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Report NEP-ECM-2024-09-02
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:
- Tatsushi Oka & Shota Yasui & Yuta Hayakawa & Undral Byambadalai, 2024, "Regression Adjustment for Estimating Distributional Treatment Effects in Randomized Controlled Trials," Papers, arXiv.org, number 2407.14074, Jul, revised Jan 2025.
- Shosei Sakaguchi & Hayato Tagawa, 2024, "Identification and Bayesian Inference for Synthetic Control Methods with Spillover Effects," Papers, arXiv.org, number 2408.00291, Aug, revised Mar 2026.
- Andrea Ciaccio, 2024, "Distributional Difference-in-Differences Models with Multiple Time Periods," Papers, arXiv.org, number 2408.01208, Aug, revised May 2025.
- Richard Luger, 2024, "Regularizing stock return covariance matrices via multiple testing of correlations," Papers, arXiv.org, number 2407.09696, Jul.
- Alain Hecq & Ivan Ricardo & Ines Wilms, 2024, "Reduced-Rank Matrix Autoregressive Models: A Medium $N$ Approach," Papers, arXiv.org, number 2407.07973, Jul.
- Laurent Davezies & Guillaume Hollard & Pedro Vergara Merino, 2024, "Revisiting Randomization with the Cube Method," Papers, arXiv.org, number 2407.13613, Jul, revised Jul 2025.
- Patrick Rehill, 2024, "Distilling interpretable causal trees from causal forests," Papers, arXiv.org, number 2408.01023, Aug.
- Zhaoxing Gao, 2024, "Sparse Asymptotic PCA: Identifying Sparse Latent Factors Across Time Horizon in High-Dimensional Time Series," Papers, arXiv.org, number 2407.09738, Jul, revised Aug 2025.
- Lim Hao Shen Keith, 2024, "Covariance Matrix Analysis for Optimal Portfolio Selection," Papers, arXiv.org, number 2407.08748, Jun.
- Tassos Magdalinos & Katerina Petrova, 2024, "OLS Limit Theory for Drifting Sequences of Parameters on the Explosive Side of Unity," Staff Reports, Federal Reserve Bank of New York, number 1113, Aug, DOI: 10.59576/sr.1113.
- Jos'e E. Figueroa-L'opez & Jincheng Pang & Bei Wu, 2024, "Estimation of Integrated Volatility Functionals with Kernel Spot Volatility Estimators," Papers, arXiv.org, number 2407.09759, Jul, revised Sep 2025.
- Carsten H. Chong & Viktor Todorov, 2024, "A nonparametric test for rough volatility," Papers, arXiv.org, number 2407.10659, Jul.
- Fabrizio Lillo & Giorgio Rizzini, 2024, "Modelling shock propagation and resilience in financial temporal networks," Papers, arXiv.org, number 2407.09340, Jul.
- Benedikt Holtgen & Robert C. Williamson, 2024, "Formalising causal inference as prediction on a target population," Papers, arXiv.org, number 2407.17385, Jul, revised Jul 2025.
- Xavier Brouty & Matthieu Garcin & Hugo Roccaro, 2024, "Estimation of bid-ask spreads in the presence of serial dependence," Papers, arXiv.org, number 2407.17401, Jul, revised Jan 2025.
- Diego Ciccia, 2024, "A Short Note on Event-Study Synthetic Difference-in-Differences Estimators," Papers, arXiv.org, number 2407.09565, Jul, revised Nov 2024.
- Marc Burri & Daniel Kaufmann, 2024, "Measuring monetary policy shocks," IRENE Working Papers, IRENE Institute of Economic Research, number 24-03, Aug.
- Simon Hirsch & Jonathan Berrisch & Florian Ziel, 2024, "Online Distributional Regression," Papers, arXiv.org, number 2407.08750, Jun, revised Apr 2026.
- Neil Christy & A. E. Kowalski, 2024, "Starting Small: Prioritizing Safety over Efficacy in Randomized Experiments Using the Exact Finite Sample Likelihood," Papers, arXiv.org, number 2407.18206, Jul.
- Òscar Jordà & Alan M. Taylor, 2024, "Local Projections," Working Paper Series, Federal Reserve Bank of San Francisco, number 2024-24, Aug, DOI: 10.24148/wp2024-24.
- Yuri Matsumura & Suguru Otani, 2024, "Conduct Parameter Estimation in Homogeneous Goods Markets with Equilibrium Existence and Uniqueness Conditions: The Case of Log-linear Specification," Papers, arXiv.org, number 2407.12422, Jul, revised Nov 2025.
- Bruno Fava, 2024, "Predicting the Distribution of Treatment Effects via Covariate-Adjustment, with an Application to Microcredit," Papers, arXiv.org, number 2407.14635, Jul, revised Jul 2025.
- Martin Huber, 2024, "An Introduction to Causal Discovery," Papers, arXiv.org, number 2407.08602, Jul.
- Matteo Barigozzi & Marc Hallin, 2024, "The Dynamic, the Static, and the Weak: Factor models and the analysis of high-dimensional time series," Papers, arXiv.org, number 2407.10653, Jul, revised May 2025.
- Melissa Dell, 2024, "Deep Learning for Economists," Papers, arXiv.org, number 2407.15339, Jul, revised Nov 2024.
- Todd E. Clark & Gergely Ganics & Elmar Mertens, 2024, "Constructing Fan Charts from the Ragged Edge of SPF Forecasts," Working Papers, Federal Reserve Bank of Cleveland, number 22-36R, Aug, DOI: 10.26509/frbc-wp-202236r.