Report NEP-ECM-2024-06-17

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:

• Joshua B. Gilbert & Zachary Himmelsbach & James Soland & Mridul Joshi & Benjamin W. Domingue, 2024, "Estimating Heterogeneous Treatment Effects with Item-Level Outcome Data: Insights from Item Response Theory," Papers, arXiv.org, number 2405.00161, Apr, revised Jan 2025.
• Emanuele Bacchiocchi & Toru Kitagawa, 2024, "SVARs with breaks: Identification and inference," Papers, arXiv.org, number 2405.04973, May, revised Mar 2026.
• Jiti Gao & Fei Liu & Bin Peng & Yayi Yan, 2024, "Robust Estimation and Inference for High-Dimensional Panel Data Models," Papers, arXiv.org, number 2405.07420, May, revised Feb 2025.
• Junho Choi & Ryo Okui, 2024, "Latent group structure in linear panel data models with endogenous regressors," Papers, arXiv.org, number 2405.08687, May.
• Luis A. F. Alvarez & Bruno Ferman, 2024, "On "Imputation of Counterfactual Outcomes when the Errors are Predictable": Discussions on Misspecification and Suggestions of Sensitivity Analyses," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2024_16, May.
• M. Hashem Pesaran & Ron P. Smith, 2024, "Identifying and exploiting alpha in linear asset pricing models with strong, semi-strong, and latent factors," Papers, arXiv.org, number 2405.02217, May, revised Oct 2024.
• Veldhuis, Sebastian & Wagner, Martin, 2024, "Integrated Modiï¬ ed Least Squares Estimation and (Fixed-b) Inference for Systems of Cointegrating Multivariate Polynomial Regressions," IHS Working Paper Series, Institute for Advanced Studies, number 54, May.
• Zacharias Psaradakis & Martin Sola & Francisco Rapetti & Patricio Yunis, 2024, "The Role of Consumer Sentiment in the Stock Market: A Multivariate Dynamic Mixture Model with Threshold Effects," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2024_01, Apr.
• Item repec:cam:camjip:2416 is not listed on IDEAS anymore

• Wang, Tengyao & Dobriban, Edgar & Gataric, Milana & Samworth, Richard J., 2024, "Sharp-SSL: selective high-dimensional axis-aligned random projections for semi-supervised learning," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 122552, May.
• Lonjezo Sithole, 2024, "A Locally Robust Semiparametric Approach to Examiner IV Designs," Papers, arXiv.org, number 2404.19144, Apr.
• David M. Ritzwoller & Vasilis Syrgkanis, 2024, "Simultaneous Inference for Local Structural Parameters with Random Forests," Papers, arXiv.org, number 2405.07860, May, revised Sep 2024.
• Nathaniel T. Wilcox, 2024, "Conditional Independence in a Binary Choice Experiment," Working Papers, Department of Economics, Appalachian State University, number 24-15.
• Rajveer Jat & Daanish Padha, 2024, "Kernel Three Pass Regression Filter," Papers, arXiv.org, number 2405.07292, May, revised Dec 2025.
• Zacharias Psaradakis & Martin Sola & Nicola Spagnolo & Patricio Yunis, 2024, "Predictive Accuracy of Impulse Responses Estimated Using Local Projections and Vector Autoregressions," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2024_02, May.
• Joshua Brault, 2024, "Parallel Tempering for DSGE Estimation," Staff Working Papers, Bank of Canada, number 24-13, May, DOI: 10.34989/swp-2024-13.
• Sullivan Hu'e & Christophe Hurlin & Yang Lu, 2024, "Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials," Papers, arXiv.org, number 2405.02012, May, revised May 2024.
• W. Benedikt Schmal, 2024, "Quantitative Tools for Time Series Analysis in Natural Language Processing: A Practitioners Guide," Papers, arXiv.org, number 2404.18499, Apr.
• H. Peter Boswijk & Jun Yu & Yang Zu, 2024, "Testing for an Explosive Bubble using High-Frequency Volatility," Papers, arXiv.org, number 2405.02087, May.
• Savi Virolainen, 2024, "Identification by non-Gaussianity in structural threshold and smooth transition vector autoregressive models," Papers, arXiv.org, number 2404.19707, Apr, revised Sep 2025.
• Ben Deaner & Hyejin Ku, 2024, "Causal Duration Analysis with Diff-in-Diff," Papers, arXiv.org, number 2405.05220, May.
• Zhang, Siliang & Kuha, Jouni & Steele, Fiona, 2024, "Modelling correlation matrices in multivariate data, with application to reciprocity and complementarity of child-parent exchanges of support," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 123698, Dec.
• Kojevnikov, Denis & Song, Kyungchul, 2023, "Econometric inference on a large bayesian game with heterogeneous beliefs," Other publications TiSEM, Tilburg University, School of Economics and Management, number aca0631e-4f8a-45c7-af3a-4.
• Kaizhao Liu & Jose Blanchet & Lexing Ying & Yiping Lu, 2024, "Orthogonal Bootstrap: Efficient Simulation of Input Uncertainty," Papers, arXiv.org, number 2404.19145, Apr, revised Apr 2024.
• Qian Wu & David M. Kaplan, 2024, "Ordinal Decomposition," Working Papers, Department of Economics, University of Missouri, number 2404, May.
• Battulga Gankhuu, 2024, "Bayesian Markov-Switching Vector Autoregressive Process," Papers, arXiv.org, number 2404.11235, Apr, revised Sep 2024.

Report NEP-ECM-2024-06-17

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: