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Report NEP-ECM-2024-10-07
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:
- Francisco Blasques & Noah Stegehuis, 2024, "A Score-Driven Filter for Causal Regression Models with Time- Varying Parameters and Endogenous Regressors," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 24-016/III, Feb.
- Zhiqiang Liao & Zhaonan Qu, 2024, "Structured Lasso for convex nonparametric least squares: An application to Swedish electricity distribution networks," Papers, arXiv.org, number 2409.01911, Sep, revised Oct 2025.
- Guanghui Pan, 2024, "Estimating Heterogenous Treatment Effects for Survival Data with Doubly Doubly Robust Estimator," Papers, arXiv.org, number 2409.01412, Sep.
- Nan Liu & Yanbo Liu & Yuya Sasaki, 2024, "Estimation and Inference for Causal Functions with Multiway Clustered Data," Papers, arXiv.org, number 2409.06654, Sep.
- Chun Pong Lau, 2024, "Sensitivity Analysis for Dynamic Discrete Choice Models," Papers, arXiv.org, number 2408.16330, Aug.
- Eric Beutner & Julia Schaumburg & Barend Spanjers, 2024, "Bootstrapping GARCH Models Under Dependent Innovations," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 24-008/III, Jan.
- Matias D. Cattaneo & Yingjie Feng & Boris Shigida, 2024, "Uniform Estimation and Inference for Nonparametric Partitioning-Based M-Estimators," Papers, arXiv.org, number 2409.05715, Sep, revised Aug 2025.
- Anton Skrobotov, 2024, "Panel Data Unit Root testing: Overview," Papers, arXiv.org, number 2408.08908, Aug.
- Lenin Arango-Castillo & Francisco J. Martínez-Ramírez & María José Orraca, 2024, "Univariate Measures of Persistence: A Comparative Analysis," Working Papers, Banco de México, number 2024-11, Sep.
- Zhongjian Lin & Francis Vella, 2024, "Endogenous Treatment Models with Social Interactions: An Application to the Impact of Exercise on Self-Esteem," Papers, arXiv.org, number 2408.13971, Aug.
- Philipp Gersing, 2024, "Actually, There is No Rotational Indeterminacy in the Approximate Factor Model," Papers, arXiv.org, number 2408.11676, Aug, revised Oct 2024.
- Rangika Peiris & Minh-Ngoc Tran & Chao Wang & Richard Gerlach, 2024, "Loss-based Bayesian Sequential Prediction of Value at Risk with a Long-Memory and Non-linear Realized Volatility Model," Papers, arXiv.org, number 2408.13588, Aug.
- Kory Kroft & Ismael Mourifié & Atom Vayalinkal, 2024, "Horowitz-Manski-Lee Bounds With Multilayered Sample Selection," NBER Working Papers, National Bureau of Economic Research, Inc, number 32952, Sep.
- Henk Keffert & Nikolaus Schweizer, 2024, "Stochastic Monotonicity and Random Utility Models: The Good and The Ugly," Papers, arXiv.org, number 2409.00704, Sep.
- Jamie L. Cross & Lennart Hoogerheide & Paul Labonne & Herman K. van Dijk, 2024, "Flexible Negative Binomial Mixtures for Credible Mode Inference in Heterogeneous Count Data from Finance, Economics and Bioinformatics," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 24-056/III, Sep.
- Yaojun Zhang & Lanpeng Ji & Georgios Aivaliotis & Charles C. Taylor, 2024, "Bayesian CART models for aggregate claim modeling," Papers, arXiv.org, number 2409.01908, Sep, revised Aug 2025.
- Mitrodima, Gelly & Oberoi, Jaideep, 2024, "CAViaR models for Value-at-Risk and Expected Shortfall with long range dependency features," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 120880, Jan.
- Zhao, X. & Hong, S. Y. & Linton, O. B., 2024, "Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2449, Sep.