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 2508.02097, arXiv.org.
• Antonia Antweiler & Joachim Freyberger, 2025. "Flexible estimation of skill formation models," Papers 2507.18995, arXiv.org.
• Chris Muris & Cavit Pakel & Qichen Zhang, 2025. "Dyadic data with ordered outcome variables," Papers 2507.16689, arXiv.org.
• Oguzhan Akgun & Alain Pirotte & Giovanni Urga & Zhenlin Yang, 2025. "Testing Clustered Equal Predictive Ability with Unknown Clusters," Papers 2507.14621, arXiv.org, revised Jul 2025.
• Facundo Arga~naraz & Juan Carlos Escanciano, 2025. "Debiased Machine Learning for Unobserved Heterogeneity: High-Dimensional Panels and Measurement Error Models," Papers 2507.13788, arXiv.org.
• Clara Augustin & Daniel Gutknecht & Cenchen Liu, 2025. "Staggered Adoption DiD Designs with Misclassification and Anticipation," Papers 2507.20415, arXiv.org.
• Zhiren Ma & Qian Zhao & Riquan Zhang & Zhaoxing Gao, 2025. "High-Dimensional Matrix-Variate Diffusion Index Models for Time Series Forecasting," Papers 2508.04259, arXiv.org.
• Jan Ditzen & Yiannis Karavias, 2025. "Interactive, Grouped and Non-separable Fixed Effects: A Practitioner's Guide to the New Panel Data Econometrics," Papers 2507.19099, arXiv.org.
• Yambolov, Andrian, 2025. "How to conduct joint Bayesian inference in VAR models?," Working Paper Series 3100, European Central Bank.
• 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 2508.15692, arXiv.org.
• Degui Li & Yayi Yan & Qiwei Yao, 2025. "Factor Models of Matrix-Valued Time Series: Nonstationarity and Cointegration," Papers 2508.11358, arXiv.org, revised Aug 2025.
• Angelo Forino & Andrea Mercatanti & Giacomo Morelli, 2025. "Propensity score with factor loadings: the effect of the Paris Agreement," Papers 2507.08764, arXiv.org.
• 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 2507.07738, arXiv.org.
• Peter C. B. Phillips & Liang Jiang, 2025. "Cross Section Curve Autoregression: The Unit Root Case," Cowles Foundation Discussion Papers 2454, Cowles Foundation for Research in Economics, Yale University.
• William W. Wang & Ali Jadbabaie, 2025. "Weak Identification in Peer Effects Estimation," Papers 2508.04897, arXiv.org.
• Dilip M. Nachane, 2025. "Maximum entropy spectral analysis," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2025-020, Indira Gandhi Institute of Development Research, Mumbai, India.
• Luigi Garzon & Vitor Possebom, 2025. "Nonlinear Treatment Effects in Shift-Share Designs," Papers 2507.21915, arXiv.org.
• Jonas Esser & Mateus Maia & Judith Bosmans & Johanna van Dongen, 2025. "Nonparametric regression for cost-effectiveness analyses with observational data -- a tutorial," Papers 2507.03511, arXiv.org, revised Jul 2025.
• Haojie Liu & Zihan Lin, 2025. "Galerkin-ARIMA: A Two-Stage Polynomial Regression Framework for Fast Rolling One-Step-Ahead Forecasting," Papers 2507.07469, arXiv.org, revised Jul 2025.
• Yong Li & Sushanta K. Mallick & Tao Zeng & Junxing Zhang, 2025. "Comparing Misspecified Models with Big Data: A Variational Bayesian Perspective," Papers 2507.00763, arXiv.org.
• Yu Hao & Hiroyuki Kasahara & Katsumi Shimotsu, 2025. "Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models," Papers 2507.19814, arXiv.org.
• JosŽ-Antonio Esp’n-S‡nchez & Charles Hodgson & Kevin OÕNeill, 2025. "Order Statistics as Finite Mixtures," Cowles Foundation Discussion Papers 2455, Cowles Foundation for Research in Economics, Yale University.
• Jialuo Chen & Zhaoxing Gao & Ruey S. Tsay, 2025. "Forward Variable Selection in Ultra-High Dimensional Linear Regression Using Gram-Schmidt Orthogonalization," Papers 2507.04668, arXiv.org.
• Federico Echenique & Alireza Fallah & Michael I. Jordan, 2025. "A General Framework for Estimating Preferences Using Response Time Data," Papers 2507.20403, arXiv.org, revised Jul 2025.
• Senan Hogan-Hennessy, 2025. "Causal Mediation in Natural Experiments," Papers 2508.05449, arXiv.org.
• Sourojyoti Barick, 2025. "An Accurate Discretized Approach to Parameter Estimation in the CKLS Model via the CIR Framework," Papers 2507.10041, arXiv.org.
• Xuan Liu, 2025. "Asymptotic universal moment matching properties of normal distributions," Papers 2508.03790, arXiv.org, revised Aug 2025.
• Filippo Palomba, 2025. "Sequential Decision Problems with Missing Feedback," Papers 2507.19596, arXiv.org.
• 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 12055, CESifo.
• 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 07-2025, Núcleo de Economia Regional e Urbana da Universidade de São Paulo (NEREUS).
• Tobias Adrian & Yuya Sasaki & Yulong Wang, 2025. "Robust Econometrics for Growth-at-Risk," Papers 2508.00263, arXiv.org.
• Yan Xu & Bo Zhou, 2025. "Batched Adaptive Network Formation," Papers 2507.18961, arXiv.org.
• Xinbing Kong & Cheng Liu & Bin Wu, 2025. "Data Synchronization at High Frequencies," Papers 2507.12220, arXiv.org.