Report NEP-ECM-2025-06-09

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:

• David Kang & Seojeong Lee, 2025. "Misspecification-Robust Asymptotic and Bootstrap Inference for Nonsmooth GMM," Working Papers 423284005, Lancaster University Management School, Economics Department.
• Jan-Lukas Wermuth, 2025. "Proper Correlation Coefficients for Nominal Random Variables," Papers 2505.00785, arXiv.org.
• Jonas E. Arias & Juan F. Rubio-Ramirez & Minchul Shin, 2025. "A Gibbs Sampler for Efficient Bayesian Inference in Sign-Identified SVARs," Working Papers 25-19, Federal Reserve Bank of Philadelphia.
• Torben G. Andersen & Yi Ding & Viktor Todorov & Seunghyeon Yu, 2025. "The Factor Structure of Jump Risk," Working Papers 202531, University of Macau, Faculty of Business Administration.
• Stéphane Bonhomme & Angela Denis, 2025. "Fixed Effects and Beyond. Bias Reduction, Groups, Shrinkage and Factors in Panel Data," Working Papers 2526, Banco de España.
• Marín Díazaraque, Juan Miguel & Romero, Eva & Lopes Moreira Da Veiga, María Helena, 2025. "Switching the leverage switch," DES - Working Papers. Statistics and Econometrics. WS 47005, Universidad Carlos III de Madrid. Departamento de Estadística.
• Sumedh Gupte & Prashanth L. A. & Sanjay P. Bhat, 2025. "Learning to optimize convex risk measures: The cases of utility-based shortfall risk and optimized certainty equivalent risk," Papers 2506.01101, arXiv.org.
• Handziuk, Yurii, 2025. "Asset Demand Systems via Data Augmentation: Competition and Differentiation in Asset Management," HEC Research Papers Series 1541, HEC Paris.
• Philippe Goulet Coulombe & Massimiliano Marcellino & Dalibor Stevanovic, 2025. "Panel Machine Learning with Mixed-Frequency Data: Monitoring State-Level Fiscal Variables," CIRANO Working Papers 2025s-15, CIRANO.
• Qiang Chen & Tianyang Han & Jin Li & Ye Luo & Yuxiao Wu & Xiaowei Zhang & Tuo Zhou, 2025. "Can AI Master Econometrics? Evidence from Econometrics AI Agent on Expert-Level Tasks," Papers 2506.00856, arXiv.org, revised Jun 2025.