Report NEP-ECM-2025-01-27

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:

• Zhewen Pan & Yifan Zhang, 2024, "Locally robust semiparametric estimation of sample selection models without exclusion restrictions," Papers, arXiv.org, number 2412.01208, Dec.
• Javier Alejo & Antonio F. Galvao & Julian Martinez-Iriarte & Gabriel Montes-Rojas, 2024, "Endogenous Heteroskedasticity in Linear Models," Papers, arXiv.org, number 2412.02767, Dec, revised Dec 2025.
• Robin Braun & George Kapetanios & Massimiliano Marcellino, 2025, "Nonparametric Time Varying IV-SVARs: Estimation and Inference," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2025-004, Jan, DOI: 10.17016/FEDS.2025.004.
• Christoph Breunig & Ruixuan Liu & Zhengfei Yu, 2024, "Semiparametric Bayesian Difference-in-Differences," Papers, arXiv.org, number 2412.04605, Dec, revised Jun 2025.
• Sunny Karim & Matthew D. Webb, 2024, "Good Controls Gone Bad: Difference-in-Differences with Covariates," Papers, arXiv.org, number 2412.14447, Dec, revised Jul 2025.
• Mengsi Gao, 2024, "Endogenous Interference in Randomized Experiments," Papers, arXiv.org, number 2412.02183, Dec.
• Yanqin Fan & Hyeonseok Park, 2024, "Minimum Sliced Distance Estimation in a Class of Nonregular Econometric Models," Papers, arXiv.org, number 2412.05621, Dec.
• Zongwu Cai & Ying Fang & Ming Lin & Yaqian Wu, 2024, "Estimating Counterfactual Distribution Functions via Optimal Distribution Balancing with Applications," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202415, Oct.
• Yanqin Fan & Yigit Okar & Xuetao Shi, 2024, "Iterative Distributed Multinomial Regression," Papers, arXiv.org, number 2412.01030, Dec.
• Zhaomeng Chen & Junting Duan & Victor Chernozhukov & Vasilis Syrgkanis, 2024, "Automatic Doubly Robust Forests," Papers, arXiv.org, number 2412.07184, Dec, revised Jun 2025.
• Pierluigi Vallarino, 2024, "Dynamic kernel models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 24-082/III, Dec.
• Victor Chernozhukov & Whitney K. Newey & Vasilis Syrgkanis, 2024, "Conditional Influence Functions," Papers, arXiv.org, number 2412.18080, Dec.
• St'ephane Bonhomme & Koen Jochmans & Martin Weidner, 2024, "A Neyman-Orthogonalization Approach to the Incidental Parameter Problem," Papers, arXiv.org, number 2412.10304, Dec, revised Feb 2026.
• Zhaoyang Shi & Chinmoy Bhattacharjee & Krishnakumar Balasubramanian & Wolfgang Polonik, 2024, "Gaussian and Bootstrap Approximation for Matching-based Average Treatment Effect Estimators," Papers, arXiv.org, number 2412.17181, Dec.
• Sung Hoon Choi & Donggyu Kim, 2024, "Large Volatility Matrix Prediction using Tensor Factor Structure," Papers, arXiv.org, number 2412.04293, Dec, revised May 2025.
• Dennis Lim & Wenjie Wang & Yichong Zhang, 2024, "A Dimension-Agnostic Bootstrap Anderson-Rubin Test For Instrumental Variable Regressions," Papers, arXiv.org, number 2412.01603, Dec, revised Sep 2025.
• Phillip Heiler & Asbj{o}rn Kaufmann & Bezirgen Veliyev, 2024, "Treatment Evaluation at the Intensive and Extensive Margins," Papers, arXiv.org, number 2412.11179, Dec.
• Eduardo Schirmer Finn & Eduardo Horta, 2024, "Convolution Mode Regression," Papers, arXiv.org, number 2412.05736, Dec.
• Bora Kim, 2024, "Estimating Spillover Effects in the Presence of Isolated Nodes," Papers, arXiv.org, number 2412.05919, Dec.
• Jan Pruser, 2024, "A large non-Gaussian structural VAR with application to Monetary Policy," Papers, arXiv.org, number 2412.17598, Dec.
• Tae-Hwy Lee & Daanish Padha, 2025, "Forecasting Using Supervised Factors and Idiosyncratic Elements," Working Papers, University of California at Riverside, Department of Economics, number 202502, Jan.
• Jinyuan Chang & Cheng Yong Tang & Yuanzheng Zhu, 2024, "Bayesian penalized empirical likelihood and Markov Chain Monte Carlo sampling," Papers, arXiv.org, number 2412.17354, Dec, revised Mar 2025.
• Abhimanyu Gupta & Jungyoon Lee & Francesca Rossi, 2024, "Testing linearity of spatial interaction functions \`a la Ramsey," Papers, arXiv.org, number 2412.14778, Dec, revised Apr 2025.
• Yuta Okamoto & Yuuki Ozaki, 2024, "On Extrapolation of Treatment Effects in Multiple-Cutoff Regression Discontinuity Designs," Papers, arXiv.org, number 2412.04265, Dec, revised Sep 2025.
• Giuseppe Buccheri & Fulvio Corsi & Emilija Dzuverovic, 2024, "From rotational to scalar invariance: Enhancing identifiability in score-driven factor models," Papers, arXiv.org, number 2412.01367, Dec.
• Andrea Bucci & Michele Palma & Chao Zhang, 2024, "Geometric Deep Learning for Realized Covariance Matrix Forecasting," Papers, arXiv.org, number 2412.09517, Dec.
• Beatrice Foroni & Luca Merlo & Lea Petrella, 2024, "Hidden Markov graphical models with state-dependent generalized hyperbolic distributions," Papers, arXiv.org, number 2412.03668, Dec.
• Peder Isager & Jack Fitzgerald, 2024, "Three-Sided Testing to Establish Practical Significance: A Tutorial," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 24-077/III, Dec.
• Kexin Zhang & Simon Trimborn, 2024, "Influential assets in Large-Scale Vector AutoRegressive Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 24-080/III, Dec.
• Dobrislav Dobrev & Pawel J. Szerszen, 2025, "Missing Data Substitution for Enhanced Robust Filtering and Forecasting in Linear State-Space Models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2025-001, Jan, DOI: 10.17016/FEDS.2025.001.
• Kazuki Tomioka & Thomas T. Yang & Xibin Zhang, 2024, "Panel Stochastic Frontier Models with Latent Group Structures," Papers, arXiv.org, number 2412.08831, Dec, revised Apr 2026.
• Gianluca Cubadda, 2024, "VAR models with an index structure: A survey with new results," Papers, arXiv.org, number 2412.11278, Dec, revised Sep 2025.
• Miguel C. Herculano & Santiago Montoya-Bland'on, 2024, "Probabilistic Targeted Factor Analysis," Papers, arXiv.org, number 2412.06688, Dec, revised Jan 2026.
• Kees Jan van Garderen & Noud van Giersbergen, 2024, "Moderating the Mediation Bootstrap for Causal Inference," Papers, arXiv.org, number 2412.11285, Dec.
• James Bland & Yaroslav Rosokha, 2024, "Rounding the (Non)Bayesian Curve: Unraveling the Effects of Rounding Errors in Belief Updating," Purdue University Economics Working Papers, Purdue University, Department of Economics, number 1353, Oct.
• Tao Sun, 2024, "Bundle Choice Model with Endogenous Regressors: An Application to Soda Tax," Papers, arXiv.org, number 2412.05794, Dec.
• Sourav Majumdar & Arnab Kumar Laha, 2024, "Diffusion on the circle and a stochastic correlation model," Papers, arXiv.org, number 2412.06343, Dec, revised Jan 2026.
• Benedikt M. Potscher & David Preinerstorfer, 2024, "A Necessary and Sufficient Condition for Size Controllability of Heteroskedasticity Robust Test Statistics," Papers, arXiv.org, number 2412.17470, Dec, revised Apr 2026.
• Neil Christy & Amanda Ellen Kowalski, 2024, "Counting Defiers: A Design-Based Model of an Experiment Can Reveal Evidence Beyond the Average Effect," Papers, arXiv.org, number 2412.16352, Dec, revised Mar 2026.
• Markus Trunschke & Kenneth L. Judd, 2024, "Estimating Gross Output Production Functions," NBER Working Papers, National Bureau of Economic Research, Inc, number 33205, Nov.
• Liyu Dou & Paul Ho & Thomas A. Lubik, 2024, "Max-Share Misidentification," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 13-2024, Sep.
• Lin William Cong & Tengyuan Liang & Xiao Zhang & Wu Zhu, 2024, "Textual Factors: A Scalable, Interpretable, and Data-driven Approach to Analyzing Unstructured Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 33168, Nov.
• Jens Ludwig & Sendhil Mullainathan & Ashesh Rambachan, 2024, "Large Language Models: An Applied Econometric Framework," Papers, arXiv.org, number 2412.07031, Dec, revised Dec 2025.
• Niko Hauzenberger & Florian Huber & Karin Klieber & Massimiliano Marcellino, 2024, "Machine Learning the Macroeconomic Effects of Financial Shocks," Papers, arXiv.org, number 2412.07649, Dec.

Report NEP-ECM-2025-01-27

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: