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.

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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 2503.20149, arXiv.org.
• Jungbin Hwang & Gonzalo Valdés, 2025. "HAR Inference for Quantile Regression in Time Series," Working papers 2025-03, University of Connecticut, Department of Economics.
• Jacob Dorn, 2025. "How Much Weak Overlap Can Doubly Robust T-Statistics Handle?," Papers 2504.13273, arXiv.org, revised Apr 2025.
• Masahiro Tanaka, 2025. "Quasi-Bayesian Local Projections: Simultaneous Inference and Extension to the Instrumental Variable Method," Papers 2503.20249, arXiv.org.
• 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 267, Center for Policy Research, Maxwell School, Syracuse University.
• Ben Deaner & Chen-Wei Hsiang & Andrei Zeleneev, 2025. "Inferring Treatment Effects in Large Panels by Uncovering Latent Similarities," Papers 2503.20769, arXiv.org, revised Mar 2025.
• Cen, Zetai & Lam, Clifford, 2025. "Tensor time series imputation through tensor factor modelling," LSE Research Online Documents on Economics 127231, London School of Economics and Political Science, LSE Library.
• Matthew Read & Dan Zhu, 2025. "Fast Posterior Sampling in Tightly Identified SVARs Using 'Soft' Sign Restrictions," RBA Research Discussion Papers rdp2025-03, Reserve Bank of Australia.
• Castellanos, Juan, 2025. "Local Projections vs. VARs for structural parameter estimation," Bank of England working papers 1116, Bank of England.
• Uwe Hassler & Marc-Oliver Pohle & Tanja Zahn, 2025. "Simultaneous Inference Bands for Autocorrelations," Papers 2503.18560, arXiv.org.
• Gregor Steiner & Mark Steel, 2025. "Bayesian Model Averaging in Causal Instrumental Variable Models," Papers 2504.13520, arXiv.org, revised May 2025.
• Brendan Kline & Matthew A. Masten, 2025. "Finite Population Identification and Design-Based Sensitivity Analysis," Papers 2504.14127, arXiv.org, revised Jun 2025.
• Jushan Bai & Pablo Mones, 2025. "Global identification of dynamic panel models with interactive effects," Papers 2504.14354, arXiv.org.
• Christophe Bruneel-Zupanc, 2025. "Dynamic Discrete-Continuous Choice Models: Identification and Conditional Choice Probability Estimation," Papers 2504.16630, arXiv.org.
• Monica Billio & Roberto Casarin & Fausto Corradin & Antonio Peruzzi, 2025. "Bayesian Outlier Detection for Matrix-variate Models," Papers 2503.19515, arXiv.org.
• Alessandro Morico & Ovidijus Stauskas, 2025. "Robust Tests for Factor-Augmented Regressions with an Application to the novel EA-MD Dataset," Papers 2504.08455, arXiv.org.
• Achim Ahrens & Victor Chernozhukov & Christian Hansen & Damian Kozbur & Mark Schaffer & Thomas Wiemann, 2025. "An Introduction to Double/Debiased Machine Learning," Papers 2504.08324, arXiv.org.
• 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 2503.17290, arXiv.org, revised May 2025.
• Chris Hays & Manish Raghavan, 2025. "Double Machine Learning for Causal Inference under Shared-State Interference," Papers 2504.08836, arXiv.org.
• Markus Bibinger & Jun Yu & Chen Zhang, 2025. "Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion," Papers 2504.15985, arXiv.org.
• 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 122638, London School of Economics and Political Science, LSE Library.
• 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 127112, London School of Economics and Political Science, LSE Library.
• Riccardo Della Vecchia & Debabrota Basu, 2025. "Stochastic Online Instrumental Variable Regression: Regrets for Endogeneity and Bandit Feedback," Post-Print hal-03831210, HAL.
• Xiyue Han & Alexander Schied, 2025. "On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models," Papers 2504.09276, arXiv.org.
• Jingyi Wei & Steve Yang & Zhenyu Cui, 2025. "Integrated GARCH-GRU in Financial Volatility Forecasting," Papers 2504.09380, arXiv.org.
• Duncan K. Foley & Ellis Scharfenaker, 2024. "Bayesian Inference and the Principle of Maximum Entropy," Working Paper Series, Department of Economics, University of Utah 2024-03, University of Utah, Department of Economics.
• Philippe Goulet Coulombe, 2025. "Ordinary Least Squares as an Attention Mechanism," Papers 2504.09663, arXiv.org.
• Sokolov, Boris, 2025. "Causal Estimands for Policy Evaluation and Beyond," SocArXiv 4vtpk_v1, Center for Open Science.
• Yuming Ma & Shintaro Sengoku & Kazuhide Nakata, 2025. "Realized Local Volatility Surface," Papers 2504.15626, arXiv.org, 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 128016, London School of Economics and Political Science, LSE Library.