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Report NEP-ECM-2025-06-23
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:
- Juan M. Rodriguez-Poo & Alexandra Soberon & Stefan Sperlich, 2025, "Inference on panel data models with a generalized factor structure," Papers, arXiv.org, number 2506.10690, Jun.
- Item repec:cam:camjip:2514 is not listed on IDEAS anymore
- Chen, J. & Li, Y. & Linton, O. B., 2025, "Estimation of Large Dynamic Precision Matrices with a Latent Semiparametric Structure," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2536, Jun.
- Undral Byambadalai & Tomu Hirata & Tatsushi Oka & Shota Yasui, 2025, "On Efficient Estimation of Distributional Treatment Effects under Covariate-Adaptive Randomization," Papers, arXiv.org, number 2506.05945, Jun.
- Jiang Hu & Jiahui Xie & Yangchun Zhang & Wang Zhou, 2025, "The Spurious Factor Dilemma: Robust Inference in Heavy-Tailed Elliptical Factor Models," Papers, arXiv.org, number 2506.05116, Jun.
- Ziyang Xiong & Zhao Chen & Christina Dan Wang, 2025, "Holistic Multi-Scale Inference of the Leverage Effect: Efficiency under Dependent Microstructure Noise," Papers, arXiv.org, number 2505.08654, May, revised Feb 2026.
- Wen, Kaiyue & Wang, Tengyao & Wang, Yuhao, 2025, "Residual permutation test for regression coefficient testing," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 126275, Apr.
- Cui Rui & Li Yuhao & Song Xiaojun, 2025, "Finite-Sample Distortion in Kernel Specification Tests: A Perturbation Analysis of Empirical Directional Components," Papers, arXiv.org, number 2506.04900, Jun, revised Oct 2025.
- Alexander Chudik & M. Hashem Pesaran & Ron P. Smith, 2025, "Analysis of Multiple Long-Run Relations in Panel Data Models," Papers, arXiv.org, number 2506.02135, Jun, revised Sep 2025.
- Giuseppe Cavaliere & Thomas Mikosch & Anders Rahbek & Frederik Vilandt, 2025, "Beyond the Mean: Limit Theory and Tests for Infinite-Mean Autoregressive Conditional Durations," Papers, arXiv.org, number 2505.06190, May.
- Aditya Ghosh & Dominik Rothenhausler, 2025, "Assumption-robust Causal Inference," Papers, arXiv.org, number 2505.08729, May, revised Jun 2025.
- Florian Gunsilius & Lonjezo Sithole, 2025, "Nonparametric Testability of Slutsky Symmetry," Papers, arXiv.org, number 2505.05603, May, revised Feb 2026.
- Thomas B. Marvell, 2025, "A Test for Endogeneity in Regressions," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI RP 2025/05, May.
- Jarek Duda, 2025, "Adaptive stable distribution and Hurst exponent by method of moments moving estimator for nonstationary time series," Papers, arXiv.org, number 2506.05354, May.
- Daniil Bargman, 2025, "Latent Variable Modelling by Supervised Diffusion," Papers, arXiv.org, number 2506.04488, Jun, revised Jan 2026.
- Zhongren Chen & Siyu Chen & Zhengling Qi & Xiaohong Chen & Zhuoran Yang, 2025, "Quantile-Optimal Policy Learning under Unmeasured Confounding," Papers, arXiv.org, number 2506.07140, Jun.
- De Graeve, Ferre & Westermark, Andreas, 2025, "Long-Lag VARs," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 451, May, revised 01 Sep 2025.
- Damir Filipović & Paul Schneider, 2025, "Kernel Density Machines," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 25-53, May.
- Hasan Fallahgoul, 2025, "High-Dimensional Learning in Finance," Papers, arXiv.org, number 2506.03780, Jun, revised Jul 2025.
- Nicolas Camenzind & Damir Filipović, 2025, "Transfer Learning Across Fixed-Income Product Classes," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 25-50, May.
- Stephane Hess & David Bunch & Andrew Daly, 2025, "Get me out of this hole: a profile likelihood approach to identifying and avoiding inferior local optima in choice models," Papers, arXiv.org, number 2506.02722, Jun.
- Haoyuan Wang & Chen Liu & Minh-Ngoc Tran & Chao Wang, 2025, "Deep Learning Enhanced Multivariate GARCH," Papers, arXiv.org, number 2506.02796, Jun.
- Shunxin Yao, 2025, "Orthogonality-Constrained Deep Instrumental Variable Model for Causal Effect Estimation," Papers, arXiv.org, number 2506.02790, Jun.
- Johannes Schwab & Bryan T. Kelly & Semyon Malamud & Teng Andrea Xu, 2025, "Training NTK to Generalize with KARE," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 25-51, May.
- Andrew Paskaramoorthy & Terence van Zyl & Tim Gebbie, 2025, "The bias of IID resampled backtests for rolling-window mean-variance portfolios," Papers, arXiv.org, number 2505.06383, May.