Report NEP-ECM-2025-06-16

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:

• Siddhartha Chib & Kenichi Shimizu, 2025. "Model-based Estimation of Difference-in-Differences with Staggered Treatments," Papers 2505.18391, arXiv.org.
• Yukai Yang, 2025. "Design-Based Inference under Random Potential Outcomes via Riesz Representation," Papers 2505.01324, arXiv.org, revised May 2025.
• Lajos Horvath & Gregory Rice & Yuqian Zhao, 2025. "Detecting multiple change points in linear models with heteroscedastic errors," Papers 2505.01296, arXiv.org.
• Yuhao Li, 2025. "Model Checks in a Kernel Ridge Regression Framework," Papers 2505.01161, arXiv.org.
• Yu Hao & Hiroyuki Kasahara, 2025. "Estimating the Number of Components in Panel Data Finite Mixture Regression Models with an Application to Production Function Heterogeneity," Papers 2506.09666, arXiv.org.
• Yang Cai & Alkis Kalavasis & Katerina Mamali & Anay Mehrotra & Manolis Zampetakis, 2025. "What Makes Treatment Effects Identifiable? Characterizations and Estimators Beyond Unconfoundedness," Papers 2506.04194, arXiv.org.
• Lukas Bauer, 2025. "Evaluating financial tail risk forecasts: Testing Equal Predictive Ability," Papers 2505.23333, arXiv.org.
• Wooyong Lee, 2025. "Identification and estimation of dynamic random coefficient models," Papers 2505.01600, arXiv.org.
• Przemyslaw Jeziorski & Dingzhe Leng & Stephan Seiler, 2025. "Causal Inference with Endogenous Price Response," CESifo Working Paper Series 11898, CESifo.
• Yi Ding & Xinghua Zheng, 2025. "Sub-Gaussian Estimation of the Scatter Matrix in Ultra-High Dimensional Elliptical Factor Models with 2 + eth Moment," Working Papers 202529, University of Macau, Faculty of Business Administration.
• Stelios Arvanitis, 2025. "Frequentist Model Averaging with Nash Bargaining: A Stochastic Dominance Approach," Working Paper 1535, Economics Department, Queen's University.
• Justin Ho & Jonathan Min, 2025. "Causal Inference in Counterbalanced Within-Subjects Designs," Papers 2505.03937, arXiv.org.
• Joshua C. C. Chan & Michael Pfarrhofer, 2025. "Large Bayesian VARs for Binary and Censored Variables," Papers 2506.01422, arXiv.org.
• Quinn Lanners & Cynthia Rudin & Alexander Volfovsky & Harsh Parikh, 2025. "Data Fusion for Partial Identification of Causal Effects," Papers 2505.24296, arXiv.org.
• Yuhao Li & Xiaojun Song, 2025. "A Powerful Chi-Square Specification Test with Support Vectors," Papers 2505.04414, arXiv.org.
• Daniel F. Villarraga & Ricardo A. Daziano, 2025. "Bayesian Deep Learning for Discrete Choice," Papers 2505.18077, arXiv.org.
• Atsushi Inoue & Lutz Kilian, 2025. "The Conventional Impulse Response Prior in VAR Models with Sign Restrictions," Working Papers 2516, Federal Reserve Bank of Dallas.
• Lukas Berend & Jan Pruser, 2025. "Large structural VARs with multiple linear shock and impact inequality restrictions," Papers 2505.19244, arXiv.org.
• Yoosoon Chang & Joon Y. Park & Guo Yan, 2025. "Slope Consistency of Quasi-Maximum Likelihood Estimator for Binary Choice Models," Papers 2505.02327, arXiv.org.
• Yuya Sasaki & Ariell Zimran, 2025. "Using Discrepancies to Correct for False Matches in Historical Linked Data," NBER Working Papers 33881, National Bureau of Economic Research, Inc.
• Charles Beach & Russell Davidson, 2025. "Empirically Implementing a Social Welfare Inference Framework," Working Paper 1530, Economics Department, Queen's University.
• Florens, Jean-Pierre & Fève, Frédérique & Simar, Léopold, 2025. "Reconciling Engineers and Economists: the Case of a Cost Function for the Distribution of Gas," TSE Working Papers 25-1640, Toulouse School of Economics (TSE).
• Torben G. Andersen & Yi Ding & Viktor Todorov, 2025. "Tails of Cross-Sectional Return Distributions at High Frequencies," Working Papers 202530, University of Macau, Faculty of Business Administration.
• Yuexin Liao & Kota Saito & Alec Sandroni, 2025. "Random Utility with Aggregated Alternatives," Papers 2506.00372, arXiv.org.
• Tommaso Proietti & Alessandro Giovannelli, 2025. "On the Estimation of Climate Normals and Anomalies," CEIS Research Paper 602, Tor Vergata University, CEIS, revised 04 Jun 2025.
• Thomas Y. L. Lin & Jerry Yao-Chieh Hu & Paul W. Chiou & Peter Lin, 2025. "Latent Variable Estimation in Bayesian Black-Litterman Models," Papers 2505.02185, arXiv.org.
• James Hebden & Fabian Winkler, 2024. "Computation of Policy Counterfactuals in Sequence Space," Finance and Economics Discussion Series 2021-042r1, Board of Governors of the Federal Reserve System (U.S.).
• Bahaa Aly, Tarek, 2025. "Deep Impulse Response Functions for Macroeconomic Dynamics: A Hybrid LSTM-Wavelet Approach Compared to an ANN-Wavelet and VECM Models," MPRA Paper 124905, University Library of Munich, Germany.
• Tobias Adrian & Hongqi Chen & Max-Sebastian Dov`i & Ji Hyung Lee, 2025. "Machine-learning Growth at Risk," Papers 2506.00572, arXiv.org.
• Dirk Tasche, 2025. "Recalibrating binary probabilistic classifiers," Papers 2505.19068, arXiv.org.