Report NEP-ECM-2025-05-19

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:

• Xiduo Chen & Xingdong Feng & Antonio F. Galvao & Yeheng Ge, 2025, "Treatment Effects Inference with High-Dimensional Instruments and Control Variables," Papers, arXiv.org, number 2503.20149, Mar, revised Oct 2025.
• Jungbin Hwang & Gonzalo Valdés, 2025, "HAR Inference for Quantile Regression in Time Series," Working papers, University of Connecticut, Department of Economics, number 2025-03, Feb, revised Mar 2026.
• Jacob Dorn, 2025, "How Much Weak Overlap Can Doubly Robust T-Statistics Handle?," Papers, arXiv.org, number 2504.13273, Apr, revised Apr 2025.
• Masahiro Tanaka, 2025, "Quasi-Bayesian Local Projections: Simultaneous Inference and Extension to the Instrumental Variable Method," Papers, arXiv.org, number 2503.20249, Mar, revised Dec 2025.
• Badi H. Baltagi & Long Liu, 2025, "Estimation and Testing in a Fixed Effects Panel Data Model with Serially Correlated Error Component Disturbances," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 267, May.
• Ben Deaner & Chen-Wei Hsiang & Andrei Zeleneev, 2025, "Inferring Treatment Effects in Large Panels by Uncovering Latent Similarities," Papers, arXiv.org, number 2503.20769, Mar, revised Mar 2025.
• Cen, Zetai & Lam, Clifford, 2025, "Tensor time series imputation through tensor factor modelling," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 127231, May.
• Matthew Read & Dan Zhu, 2025, "Fast Posterior Sampling in Tightly Identified SVARs Using 'Soft' Sign Restrictions," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2025-03, May, DOI: 10.47688/rdp2025-03.
• Juan Castellanos, 2025, "Local Projections vs. VARs for structural parameter estimation," Bank of England working papers, Bank of England, number 1116, Feb.
• Uwe Hassler & Marc-Oliver Pohle & Tanja Zahn, 2025, "Simultaneous Inference Bands for Autocorrelations," Papers, arXiv.org, number 2503.18560, Mar, revised Aug 2025.
• Gregor Steiner & Mark Steel, 2025, "Bayesian Model Averaging in Causal Instrumental Variable Models," Papers, arXiv.org, number 2504.13520, Apr, revised Feb 2026.
• Brendan Kline & Matthew A. Masten, 2025, "Finite Population Identification and Design-Based Sensitivity Analysis," Papers, arXiv.org, number 2504.14127, Apr, revised Mar 2026.
• Jushan Bai & Pablo Mones, 2025, "Global identification of dynamic panel models with interactive effects," Papers, arXiv.org, number 2504.14354, Apr, revised Oct 2025.
• Christophe Bruneel-Zupanc, 2025, "Dynamic Discrete-Continuous Choice Models: Identification and Conditional Choice Probability Estimation," Papers, arXiv.org, number 2504.16630, Apr.
• Monica Billio & Roberto Casarin & Fausto Corradin & Antonio Peruzzi, 2025, "Bayesian Outlier Detection for Matrix-variate Models," Papers, arXiv.org, number 2503.19515, Mar, revised Aug 2025.
• Alessandro Morico & Ovidijus Stauskas, 2025, "Robust Tests for Factor-Augmented Regressions with an Application to the novel EA-MD-QD Dataset," Papers, arXiv.org, number 2504.08455, Apr, revised Nov 2025.
• Achim Ahrens & Victor Chernozhukov & Christian Hansen & Damian Kozbur & Mark Schaffer & Thomas Wiemann, 2025, "An Introduction to Double/Debiased Machine Learning," Papers, arXiv.org, number 2504.08324, Apr, revised Feb 2026.
• Sven Klaassen & Jan Rabenseifner & Jannis Kueck & Philipp Bach, 2025, "Calibration Strategies for Robust Causal Estimation: Theoretical and Empirical Insights on Propensity Score-Based Estimators," Papers, arXiv.org, number 2503.17290, Mar, revised May 2025.
• Chris Hays & Manish Raghavan, 2025, "Double Machine Learning for Causal Inference under Shared-State Interference," Papers, arXiv.org, number 2504.08836, Apr.
• Markus Bibinger & Jun Yu & Chen Zhang, 2025, "Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion," Papers, arXiv.org, number 2504.15985, Apr.
• Alfonzetti, Giuseppe & Bellio, Ruggero & Chen, Yunxiao & Moustaki, Irini, 2025, "Pairwise stochastic approximation for confirmatory factor analysis of categorical data," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 122638, Feb.
• Lan Luo, By & Shi, Chengchun & Wang, Jitao & Wu, Zhenke & Li, Lexin, 2025, "Multivariate dynamic mediation analysis under a reinforcement learning framework," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 127112, Feb.
• Riccardo Della Vecchia & Debabrota Basu, 2025, "Stochastic Online Instrumental Variable Regression: Regrets for Endogeneity and Bandit Feedback," Post-Print, HAL, number hal-03831210, Feb.
• Xiyue Han & Alexander Schied, 2025, "On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models," Papers, arXiv.org, number 2504.09276, Apr, revised Sep 2025.
• Jingyi Wei & Steve Yang & Zhenyu Cui, 2025, "Unified GARCH-Recurrent Neural Network in Financial Volatility Forecasting," Papers, arXiv.org, number 2504.09380, Apr, revised Nov 2025.
• Item repec:uta:papers:2024-03 is not listed on IDEAS anymore

• Philippe Goulet Coulombe, 2025, "Ordinary Least Squares as an Attention Mechanism," Papers, arXiv.org, number 2504.09663, Apr, revised Jan 2026.
• Sokolov, Boris, 2025, "Causal Estimands for Policy Evaluation and Beyond," SocArXiv, Center for Open Science, number 4vtpk_v1, Apr, DOI: 10.31219/osf.io/4vtpk_v1.
• Yuming Ma & Shintaro Sengoku & Kazuhide Nakata, 2025, "Realized Local Volatility Surface," Papers, arXiv.org, number 2504.15626, Apr, revised Apr 2025.
• Koukorinis, Andreas & Peters, Gareth W. & Germano, Guido, 2025, "Generative-discriminative machine learning models for high-frequency financial regime classification," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 128016, Jun.

Report NEP-ECM-2025-05-19

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: