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.

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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 2389, Cowles Foundation for Research in Economics, Yale University.
• Xin Liu, 2024. "A quantile-based nonadditive fixed effects model," Papers 2405.03826, arXiv.org.
• Cl'ement de Chaisemartin & Diego Ciccia Xavier D'Haultf{oe}uille & Felix Knau, 2024. "Two-way Fixed Effects and Differences-in-Differences Estimators in Heterogeneous Adoption Designs," Papers 2405.04465, arXiv.org, revised Nov 2024.
• Shaomin Wu, 2024. "Identification and Estimation of Nonseparable Triangular Equations with Mismeasured Instruments," Papers 2404.13735, arXiv.org.
• Lu Zhang & Xiaomeng Zhang & Xinyu Zhang, 2024. "Asymptotic Properties of the Distributional Synthetic Controls," Papers 2405.00953, arXiv.org, 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 2405.00424, arXiv.org, revised Jul 2024.
• Daniel Bartl & Stephan Eckstein, 2024. "Optimal nonparametric estimation of the expected shortfall risk," Papers 2405.00357, arXiv.org.
• Soonwoo Kwon & Jonathan Roth, 2024. "(Empirical) Bayes Approaches to Parallel Trends," Papers 2404.11839, arXiv.org.
• Ravi B. Sojitra & Vasilis Syrgkanis, 2024. "Dynamic Local Average Treatment Effects," Papers 2405.01463, arXiv.org, revised May 2024.
• David M. Kaplan & Xin Liu, 2024. "Finite-Sample Inference on Auction Bid Distributions Using Transaction Prices," Working Papers 2403, Department of Economics, University of Missouri.
• Alexandre Poirier & Tymon S{l}oczy'nski, 2024. "Quantifying the Internal Validity of Weighted Estimands," Papers 2404.14603, arXiv.org.
• Daichi Hiraki & Siddhartha Chib & Yasuhiro Omori, 2024. "Stochastic Volatility in Mean: Efficient Analysis by a Generalized Mixture Sampler," Papers 2404.13986, arXiv.org, revised Nov 2024.
• Jacob Fein-Ashley, 2024. "A Comparison of Traditional and Deep Learning Methods for Parameter Estimation of the Ornstein-Uhlenbeck Process," Papers 2404.11526, arXiv.org, revised Apr 2024.
• Xu Cheng & Eric Renault & Paul Sangrey, 2024. "Identifying the Volatility Risk Price Through the Leverage Effect," PIER Working Paper Archive 24-013, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
• Deng, Yaguo, 2024. "A Bayesian semi-parametric approach to stochastic frontier models with inefficiency heterogeneity," DES - Working Papers. Statistics and Econometrics. WS 43837, Universidad Carlos III de Madrid. Departamento de Estadística.
• Patrick Rehill, 2024. "How do applied researchers use the Causal Forest? A methodological review of a method," Papers 2404.13356, arXiv.org.
• Denis Chetverikov, 2024. "Tuning parameter selection in econometrics," Papers 2405.03021, arXiv.org.
• Lajos Horvath & Lorenzo Trapani & Shixuan Wang, 2024. "Sequential monitoring for explosive volatility regimes," Papers 2404.17885, arXiv.org.
• 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 2404.19495, arXiv.org, revised May 2024.
• Rüttenauer, Tobias & Kapelle, Nicole, 2024. "Panel Data Analysis," SocArXiv 3mfzq, Center for Open Science.
• Jamie Fogel & Bernardo Modenesi, 2024. "Detailed Gender Wage Gap Decompositions: Controlling for Worker Unobserved Heterogeneity Using Network Theory," Papers 2405.04365, arXiv.org.
• Aur'elien Bibaut & Nathan Kallus, 2024. "Demistifying Inference after Adaptive Experiments," Papers 2405.01281, arXiv.org.
• Jian He & Asma Khedher & Peter Spreij, 2024. "Calibration of the rating transition model for high and low default portfolios," Papers 2405.00576, arXiv.org.
• Estey, Clayton, 2024. "Robust Bellman State Prediction with Learning and Model Preferences," OSF Preprints 75fc9, Center for Open Science.