Report NEP-ECM-2025-07-28

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:

• Federico Carlini & Mirco Rubin & Pierluigi Vallarino, 2025. "New rank-based tests and estimators for Common Primitive Shocks," Tinbergen Institute Discussion Papers 25-016/III, Tinbergen Institute.
• Mirko Armillotta & Paolo Gorgi & André Lucas, 2025. "Copula tensor count autoregressions for modeling multidimensional integer-valued time series," Tinbergen Institute Discussion Papers 25-004/III, Tinbergen Institute.
• Janneke van Brummelen & Paolo Gorgi & Siem Jan Koopman, 2025. "Score-driven time-varying parameter models with splinebased densities," Tinbergen Institute Discussion Papers 25-011/III, Tinbergen Institute.
• Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2025. "A Fractional Integration Model and Testing Procedure with Roots Within the Unit Circle," CESifo Working Paper Series 11983, CESifo.
• Ivan Fernandez-Val & Seoyun Hong, 2025. "Distribution Regression with Censored Selection," Papers 2505.10814, arXiv.org.
• Lin Deng & Michael Stanley Smith & Worapree Maneesoonthorn, 2025. "Tractable Unified Skew-t Distribution and Copula for Heterogeneous Asymmetries," Papers 2505.10849, arXiv.org.
• Shaobo Li & Ben Sherwood, 2025. "Quantile Predictions for Equity Premium using Penalized Quantile Regression with Consistent Variable Selection across Multiple Quantiles," Papers 2505.16019, arXiv.org.
• Elliot L. Epstein & Apaar Sadhwani & Kay Giesecke, 2025. "A Set-Sequence Model for Time Series," Papers 2505.11243, arXiv.org.
• Ramon van den Akker & Bas J. M. Werker & Bo Zhou, 2025. "Valid Post-Contextual Bandit Inference," Papers 2505.13897, arXiv.org.
• Cameron Cornell & Lewis Mitchell & Matthew Roughan, 2025. "Hierarchical Representations for Evolving Acyclic Vector Autoregressions (HEAVe)," Papers 2505.12806, arXiv.org.
• Herault, Nicolas & Jenkins, Stephen P., 2025. "Assessing the Statistical Significance of Inequality Differences: The Problem of Heavy Tails," IZA Discussion Papers 17973, Institute of Labor Economics (IZA).
• Gianluca De Nard & Damjan Kostovic, 2025. "AI shrinkage: a data-driven approach for risk-optimized portfolios," ECON - Working Papers 470, Department of Economics - University of Zurich.
• Browne, William John & Charlton, Christopher Michael John & Price, Toni & Leckie, George & Steele, Fiona, 2025. "Optimizing the use of simulation methods in multilevel sample size calculations," LSE Research Online Documents on Economics 128881, London School of Economics and Political Science, LSE Library.
• Li, Mengbing & Shi, Chengchun & Wu, Zhenke & Fryzlewicz, Piotr, 2025. "Testing stationarity and change point detection in reinforcement learning," LSE Research Online Documents on Economics 127507, London School of Economics and Political Science, LSE Library.
• Pál, Tibor & Storti, Giuseppe, 2025. "Estimating the R-Star in the US: A Score-Driven State-Space Model with Time-Varying Volatility Persistence," MPRA Paper 125338, University Library of Munich, Germany.
• Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2025. "A Fractional Integration Model with Autoregressive Processes," CESifo Working Paper Series 11984, CESifo.
• Philippe Goulet Coulombe & Karin Klieber, 2025. "Opening the Black Box of Local Projections," Papers 2505.12422, arXiv.org, revised Jul 2025.
• Qingyu Li & Chiranjib Mukhopadhyay & Abolfazl Bayat & Ali Habibnia, 2025. "Quantum Reservoir Computing for Realized Volatility Forecasting," Papers 2505.13933, arXiv.org.
• Paker, Meredith & Stephenson, Judy & Wallis, Patrick, 2025. "Predictive modeling the past," LSE Research Online Documents on Economics 128852, London School of Economics and Political Science, LSE Library.