, Study Center Gerzensee, number 23.04, Dec.
- Jonathan Roth, 2024, "Interpreting Event-Studies from Recent Difference-in-Differences Methods," Papers, arXiv.org, number 2401.12309, Jan, revised Jan 2026.
- Rubin, Mark, 2024, "Redundant multiple testing corrections: The fallacy of using family-based error rates to make inferences about individual hypotheses," MetaArXiv, Center for Open Science, number d6a8s, Jan, DOI: 10.31219/osf.io/d6a8s.
- Lars Ericson & Xuejun Zhu & Xusi Han & Rao Fu & Shuang Li & Steve Guo & Ping Hu, 2024, "Deep Generative Modeling for Financial Time Series with Application in VaR: A Comparative Review," Papers, arXiv.org, number 2401.10370, Jan.
- Jozef Barunik & Lukas Vacha, 2024, "Predicting the volatility of major energy commodity prices: the dynamic persistence model," Papers, arXiv.org, number 2402.01354, Feb, revised Jul 2024.
- Stephen P. Holland & Erin T. Mansur & Valentin Verdier & Andrew J. Yates, 2024, "Regularization from Economic Constraints: A New Estimator for Marginal Emissions," NBER Working Papers, National Bureau of Economic Research, Inc, number 32065, Jan.
- Kjell G. Nyborg & Jiri Woschitz, 2024, "Robust difference-in-differences analysis when there is a term structure," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-03, Jan.
- Santavirta, Torsten & Stuhler, Jan, 2024, "Name-Based Estimators of Intergenerational Mobility," IZA Discussion Papers, IZA Network @ LISER, number 16725, Jan.
- Matteo Iacopini & Aubrey Poon & Luca Rossini & Dan Zhu, 2024, "A Quantile Nelson-Siegel model," Papers, arXiv.org, number 2401.09874, Jan, revised Jul 2025.
- M. Hashem Pesaran & Ron P. Smith, 2024, "High-dimensional forecasting with known knowns and known unknowns," Papers, arXiv.org, number 2401.14582, Jan, revised Apr 2024.
- Yechan Park & Yuya Sasaki, 2024, "A Bracketing Relationship for Long-Term Policy Evaluation with Combined Experimental and Observational Data," Papers, arXiv.org, number 2401.12050, Jan.
- Bryan T. Kelly & Boris Kuznetsov & Semyon Malamud & Teng Andrea Xu, 2023, "Large (and Deep) Factor Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-121, Dec.
- Luca Barbaglia & Lorenzo Frattarolo & Niko Hauzenberger & Dominik Hirschbuehl & Florian Huber & Luca Onorante & Michael Pfarrhofer & Luca Tiozzo Pezzoli, 2024, "Nowcasting economic activity in European regions using a mixed-frequency dynamic factor model," Papers, arXiv.org, number 2401.10054, Jan.