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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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
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, Tinbergen Institute, number 25-016/III, Mar.
- Mirko Armillotta & Paolo Gorgi & André Lucas, 2025, "Copula tensor count autoregressions for modeling multidimensional integer-valued time series," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-004/III, Feb.
- Janneke van Brummelen & Paolo Gorgi & Siem Jan Koopman, 2025, "Score-driven time-varying parameter models with splinebased densities," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-011/III, Feb.
- 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, CESifo, number 11983.
- Ivan Fernandez-Val & Seoyun Hong, 2025, "Distribution Regression with Censored Selection," Papers, arXiv.org, number 2505.10814, May.
- Lin Deng & Michael Stanley Smith & Worapree Maneesoonthorn, 2025, "Tractable Unified Skew-t Distribution and Copula for Heterogeneous Asymmetries," Papers, arXiv.org, number 2505.10849, May.
- Shaobo Li & Ben Sherwood, 2025, "Quantile Predictions for Equity Premium using Penalized Quantile Regression with Consistent Variable Selection across Multiple Quantiles," Papers, arXiv.org, number 2505.16019, May.
- Elliot L. Epstein & Apaar Sadhwani & Kay Giesecke, 2025, "A Set-Sequence Model for Time Series," Papers, arXiv.org, number 2505.11243, May, revised Oct 2025.
- Ramon van den Akker & Bas J. M. Werker & Bo Zhou, 2025, "Valid Post-Contextual Bandit Inference," Papers, arXiv.org, number 2505.13897, May.
- Cameron Cornell & Lewis Mitchell & Matthew Roughan, 2025, "Hierarchical Representations for Evolving Acyclic Vector Autoregressions (HEAVe)," Papers, arXiv.org, number 2505.12806, May.
- Herault, Nicolas & Jenkins, Stephen P., 2025, "Assessing the Statistical Significance of Inequality Differences: The Problem of Heavy Tails," IZA Discussion Papers, IZA Network @ LISER, number 17973, Jun.
- Gianluca De Nard & Damjan Kostovic, 2025, "Learning the shrinkage intensity: a data-driven approach for risk-optimized portfolios," ECON - Working Papers, Department of Economics - University of Zurich, number 470, May, revised Nov 2025.
- 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, London School of Economics and Political Science, LSE Library, number 128881, Jul.
- Li, Mengbing & Shi, Chengchun & Wu, Zhenke & Fryzlewicz, Piotr, 2025, "Testing stationarity and change point detection in reinforcement learning," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 127507, Jun.
- 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, University Library of Munich, Germany, number 125338, Jul.
- Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2025, "A Fractional Integration Model with Autoregressive Processes," CESifo Working Paper Series, CESifo, number 11984.
- Philippe Goulet Coulombe & Karin Klieber, 2025, "Opening the Black Box of Local Projections," Papers, arXiv.org, number 2505.12422, May, revised Jul 2025.
- Qingyu Li & Chiranjib Mukhopadhyay & Abolfazl Bayat & Ali Habibnia, 2025, "Quantum Reservoir Computing for Realized Volatility Forecasting," Papers, arXiv.org, number 2505.13933, May, revised Apr 2026.
- Item repec:ehl:lserod:128852 is not listed on IDEAS anymore