Report NEP-ECM-2025-05-12

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.

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Other reports in NEP-ECM

The following items were announced in this report:

• Tassos Magdalinos & Katerina Petrova, 2025. "Uniform Inference with General Autoregressive Processes," Staff Reports 1151, Federal Reserve Bank of New York.
• Alain-Philippe Fortin & Patrick Gagliardini & O. Scaillet, 2025. "Optimal Maximin GMM Tests for Sphericity in Latent Factor Analysis of Short Panels," Swiss Finance Institute Research Paper Series 25-27, Swiss Finance Institute.
• Stefano DellaVigna & Guido Imbens & Woojin Kim & David M. Ritzwoller, 2025. "Using Multiple Outcomes to Adjust Standard Errors for Spatial Correlation," Papers 2504.13295, arXiv.org.
• Xixi Hu & Yi Qian & Hui Xie, 2025. "Correcting Endogeneity via Instrument-Free Two-Stage Nonparametric Copula Control Functions," NBER Working Papers 33607, National Bureau of Economic Research, Inc.
• Jiankun Chen & Yanli Lin & Yang Yang, 2025. "Modeling and Estimating Two-Layer Network Interactions with Unknown Heteroskedasticity," Economics Discussion / Working Papers 25-03, The University of Western Australia, Department of Economics.
• Souvik Banerjee & Anirban Basu & Shubham Das, 2025. "Choosing Wisely: Evaluating Latent Factor Models in the Presence of a Contaminated Instrumental Variable with Varying Strength," NBER Working Papers 33620, National Bureau of Economic Research, Inc.
• Bulat Gafarov & Matthias Meier & Jos'e Luis Montiel Olea, 2025. "Projection Inference for set-identified SVARs," Papers 2504.14106, arXiv.org.
• Marcell T. Kurbucz & Betsab'e P'erez Garrido & Antal Jakov'ac, 2025. "Eigenvalue-Based Randomness Test for Residual Diagnostics in Panel Data Models," Papers 2504.05297, arXiv.org.
• F. Marta L. Di Lascio & Aurora Gatto, 2025. "A nonparametric conditional copula-based imputation method," BEMPS - Bozen Economics & Management Paper Series BEMPS112, Faculty of Economics and Management at the Free University of Bozen.
• Mikhail Chernov & Bryan T. Kelly & Semyon Malamud & Johannes Schwab, 2025. "A Test of the Efficiency of a Given Portfolio in High Dimensions," Swiss Finance Institute Research Paper Series 25-26, Swiss Finance Institute.
• Evan Munro, 2025. "Causal Inference under Interference through Designed Markets," Papers 2504.07217, arXiv.org.
• Bobeica, Elena & Holton, Sarah & Huber, Florian & Martínez Hernández, Catalina, 2025. "Beware of large shocks! A non-parametric structural inflation model," Working Paper Series 3052, European Central Bank.
• JD Opdyke, 2025. "Beating the Correlation Breakdown: Robust Inference, Flexible Scenarios, and Stress Testing for Financial Portfolios," Papers 2504.15268, arXiv.org, revised May 2025.
• Manuel Quintero & William T. Stephenson & Advik Shreekumar & Tamara Broderick, 2025. "Common Functional Decompositions Can Mis-attribute Differences in Outcomes Between Populations," Papers 2504.16864, arXiv.org.
• Hannah O’Keeffe & Katerina Petrova, 2025. "Component-Based Dynamic Factor Nowcast Model," Staff Reports 1152, Federal Reserve Bank of New York.