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Report NEP-ECM-2024-09-30
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:
- Luther Yap, 2024, "Inference with Many Weak Instruments and Heterogeneity," Papers, arXiv.org, number 2408.11193, Aug, revised Apr 2025.
- Alyssa Carlson & Anastasia Semykina, 2024, "Addressing Attrition in Nonlinear Dynamic Panel Data Models with an Application to Health," Working Papers, Department of Economics, University of Missouri, number 2408, Sep.
- Geonwoo Kim & Suyong Song, 2024, "Double/Debiased CoCoLASSO of Treatment Effects with Mismeasured High-Dimensional Control Variables," Papers, arXiv.org, number 2408.14671, Aug.
- Weiss, Amanda, 2024, "How Much Should We Trust Modern Difference-in-Differences Estimates?," OSF Preprints, Center for Open Science, number bqmws, Aug, DOI: 10.31219/osf.io/bqmws.
- Carol Liu, 2024, "SPORTSCausal: Spill-Over Time Series Causal Inference," Papers, arXiv.org, number 2408.11951, Aug.
- Jonathan Fuhr & Dominik Papies, 2024, "Double Machine Learning meets Panel Data -- Promises, Pitfalls, and Potential Solutions," Papers, arXiv.org, number 2409.01266, Sep.
- Federico Bugni & Jackson Bunting & Muyang Ren, 2024, "Marginal homogeneity tests with panel data," Papers, arXiv.org, number 2408.15862, Aug, revised Dec 2025.
- Anne Opschoor & Dewi Peerlings & Luca Rossini & Andre Lucas, 2024, "Density Forecasting for Electricity Prices under Tail Heterogeneity with the t-Riesz Distribution," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 24-049/III, Jul.
- Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2024, "Corrected inference about the extreme Expected Shortfall in the general max-domain of attraction," TSE Working Papers, Toulouse School of Economics (TSE), number 24-1565, revised Sep 2025.
- Yan-Feng Wu & Xiangyu Yang & Jian-Qiang Hu, 2024, "Method of Moments Estimation for Affine Stochastic Volatility Models," Papers, arXiv.org, number 2408.09185, Aug.
- Igor Custodio João, 2024, "Testing for Clustering Under Switching," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 24-052/III, Aug.
- Yuya Sasaki & Yulong Wang, 2024, "Extreme Quantile Treatment Effects under Endogeneity: Evaluating Policy Effects for the Most Vulnerable Individuals," Papers, arXiv.org, number 2409.03979, Sep.
- Damir Filipović & Paul Schneider, 2024, "Fundamental properties of linear factor models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-42, Aug.
- Harvey, David I & Leybourne, Stephen J & Taylor, AM Robert & Zu, Yang, 2024, "A New Heteroskedasticity-Robust Test for Explosive Bubbles," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 39178, Sep.
- Shinji Koiso & Suguru Otani, 2024, "An MPEC Estimator for the Sequential Search Model," Papers, arXiv.org, number 2409.04378, Sep.
- Toru Yano, 2024, "State Space Model of Realized Volatility under the Existence of Dependent Market Microstructure Noise," Papers, arXiv.org, number 2408.17187, Aug.
- Masselus, Lise & Petrik, Christina & Ankel-Peters, Jörg, 2024, "Lost in the design space? Construct validity in the microfinance literature," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 1097, DOI: 10.4419/96973274.