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.

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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 2506.10690, arXiv.org.
• Chen, J. & Li, Y. & Linton, O. B., 2025. "Estimation of Large Dynamic Precision Matrices with a Latent Semiparametric Structure," Janeway Institute Working Papers 2514, Faculty of Economics, University of Cambridge.
• Chen, J. & Li, Y. & Linton, O. B., 2025. "Estimation of Large Dynamic Precision Matrices with a Latent Semiparametric Structure," Cambridge Working Papers in Economics 2536, Faculty of Economics, University of Cambridge.
• Undral Byambadalai & Tomu Hirata & Tatsushi Oka & Shota Yasui, 2025. "On Efficient Estimation of Distributional Treatment Effects under Covariate-Adaptive Randomization," Papers 2506.05945, arXiv.org.
• Jiang Hu & Jiahui Xie & Yangchun Zhang & Wang Zhou, 2025. "The Spurious Factor Dilemma: Robust Inference in Heavy-Tailed Elliptical Factor Models," Papers 2506.05116, arXiv.org.
• Ziyang Xiong & Zhao Chen & Christina Dan Wang, 2025. "An Efficient Multi-scale Leverage Effect Estimator under Dependent Microstructure Noise," Papers 2505.08654, arXiv.org.
• Wen, Kaiyue & Wang, Tengyao & Wang, Yuhao, 2025. "Residual permutation test for regression coefficient testing," LSE Research Online Documents on Economics 126275, London School of Economics and Political Science, LSE Library.
• Cui Rui & Li Yuhao & Song Xiaojun, 2025. "Power-boosting in Specification Tests using Kernel Directional Component," Papers 2506.04900, arXiv.org.
• Alexander Chudik & M. Hashem Pesaran & Ron P. Smith, 2025. "Analysis of Multiple Long Run Relations in Panel Data Models with Applications to Financial Ratios," Papers 2506.02135, arXiv.org.
• Giuseppe Cavaliere & Thomas Mikosch & Anders Rahbek & Frederik Vilandt, 2025. "Beyond the Mean: Limit Theory and Tests for Infinite-Mean Autoregressive Conditional Durations," Papers 2505.06190, arXiv.org.
• Aditya Ghosh & Dominik Rothenhausler, 2025. "Assumption-robust Causal Inference," Papers 2505.08729, arXiv.org.
• Florian Gunsilius & Lonjezo Sithole, 2025. "A Nonparametric Test of Slutsky Symmetry," Papers 2505.05603, arXiv.org.
• Thomas B. Marvell, 2025. "A Test for Endogeneity in Regressions," EERI Research Paper Series EERI RP 2025/05, Economics and Econometrics Research Institute (EERI), Brussels.
• Jarek Duda, 2025. "Adaptive stable distribution and Hurst exponent by method of moments moving estimator for nonstationary time series," Papers 2506.05354, arXiv.org.
• Daniil Bargman, 2025. "Latent Variable Autoregression with Exogenous Inputs," Papers 2506.04488, arXiv.org.
• Zhongren Chen & Siyu Chen & Zhengling Qi & Xiaohong Chen & Zhuoran Yang, 2025. "Quantile-Optimal Policy Learning under Unmeasured Confounding," Papers 2506.07140, arXiv.org.
• De Graeve, Ferre & Westermark, Andreas, 2025. "Long-Lag VARs," Working Paper Series 451, Sveriges Riksbank (Central Bank of Sweden).
• Damir Filipović & Paul Schneider, 2025. "Kernel Density Machines," Swiss Finance Institute Research Paper Series 25-53, Swiss Finance Institute.
• Hasan Fallahgoul, 2025. "High-Dimensional Learning in Finance," Papers 2506.03780, arXiv.org, revised Jun 2025.
• Nicolas Camenzind & Damir Filipović, 2025. "Transfer Learning Across Fixed-Income Product Classes," Swiss Finance Institute Research Paper Series 25-50, Swiss Finance Institute.
• 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 2506.02722, arXiv.org.
• Haoyuan Wang & Chen Liu & Minh-Ngoc Tran & Chao Wang, 2025. "Deep Learning Enhanced Multivariate GARCH," Papers 2506.02796, arXiv.org.
• Shunxin Yao, 2025. "Orthogonality-Constrained Deep Instrumental Variable Model for Causal Effect Estimation," Papers 2506.02790, arXiv.org.
• Johannes Schwab & Bryan T. Kelly & Semyon Malamud & Teng Andrea Xu, 2025. "Training NTK to Generalize with KARE," Swiss Finance Institute Research Paper Series 25-51, Swiss Finance Institute.
• Andrew Paskaramoorthy & Terence van Zyl & Tim Gebbie, 2025. "The bias of IID resampled backtests for rolling-window mean-variance portfolios," Papers 2505.06383, arXiv.org.