Report NEP-ECM-2025-08-25

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:

• Junjie Li & Yukitoshi Matsushita, 2025, "A difference-in-differences estimator by covariate balancing propensity score," Papers, arXiv.org, number 2508.02097, Aug.
• Antonia Antweiler & Joachim Freyberger, 2025, "Flexible estimation of skill formation models," Papers, arXiv.org, number 2507.18995, Jul.
• Chris Muris & Cavit Pakel & Qichen Zhang, 2025, "Dyadic data with ordered outcome variables," Papers, arXiv.org, number 2507.16689, Jul.
• Oguzhan Akgun & Alain Pirotte & Giovanni Urga & Zhenlin Yang, 2025, "Testing Clustered Equal Predictive Ability with Unknown Clusters," Papers, arXiv.org, number 2507.14621, Jul, revised Jul 2025.
• Facundo Arga~naraz & Juan Carlos Escanciano, 2025, "Debiased Machine Learning for Unobserved Heterogeneity: High-Dimensional Panels and Measurement Error Models," Papers, arXiv.org, number 2507.13788, Jul.
• Clara Augustin & Daniel Gutknecht & Cenchen Liu, 2025, "Staggered Adoption DiD Designs with Misclassification and Anticipation," Papers, arXiv.org, number 2507.20415, Jul, revised Dec 2025.
• Zhiren Ma & Qian Zhao & Riquan Zhang & Zhaoxing Gao, 2025, "High-Dimensional Matrix-Variate Diffusion Index Models for Time Series Forecasting," Papers, arXiv.org, number 2508.04259, Aug.
• Jan Ditzen & Yiannis Karavias, 2025, "Interactive, Grouped and Non-separable Fixed Effects: A Practitioner's Guide to the New Panel Data Econometrics," Papers, arXiv.org, number 2507.19099, Jul, revised Oct 2025.
• Yambolov, Andrian, 2025, "How to conduct joint Bayesian inference in VAR models?," Working Paper Series, European Central Bank, number 3100, Aug.
• Philipp Alexander Schwarz & Oliver Schacht & Sven Klaassen & Johannes Oberpriller & Martin Spindler, 2025, "Effect Identification and Unit Categorization in the Multi-Score Regression Discontinuity Design with Application to LED Manufacturing," Papers, arXiv.org, number 2508.15692, Aug, revised Oct 2025.
• Degui Li & Yayi Yan & Qiwei Yao, 2025, "Factor Models of Matrix-Valued Time Series: Nonstationarity and Cointegration," Papers, arXiv.org, number 2508.11358, Aug, revised Aug 2025.
• Angelo Forino & Andrea Mercatanti & Giacomo Morelli, 2025, "Propensity score with factor loadings: the effect of the Paris Agreement," Papers, arXiv.org, number 2507.08764, Jul.
• Tomu Hirata & Undral Byambadalai & Tatsushi Oka & Shota Yasui & Shingo Uto, 2025, "Efficient and Scalable Estimation of Distributional Treatment Effects with Multi-Task Neural Networks," Papers, arXiv.org, number 2507.07738, Jul.
• Peter C. B. Phillips & Liang Jiang, 2025, "Cross Section Curve Autoregression: The Unit Root Case," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2454, Aug.
• William W. Wang & Ali Jadbabaie, 2025, "Weak Identification in Peer Effects Estimation," Papers, arXiv.org, number 2508.04897, Aug.
• Dilip M. Nachane, 2025, "Maximum entropy spectral analysis," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2025-020, Jul.
• Luigi Garzon & Vitor Possebom, 2025, "Nonlinear Treatment Effects in Shift-Share Designs," Papers, arXiv.org, number 2507.21915, Jul, revised Nov 2025.
• Jonas Esser & Mateus Maia & Judith Bosmans & Johanna van Dongen, 2025, "Nonparametric regression for cost-effectiveness analyses with observational data -- a tutorial," Papers, arXiv.org, number 2507.03511, Jul, revised Jul 2025.
• Haojie Liu & Zihan Lin, 2025, "A Projection-Based ARIMA Framework for Nonlinear Dynamics in Macroeconomic and Financial Time Series: Closed-Form Estimation and Rolling-Window Inference," Papers, arXiv.org, number 2507.07469, Jul, revised Mar 2026.
• Yong Li & Sushanta K. Mallick & Tao Zeng & Junxing Zhang, 2025, "Comparing Misspecified Models with Big Data: A Variational Bayesian Perspective," Papers, arXiv.org, number 2507.00763, Jul.
• Yu Hao & Hiroyuki Kasahara & Katsumi Shimotsu, 2025, "Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models," Papers, arXiv.org, number 2507.19814, Jul.
• JosŽ-Antonio Esp’n-S‡nchez & Charles Hodgson & Kevin OÕNeill, 2025, "Order Statistics as Finite Mixtures," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2455, Aug.
• Jialuo Chen & Zhaoxing Gao & Yifan Jiang & Ruey S. Tsay, 2025, "Forward Regression via Gram-Schmidt Orthogonalization for Ultra-High Dimensional Linear Models," Papers, arXiv.org, number 2507.04668, Jul, revised Mar 2026.
• Federico Echenique & Alireza Fallah & Michael I. Jordan, 2025, "A General Framework for Estimating Preferences Using Response Time Data," Papers, arXiv.org, number 2507.20403, Jul, revised Jul 2025.
• Senan Hogan-Hennessy, 2025, "Causal Mediation in Natural Experiments," Papers, arXiv.org, number 2508.05449, Aug, revised Oct 2025.
• Sourojyoti Barick, 2025, "An Accurate Discretized Approach to Parameter Estimation in the CKLS Model via the CIR Framework," Papers, arXiv.org, number 2507.10041, Jul.
• Xuan Liu, 2025, "Asymptotic universal moment matching properties of normal distributions," Papers, arXiv.org, number 2508.03790, Aug, revised Aug 2025.
• Filippo Palomba, 2025, "Sequential Decision Problems with Missing Feedback," Papers, arXiv.org, number 2507.19596, Jul.
• Hanna L. Adam & Mario Larch & Michael Nower, 2025, "ANOVA-HDFE: Fast Variance Decomposition with High-Dimensional Fixed Effects and an Application to Trade Flows," CESifo Working Paper Series, CESifo, number 12055.
• André Luiz Ferreira & André Luis Squarize Chagas & Carlos Roberto Azzoni, 2025, "A Spatial Stochastic Frontier Model with Spill-In and Spillover Effects on Technical Inefficiency," TD NEREUS, Núcleo de Economia Regional e Urbana da Universidade de São Paulo (NEREUS), number 07-2025.
• Tobias Adrian & Yuya Sasaki & Yulong Wang, 2025, "Robust Econometrics for Growth-at-Risk," Papers, arXiv.org, number 2508.00263, Jul, revised Mar 2026.
• Yan Xu & Bo Zhou, 2025, "Batched Adaptive Network Formation," Papers, arXiv.org, number 2507.18961, Jul.
• Xinbing Kong & Cheng Liu & Bin Wu, 2025, "Data Synchronization at High Frequencies," Papers, arXiv.org, number 2507.12220, Jul.

Report NEP-ECM-2025-08-25

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: