Report NEP-ECM-2025-09-01

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:

• Jinghao Sun & Eric J. Tchetgen Tchetgen, 2025. "On a Debiased and Semiparametric Efficient Changes-in-Changes Estimator," Papers 2507.07228, arXiv.org, revised Aug 2025.
• Antonio F. Galvao & Gabriel Montes-Rojas, 2025. "Multivariate quantile regression," Papers 2508.15749, arXiv.org.
• Jialing Han & Yu-Ning Li, 2025. "Approximate Factor Model with S-vine Copula Structure," Papers 2508.11619, arXiv.org.
• Carolina Caetano & Gregorio Caetano & Leonard Goff & Eric Nielsen, 2025. "Identification of Causal Effects with a Bunching Design," Papers 2507.05210, arXiv.org.
• Xinran Li & Peizan Sheng & Zeyang Yu, 2025. "Randomization Inference with Sample Attrition," Papers 2507.00795, arXiv.org.
• Atsushi Inoue & `Oscar Jord`a & Guido M. Kuersteiner, 2025. "Uniform Validity of the Subset Anderson-Rubin Test under Heteroskedasticity and Nonlinearity," Papers 2507.01167, arXiv.org.
• David Van Dijcke, 2025. "A Test for Jumps in Metric-Space Conditional Means," Papers 2507.04560, arXiv.org, revised Jul 2025.
• Xun Lu & Liangjun Su, 2025. "Two-Way Mean Group Estimators for Heterogeneous Panel Models with Fixed T," Papers 2508.10302, arXiv.org.
• Eidous, Omar, 2025. "Improved Nonparametric Density Estimation Using Additive Kernel Estimators," Thesis Commons nmpz9_v1, Center for Open Science.
• Jikai Jin & Lester Mackey & Vasilis Syrgkanis, 2025. "It's Hard to Be Normal: The Impact of Noise on Structure-agnostic Estimation," Papers 2507.02275, arXiv.org, revised Jul 2025.
• Mikihito Nishi, 2025. "K-Means Panel Data Clustering in the Presence of Small Groups," Papers 2508.15408, arXiv.org.
• Kevin Dano & Bo E. Honor'e & Martin Weidner, 2025. "Binary choice logit models with general fixed effects for panel and network data," Papers 2508.11556, arXiv.org.
• Alexis Derumigny & Lucas Girard & Yannick Guyonvarch, 2025. "Can we have it all? Non-asymptotically valid and asymptotically exact confidence intervals for expectations and linear regressions," Papers 2507.16776, arXiv.org, revised Jul 2025.
• Matthias Eckardt & Philipp Otto, 2025. "Regional compositional trajectories and structural change: A spatiotemporal multivariate autoregressive framework," Papers 2507.14389, arXiv.org.
• Cl'ement de Chaisemartin & Xavier D'Haultf{oe}uille, 2025. "Treatment-Effect Estimation in Complex Designs under a Parallel-trends Assumption," Papers 2508.07808, arXiv.org, revised Sep 2025.
• Gregorio Impavido, 2025. "Sign Restrictions with a New-Keynesian Macro Model: Results From a “Quasi-Agnostic” Identification Procedure," IMF Working Papers 2025/162, International Monetary Fund.
• Zhongyuan Lyu & Ming Yuan, 2025. "Large-dimensional Factor Analysis with Weighted PCA," Papers 2508.15675, arXiv.org.
• Bruno E. Holtz & Ricardo S. Ehlers & Adriano K. Suzuki & Francisco Louzada, 2025. "Dynamic Skewness in Stochastic Volatility Models: A Penalized Prior Approach," Papers 2508.10778, arXiv.org.
• Weilong Liu & Yanchu Liu, 2025. "Covariance Matrix Estimation for Positively Correlated Assets," Papers 2507.01545, arXiv.org.
• Bahaa Aly, Tarek, 2025. "Nonlinear Macroeconomic Granger Causality: An ANN Input Occlusion Approach on MSSA-Denoised Data," MPRA Paper 125453, University Library of Munich, Germany.
• Edward P. Herbst & Benjamin K. Johannsen, 2025. "Discussion of "Dynamic Causal Effects in a Nonlinear World: the Good, the Bad, and the Ugly''," Finance and Economics Discussion Series 2025-058, Board of Governors of the Federal Reserve System (U.S.).
• Tatsuru Kikuchi, 2025. "Stochastic Boundaries in Spatial General Equilibrium: A Diffusion-Based Approach to Causal Inference with Spillover Effects," Papers 2508.06594, arXiv.org.
• Soheil Ghili & K. Sudhir & Nitish Jain & Ankur Garg, 2025. "Second-degree Price Discrimination: Theoretical Analysis, Experiment Design, and Empirical Estimation," Papers 2507.13426, arXiv.org.
• Zheng Fan & Worapree Maneesoonthorn & Yong Song, 2025. "A New Perspective of the Meese-Rogoff Puzzle: Application of Sparse Dynamic Shrinkage," Papers 2507.14408, arXiv.org.
• Phillip Heiler & Michael C. Knaus, 2025. "Heterogeneity Analysis with Heterogeneous Treatments," Papers 2507.01517, arXiv.org.
• Simon M. S. Lo & Ralf A. Wilke & Takeshi Emura, 2025. "On the implications of proportional hazards assumptions for competing risks modelling," Papers 2508.10577, arXiv.org.
• Luan M. T. de Moraes & Ant^onio M. S. Mac^edo & Giovani L. Vasconcelos & Raydonal Ospina, 2025. "Eigenvalue Distribution of Empirical Correlation Matrices for Multiscale Complex Systems and Application to Financial Data," Papers 2507.14325, arXiv.org.
• Danilo Leiva-León & Viacheslav Sheremirov & Jenny Tang & Egon Zakrajšek, 2025. "Inflation Factors," Working Papers 25-5, Federal Reserve Bank of Boston.
• Cristiano Salvagnin & Vittorio del Tatto & Maria Elena De Giuli & Antonietta Mira & Aldo Glielmo, 2025. "Non-parametric Causal Discovery for EU Allowances Returns Through the Information Imbalance," Papers 2508.15667, arXiv.org.
• David Imhof & Emanuel W Viklund & Martin Huber, 2025. "Catching Bid-rigging Cartels with Graph Attention Neural Networks," Papers 2507.12369, arXiv.org, revised Jul 2025.