Report NEP-ECM-2025-09-15

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:

• Xiaohong Chen & Pedro H. C. Sant'Anna & Haitian Xie, 2025. "Efficient Difference-in-Differences and Event Study Estimators," Papers 2506.17729, arXiv.org.
• Anna Mikusheva & Mikkel S{o}lvsten & Baiyun Jing, 2025. "Estimation in linear models with clustered data," Papers 2508.12860, arXiv.org.
• Francis J. DiTraglia & Laura Liu, 2025. "Bayesian Double Machine Learning for Causal Inference," Papers 2508.12688, arXiv.org.
• Hugo Kruiniger, 2025. "Uniform Quasi ML based inference for the panel AR(1) model," Papers 2508.20855, arXiv.org.
• Abhinandan Dalal & Eric J. Tchetgen Tchetgen, 2025. "Partial Identification of Causal Effects for Endogenous Continuous Treatments," Papers 2508.13946, arXiv.org.
• Alain Guay & Dalibor Stevanovic, 2025. "Estimation of Non-Gaussian SVAR Using Tensor Singular Value Decomposition," CIRANO Working Papers 2025s-26, CIRANO.
• Satarupa Bhattacharjee & Bing Li & Xiao Wu & Lingzhou Xue, 2025. "Doubly robust estimation of causal effects for random object outcomes with continuous treatments," Papers 2506.22754, arXiv.org.
• Xunkang Tian, 2025. "Inference on Partially Identified Parameters with Separable Nuisance Parameters: a Two-Stage Method," Papers 2508.19853, arXiv.org.
• Shosei Sakaguchi, 2025. "The Identification Power of Combining Experimental and Observational Data for Distributional Treatment Effect Parameters," Papers 2508.12206, arXiv.org, revised Sep 2025.
• Daniel Molitor & Samantha Gold, 2025. "Anytime-Valid Inference in Adaptive Experiments: Covariate Adjustment and Balanced Power," Papers 2506.20523, arXiv.org, revised Sep 2025.
• Malte Londschien, 2025. "The exact distribution of the conditional likelihood-ratio test in instrumental variables regression," Papers 2509.04144, arXiv.org, revised Sep 2025.
• Harrison Katz & Robert E. Weiss, 2025. "Bayesian Shrinkage in High-Dimensional VAR Models: A Comparative Study," Papers 2504.05489, arXiv.org, revised Aug 2025.
• Todd Clark & Florian Huber & Gary Koop, 2025. "A Nonparametric Approach to Augmenting a Bayesian VAR with Nonlinear Factors," Papers 2508.13972, arXiv.org.
• Peiyun Jiang & Yoshimasa Uematsu & Takashi Yamagata, 2025. "Bias Correction in Factor-Augmented Regression Models with Weak Factors," Papers 2509.02066, arXiv.org, revised Oct 2025.
• Agostino Capponi & Zhaonan Qu, 2025. "Handling Sparse Non-negative Data in Finance," Papers 2509.01478, arXiv.org.
• Isaiah Andrews & Jiafeng Chen & Otavio Tecchio, 2025. "The purpose of an estimator is what it does: Misspecification, estimands, and over-identification," Papers 2508.13076, arXiv.org, revised Aug 2025.
• Grace Lordan & Kaveh Salehzadeh Nobari, 2025. "Finite-Sample Non-Parametric Bounds with an Application to the Causal Effect of Workforce Gender Diversity on Firm Performance," Papers 2509.01622, arXiv.org.
• Liyu Dou & Pengjin Min & Wenjie Wang & Yichong Zhang, 2025. "An Improved Inference for IV Regressions," Papers 2506.23816, arXiv.org.
• Malte Londschien, 2025. "A statistician's guide to weak-instrument-robust inference in instrumental variables regression with illustrations in Python," Papers 2508.12474, arXiv.org.
• Luis Gruber & Gregor Kastner & Anirban Bhattacharya & Debdeep Pati & Natesh Pillai & David Dunson, 2025. "A note on simulation methods for the Dirichlet-Laplace prior," Papers 2508.11982, arXiv.org.
• Pauliina Ilmonen & Milla Laurikkala & Kostiantyn Ralchenko & Tommi Sottinen & Lauri Viitasaari, 2025. "Data driven modeling of multiple interest rates with generalized Vasicek-type models," Papers 2509.03208, arXiv.org.
• Gorjian, Mahshid, 2025. "Statistical and Methodological Advances in Spatial Economics: A Comprehensive Review of Models, Empirical Strategies, and Policy Evaluation," MPRA Paper 125636, University Library of Munich, Germany.
• Boldea, Otilia & Magnus, Jan R., 2024. "Corrigendum to Maximum likelihood estimation of the multivariate normal mixture model," Other publications TiSEM bbee6f79-03a9-46fa-b365-4, Tilburg University, School of Economics and Management.
• Jiaying Gu & Nikolaos Ignatiadis & Azeem M. Shaikh, 2025. "Reasonable uncertainty: Confidence intervals in empirical Bayes discrimination detection," Papers 2508.13110, arXiv.org.
• Ho Ming Lee & Katrien Antonio & Benjamin Avanzi & Lorenzo Marchi & Rui Zhou, 2025. "Machine Learning with Multitype Protected Attributes: Intersectional Fairness through Regularisation," Papers 2509.08163, arXiv.org.
• Lee, David, 2025. "Robust Parameter Estimation for Financial Data Simulation," MPRA Paper 125703, University Library of Munich, Germany.
• Akshay Vij & Stephane Hess, 2025. "Posterior inference of attitude-behaviour relationships using latent class choice models," Papers 2509.08373, arXiv.org.
• Ziyao Wang & Svetlozar T Rachev, 2025. "Neural L\'evy SDE for State--Dependent Risk and Density Forecasting," Papers 2509.01041, arXiv.org.
• Junho Choi, 2025. "On the role of the design phase in a linear regression," Papers 2509.01861, arXiv.org.
• Alireza Fallah & Michael I. Jordan & Annie Ulichney, 2025. "The Statistical Fairness-Accuracy Frontier," Papers 2508.17622, arXiv.org.
• Sourish Das, 2025. "Predicting Stock Market Crash with Bayesian Generalised Pareto Regression," Papers 2506.17549, arXiv.org.
• Antoine, Bertille & Boldea, Otilia & Zaccaria, Niccolò, 2024. "Efficient two-sample instrumental variable estimators with change points and near-weak identification," Other publications TiSEM a546c23b-272e-4ba9-8b94-a, Tilburg University, School of Economics and Management.