Report NEP-ECM-2025-01-13

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:

• Linton, O. B. & Rücker, M. & Vogt, M. & Walsh, C., 2024, "Estimation and Inference in High-Dimensional Panel Data Models with Interactive Fixed Effects," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2467, Nov.
• Aßmann, Christian & Boysen-Hogrefe, Jens & Pape, Markus, 2024, "Post-processing for Bayesian analysis of reduced rank regression models with orthonormality restrictions," Open Access Publications from Kiel Institute for the World Economy, Kiel Institute for the World Economy (IfW Kiel), number 306605, DOI: 10.1007/s10182-023-00489-5.
• Silvia Goncalves & Ana María Herrera & Lutz Kilian & Elena Pesavento, 2024, "Nonparametric Local Projections," Working Papers, Federal Reserve Bank of Dallas, number 2414, Nov, DOI: 10.24149/wp2414.
• D'Haultfoeuille, Xavier & Gaillac, Christophe & Maurel, Arnaud, 2024, "Linear Regressions with Combined Data," TSE Working Papers, Toulouse School of Economics (TSE), number 24-1602, Dec.
• Jad Beyhum & Martin Mugnier, 2024, "Inference after discretizing unobserved heterogeneity," CeMMAP working papers, Institute for Fiscal Studies, number 29/24, Dec, DOI: 10.47004/wp.cem.2024.2924.
• Masahiro Kato, 2024, "Debiased Nonparametric Regression for Statistical Inference and Distributionally Robustness," Papers, arXiv.org, number 2412.20173, Dec, revised Mar 2025.
• Guastadisegni, Lucia & Cagnone, Silvia & Moustaki, Irini & Vasdekis, Vassilis, 2025, "The generalized Hausman test for detecting non-normality in the latent variable distribution of the two-parameter IRT model," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 126270, Nov.
• Mugnier, Martin & Wang, Ao, 2024, "Fixed Effects Nonlinear Panel Models with Heterogeneous Slopes : Identification and Consistency," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 1531.
• Frederik Krabbe, 2024, "Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models," Papers, arXiv.org, number 2412.19555, Dec, revised Dec 2025.
• Mohammad R. Jahan-Parvar & Charles Knipp & Pawel J. Szerszen, 2024, "Trend-Cycle Decomposition and Forecasting Using Bayesian Multivariate Unobserved Components," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2024-100, Dec, DOI: 10.17016/FEDS.2024.100.
• Jean-Jacques Forneron & Zhongjun Qu, 2024, "Fitting Dynamically Misspecified Models: An Optimal Transportation Approach," Papers, arXiv.org, number 2412.20204, Dec, revised Jul 2025.
• António Rua & Junho Lee & Miguel de Carvalho & Julio Avila, 2024, "Bayesian smoothing for time-varying extremal dependence," Working Papers, Banco de Portugal, Economics and Research Department, number w202406.
• Xu, Yongdeng, 2024, "Extended multivariate EGARCH model: A model for zero†return and negative spillovers," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2024/24, Dec.
• Paul, Joseph R. & Schaffer, Mark E., 2024, "An introduction to conformal inference for economists," Accountancy, Economics, and Finance Working Papers, Heriot-Watt University, Department of Accountancy, Economics, and Finance, number 2024-13.
• Raffaella Giacomini & Jason Lu & Katja Smetanina, 2024, "Perceived shocks and impulse responses," CeMMAP working papers, Institute for Fiscal Studies, number 21/24, Nov, DOI: 10.47004/wp.cem.2024.2124.
• Soren Blomquist & Anil Kumar & Whitney K. Newey, 2024, "Panel Estimation of Taxable Income Elasticities with Heterogeneity and Endogenous Budget Sets," Papers, arXiv.org, number 2501.00633, Dec.
• Lorenzo Frattarolo, 2024, "Copula Central Asymmetry of Equity Portfolios," Papers, arXiv.org, number 2501.00634, Dec, revised Jan 2025.
• Matias Quiroz & Laleh Tafakori & Hans Manner, 2024, "Forecasting Realized Covariances Using HAR-Type Models," Graz Economics Papers, University of Graz, Department of Economics, number 2024-20, Dec.
• Kirill Borusyak & Peter Hull & Xavier Jaravel, 2024, "A practical guide to shift-share instruments," CeMMAP working papers, Institute for Fiscal Studies, number 22/24, Dec, DOI: 10.47004/wp.cem.2024.2224.
• Kirill Borusyak & Matan Kolerman-Shemer, 2024, "Regression discontinuity aggregation, with an application to the union effects on inequality," Papers, arXiv.org, number 2501.00428, Dec.
• Leo Krippner, 2024, "Applications of Vector Autoregressions in Their Scalar Autoregressive Component Form," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2024-71, Dec.
• Hollenbach, Johannes & Schmitz, Hendrik & Westphal, Matthias, 2024, "Gene-environment interactions with essential heterogeneity," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 1105, DOI: 10.4419/96973283.
• Andrade, Philippe & Ferroni, Filippo & Melosi, Leonardo, 2024, "Higher-Order Moment Inequality Restrictions for SVARs," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 1537.

Report NEP-ECM-2025-01-13

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: