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Report NEP-ECM-2025-02-03
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:
- Ziyu Jiang, 2025, "Identification and Estimation of Simultaneous Equation Models Using Higher-Order Cumulant Restrictions," Papers, arXiv.org, number 2501.06777, Jan, revised Sep 2025.
- Yikun Zhang & Yen-Chi Chen, 2025, "Doubly Robust Inference on Causal Derivative Effects for Continuous Treatments," Papers, arXiv.org, number 2501.06969, Jan, revised Apr 2025.
- ALAMI CHENTOUFI, Reda, 2024, "Penalized Convex Estimation in Dynamic Location-Scale models," MPRA Paper, University Library of Munich, Germany, number 123283, Dec.
- Yuying Sun & Feng Chen & Jiti Gao, 2025, "Model Averaging for Time-Varying Vector Autoregressions," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 1/25.
- Dong, Hao & Otsu, Taisuke & Taylor, Luke, 2024, "Inference in the presence of unknown rates," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 126066, Dec.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2025, "Detecting sparse cointegration," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa, number 45708, Jan.
- Ryo Okui & Yutao Sun & Wendun Wang, 2025, "Recovering latent linkage structures and spillover effects with structural breaks in panel data models," Papers, arXiv.org, number 2501.09517, Jan.
- Adam Lee & Emil A. Stoltenberg & Per A. Mykland, 2025, "Semiparametrics via parametrics and contiguity," Papers, arXiv.org, number 2501.09483, Jan, revised Sep 2025.
- Sooahn Shin, 2024, "Difference-in-differences Design with Outcomes Missing Not at Random," Papers, arXiv.org, number 2411.18772, Nov.
- Zeyang Yu, 2024, "A Binary IV Model for Persuasion: Profiling Persuasion Types among Compliers," Papers, arXiv.org, number 2411.16906, Nov, revised Jul 2025.
- Massimo Franchi & Iliyan Georgiev & Paolo Paruolo, 2024, "Canonical correlation analysis of stochastic trends via functional approximation," Papers, arXiv.org, number 2411.19572, Nov, revised Sep 2025.
- Tinghan Zhang, 2025, "Estimating Sequential Search Models Based on a Partial Ranking Representation," Papers, arXiv.org, number 2501.07514, Jan, revised Jun 2025.
- Kenta Takatsu & Arun Kumar Kuchibhotla, 2025, "Bridging Root-$n$ and Non-standard Asymptotics: Adaptive Inference in M-Estimation," Papers, arXiv.org, number 2501.07772, Jan, revised Apr 2025.
- Áureo de Paula & Elie Tamer & Weiguang Liu, 2025, "Prediction sets and conformal inference with censored outcomes," CeMMAP working papers, Institute for Fiscal Studies, number 04/25, Jan, DOI: 10.47004/wp.cem.2025.0425.
- Ying Chen & Ziwei Xu & Kotaro Inoue & Ryutaro Ichise, 2024, "Causal Inference in Finance: An Expertise-Driven Model for Instrument Variables Identification and Interpretation," Papers, arXiv.org, number 2411.17542, Nov.
- Li, Chenxing & Yang, Qiao, 2025, "An Infinite Hidden Markov Model with GARCH for Short-Term Interest Rates," MPRA Paper, University Library of Munich, Germany, number 123200, Jan.
- Luo, Shikai & Yang, Ying & Shi, Chengchun & Yao, Fang & Ye, Jieping & Zhu, Hongtu, 2024, "Policy evaluation for temporal and/or spatial dependent experiments," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 122741, Jul.
- Jimmy Cheung & Smruthi Rangarajan & Amelia Maddocks & Xizhe Chen & Rohitash Chandra, 2024, "Quantile deep learning models for multi-step ahead time series prediction," Papers, arXiv.org, number 2411.15674, Nov.
- Bailey, N. & Ditzen, J. & Holly, S., 2025, "My neighbour's neighbour is not my neighbour: Instrumentation and causality in spatial models," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2501, Jan.
- Qianli Zhao & Chao Wang & Richard Gerlach & Giuseppe Storti & Lingxiang Zhang, 2024, "Autoencoder Enhanced Realised GARCH on Volatility Forecasting," Papers, arXiv.org, number 2411.17136, Nov.
- Jiaan Han & Junxiao Chen & Yanzhe Fu, 2024, "CatNet: Controlling the False Discovery Rate in LSTM with SHAP Feature Importance and Gaussian Mirrors," Papers, arXiv.org, number 2411.16666, Nov, revised Jun 2025.
- John List, 2025, "The Experimentalist Looks Within: Toward an Understanding of Within-Subject Experimental Designs," Natural Field Experiments, The Field Experiments Website, number 00804.
- Worapree Maneesoonthorn & David T. Frazier & Gael M. Martin, 2024, "Probabilistic Predictions of Option Prices Using Multiple Sources of Data," Papers, arXiv.org, number 2412.00658, Nov.
- Bednall, Timothy Colin, 2025, "Variance Explained (Vx): A General, Model-Based Approach for Explaining and Partitioning Variance," OSF Preprints, Center for Open Science, number us346, Jan, DOI: 10.31219/osf.io/us346.