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, arXiv.org, number 2506.17729, Jun.
• Anna Mikusheva & Mikkel S{o}lvsten & Baiyun Jing, 2025, "Estimation and exclusion restrictions in clustered linear models," Papers, arXiv.org, number 2508.12860, Aug, revised Mar 2026.
• Francis J. DiTraglia & Laura Liu, 2025, "Bayesian Double Machine Learning for Causal Inference," Papers, arXiv.org, number 2508.12688, Aug.
• Hugo Kruiniger, 2025, "Uniform Quasi ML based inference for the panel AR(1) model," Papers, arXiv.org, number 2508.20855, Aug, revised Dec 2025.
• Abhinandan Dalal & Eric J. Tchetgen Tchetgen, 2025, "Partial Identification of Causal Effects for Endogenous Continuous Treatments," Papers, arXiv.org, number 2508.13946, Aug.
• Alain Guay & Dalibor Stevanovic, 2025, "Estimation of Non-Gaussian SVAR Using Tensor Singular Value Decomposition," CIRANO Working Papers, CIRANO, number 2025s-26, Sep.
• Satarupa Bhattacharjee & Bing Li & Xiao Wu & Lingzhou Xue, 2025, "Doubly robust estimation of causal effects for random object outcomes with continuous treatments," Papers, arXiv.org, number 2506.22754, Jun.
• Xunkang Tian, 2025, "Inference on Partially Identified Parameters with Separable Nuisance Parameters: a Two-Stage Method," Papers, arXiv.org, number 2508.19853, Aug.
• Shosei Sakaguchi, 2025, "The Identification Power of Combining Experimental and Observational Data for Distributional Treatment Effect Parameters," Papers, arXiv.org, number 2508.12206, Aug, revised Apr 2026.
• Daniel Molitor & Samantha Gold, 2025, "Anytime-Valid Inference in Adaptive Experiments: Covariate Adjustment and Balanced Power," Papers, arXiv.org, number 2506.20523, Jun, revised Feb 2026.
• Malte Londschien, 2025, "The exact distribution of the conditional likelihood-ratio test in instrumental variables regression," Papers, arXiv.org, number 2509.04144, Sep, revised Sep 2025.
• Harrison Katz & Robert E. Weiss, 2025, "Bayesian Shrinkage in High-Dimensional VAR Models: A Comparative Study," Papers, arXiv.org, number 2504.05489, Apr, revised Feb 2026.
• Todd Clark & Florian Huber & Gary Koop, 2025, "A Nonparametric Approach to Augmenting a Bayesian VAR with Nonlinear Factors," Papers, arXiv.org, number 2508.13972, Aug.
• Peiyun Jiang & Yoshimasa Uematsu & Takashi Yamagata, 2025, "Bias Correction in Factor-Augmented Regression Models with Weak Factors," Papers, arXiv.org, number 2509.02066, Sep, revised Oct 2025.
• Agostino Capponi & Zhaonan Qu, 2025, "Handling Sparse Non-negative Data in Finance," Papers, arXiv.org, number 2509.01478, Sep.
• Isaiah Andrews & Jiafeng Chen & Otavio Tecchio, 2025, "The purpose of an estimator is what it does: Misspecification, estimands, and over-identification," Papers, arXiv.org, number 2508.13076, Aug, revised Feb 2026.
• Grace Lordan & Kaveh Salehzadeh Nobari, 2025, "Sharp Hybrid Confidence Bands for Partially Identified Treatment Effects under Tail Uncertainty with an Application to Workforce Gender Diversity and Firm Performance," Papers, arXiv.org, number 2509.01622, Sep, revised Apr 2026.
• Liyu Dou & Pengjin Min & Wenjie Wang & Yichong Zhang, 2025, "An Improved Inference for IV Regressions," Papers, arXiv.org, number 2506.23816, Jun, revised Mar 2026.
• Malte Londschien, 2025, "A statistician's guide to weak-instrument-robust inference in instrumental variables regression with illustrations in Python," Papers, arXiv.org, number 2508.12474, Aug.
• Luis Gruber & Gregor Kastner & Anirban Bhattacharya & Debdeep Pati & Natesh Pillai & David Dunson, 2025, "A note on simulation methods for the Dirichlet-Laplace prior," Papers, arXiv.org, number 2508.11982, Aug.
• Pauliina Ilmonen & Milla Laurikkala & Kostiantyn Ralchenko & Tommi Sottinen & Lauri Viitasaari, 2025, "Data driven modeling of multiple interest rates with generalized Vasicek-type models," Papers, arXiv.org, number 2509.03208, Sep.
• Gorjian, Mahshid, 2025, "Statistical and Methodological Advances in Spatial Economics: A Comprehensive Review of Models, Empirical Strategies, and Policy Evaluation," MPRA Paper, University Library of Munich, Germany, number 125636.
• Boldea, Otilia & Magnus, Jan R., 2024, "Corrigendum to Maximum likelihood estimation of the multivariate normal mixture model," Other publications TiSEM, Tilburg University, School of Economics and Management, number bbee6f79-03a9-46fa-b365-4.
• Jiaying Gu & Nikolaos Ignatiadis & Azeem M. Shaikh, 2025, "Reasonable uncertainty: Confidence intervals in empirical Bayes discrimination detection," Papers, arXiv.org, number 2508.13110, Aug.
• Ho Ming Lee & Katrien Antonio & Benjamin Avanzi & Lorenzo Marchi & Rui Zhou, 2025, "Machine Learning with Multitype Protected Attributes: Intersectional Fairness through Regularisation," Papers, arXiv.org, number 2509.08163, Sep, revised Oct 2025.
• Lee, David, 2025, "Robust Parameter Estimation for Financial Data Simulation," MPRA Paper, University Library of Munich, Germany, number 125703, Aug.
• Akshay Vij & Stephane Hess, 2025, "Posterior inference of attitude-behaviour relationships using latent class choice models," Papers, arXiv.org, number 2509.08373, Sep, revised Apr 2026.
• Ziyao Wang & Svetlozar T Rachev, 2025, "Neural L\'evy SDE for State--Dependent Risk and Density Forecasting," Papers, arXiv.org, number 2509.01041, Aug.
• Junho Choi, 2025, "On the role of the design phase in a linear regression," Papers, arXiv.org, number 2509.01861, Sep.
• Alireza Fallah & Michael I. Jordan & Annie Ulichney, 2025, "The Statistical Fairness-Accuracy Frontier," Papers, arXiv.org, number 2508.17622, Aug, revised Feb 2026.
• Sourish Das, 2025, "Predicting Stock Market Crash with Bayesian Generalised Pareto Regression," Papers, arXiv.org, number 2506.17549, Jun.
• Antoine, Bertille & Boldea, Otilia & Zaccaria, Niccolò, 2024, "Efficient two-sample instrumental variable estimators with change points and near-weak identification," Other publications TiSEM, Tilburg University, School of Economics and Management, number a546c23b-272e-4ba9-8b94-a.

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: