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Report NEP-ECM-2024-06-10
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:
- Donald W. K. Andrews & Ming Li, 2024, "Inference in a Stationary/Nonstationary Autoregressive Time-Varying-Parameter Model," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2389, May.
- Xin Liu, 2024, "A quantile-based nonadditive fixed effects model," Papers, arXiv.org, number 2405.03826, May, revised Dec 2025.
- Cl'ement de Chaisemartin & Diego Ciccia & Xavier D'Haultf{oe}uille & Felix Knau, 2024, "Difference-in-Differences Estimators When No Unit Remains Untreated," Papers, arXiv.org, number 2405.04465, May, revised Apr 2026.
- Shaomin Wu, 2024, "Identification and Estimation of Nonseparable Triangular Equations with Mismeasured Instruments," Papers, arXiv.org, number 2404.13735, Apr.
- Lu Zhang & Xiaomeng Zhang & Xinyu Zhang, 2024, "Asymptotic Properties of the Distributional Synthetic Controls," Papers, arXiv.org, number 2405.00953, May, revised Aug 2024.
- Zhaoxing Gao & Ruey S. Tsay, 2024, "Optimal Bias-Correction and Valid Inference in High-Dimensional Ridge Regression: A Closed-Form Solution," Papers, arXiv.org, number 2405.00424, May, revised Jul 2024.
- Daniel Bartl & Stephan Eckstein, 2024, "Optimal nonparametric estimation of the expected shortfall risk," Papers, arXiv.org, number 2405.00357, May, revised Feb 2026.
- Soonwoo Kwon & Jonathan Roth, 2024, "(Empirical) Bayes Approaches to Parallel Trends," Papers, arXiv.org, number 2404.11839, Apr.
- Ravi B. Sojitra & Vasilis Syrgkanis, 2024, "Dynamic Local Average Treatment Effects," Papers, arXiv.org, number 2405.01463, May, revised May 2025.
- David M. Kaplan & Xin Liu, 2024, "Finite-Sample Inference on Auction Bid Distributions Using Transaction Prices," Working Papers, Department of Economics, University of Missouri, number 2403, May.
- Alexandre Poirier & Tymon S{l}oczy'nski, 2024, "Quantifying the Internal Validity of Weighted Estimands," Papers, arXiv.org, number 2404.14603, Apr, revised Oct 2025.
- Daichi Hiraki & Siddhartha Chib & Yasuhiro Omori, 2024, "Stochastic Volatility in Mean: Efficient Analysis by a Generalized Mixture Sampler," Papers, arXiv.org, number 2404.13986, Apr, revised Nov 2024.
- Jacob Fein-Ashley, 2024, "A Comparison of Traditional and Deep Learning Methods for Parameter Estimation of the Ornstein-Uhlenbeck Process," Papers, arXiv.org, number 2404.11526, Apr, revised Apr 2024.
- Xu Cheng & Eric Renault & Paul Sangrey, 2024, "Identifying the Volatility Risk Price Through the Leverage Effect," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 24-013, Apr.
- Deng, Yaguo & Wiper, Michael Peter & Lopes Moreira da Veiga, María Helena, 2024, "A Bayesian semi-parametric approach to stochastic frontier models with inefficiency heterogeneity," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 43837, Apr.
- Patrick Rehill, 2024, "How do applied researchers use the Causal Forest? A methodological review of a method," Papers, arXiv.org, number 2404.13356, Apr, revised Dec 2024.
- Denis Chetverikov, 2024, "Tuning parameter selection in econometrics," Papers, arXiv.org, number 2405.03021, May.
- Lajos Horvath & Lorenzo Trapani & Shixuan Wang, 2024, "Sequential monitoring for explosive volatility regimes," Papers, arXiv.org, number 2404.17885, Apr.
- Xinshu Zhao & Dianshi Moses Li & Ze Zack Lai & Piper Liping Liu & Song Harris Ao & Fei You, 2024, "Percentage Coefficient (bp) -- Effect Size Analysis (Theory Paper 1)," Papers, arXiv.org, number 2404.19495, Apr, revised May 2024.
- Rüttenauer, Tobias & Kapelle, Nicole, 2024, "Panel Data Analysis," SocArXiv, Center for Open Science, number 3mfzq, May, DOI: 10.31219/osf.io/3mfzq.
- Jamie Fogel & Bernardo Modenesi, 2024, "Detailed Gender Wage Gap Decompositions: Controlling for Worker Unobserved Heterogeneity Using Network Theory," Papers, arXiv.org, number 2405.04365, May.
- Aur'elien Bibaut & Nathan Kallus, 2024, "Demistifying Inference after Adaptive Experiments," Papers, arXiv.org, number 2405.01281, May.
- Jian He & Asma Khedher & Peter Spreij, 2024, "Calibration of the rating transition model for high and low default portfolios," Papers, arXiv.org, number 2405.00576, May.
- Estey, Clayton, 2024, "Robust Bellman State Prediction with Learning and Model Preferences," OSF Preprints, Center for Open Science, number 75fc9, Apr, DOI: 10.31219/osf.io/75fc9.