Report NEP-ECM-2025-09-22

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:

• Kensuke Sakamoto & Yuya Shimizu, 2025. "Design-Based and Network Sampling-Based Uncertainties in Network Experiments," Papers 2506.22989, arXiv.org, revised Sep 2025.
• Joseph Fry, 2025. "Robust Inference when Nuisance Parameters may be Partially Identified with Applications to Synthetic Controls," Papers 2507.00307, arXiv.org, revised Jul 2025.
• Wenze Li, 2025. "An Empirical Comparison of Weak-IV-Robust Procedures in Just-Identified Models," Papers 2506.18001, arXiv.org.
• Alessandro Casini & Adam McCloskey & Luca Rolla & Raimondo Pala, 2025. "Dynamic Local Average Treatment Effects in Time Series," Papers 2509.12985, arXiv.org.
• Qu Feng & Sombut Jaidee & Wenjie Wang, 2025. "Robust Inference with High-Dimensional Instruments," Papers 2506.23834, arXiv.org.
• Tetsuya Takabatake & Jun Yu & Chen Zhang, 2025. "Optimal Estimation for General Gaussian Processes," Papers 2509.04987, arXiv.org.
• Silvia Goncalves & Michael W. McCracken & Yongxu Yao, 2025. "Out-of-Sample Inference with Annual Benchmark Revisions," Working Papers 2025-020, Federal Reserve Bank of St. Louis.
• Laurent Davezies & Xavier D'Haultf{oe}uille & Yannick Guyonvarch, 2025. "Analytic inference with two-way clustering," Papers 2506.20749, arXiv.org.
• Tony Chernis & Niko Hauzenberger & Haroon Mumtaz & Michael Pfarrhofer, 2025. "A Bayesian Gaussian Process Dynamic Factor Model," Papers 2509.04928, arXiv.org.
• Sheng Dai & Timo Kuosmanen & Xun Zhou, 2025. "Orthogonality conditions for convex regression," Papers 2506.21110, arXiv.org.
• Ruofan Xu & Qingliang Fan, 2025. "Single-Index Quantile Factor Model with Observed Characteristics," Papers 2506.19586, arXiv.org.
• Ben Deaner & Soonwoo Kwon, 2025. "Extrapolation in Regression Discontinuity Design Using Comonotonicity," Papers 2507.00289, arXiv.org.
• Vincent Boucher & Aristide Houndetoungan, 2025. "Estimating Peer Effects Using Partial Network Data," Papers 2509.08145, arXiv.org.
• Ellis Scharfenaker & Duncan K. Foley, 2025. "Bayesian Inference for Confounding Variables and Limited Information," Papers 2509.05520, arXiv.org.
• Kyungsik Nam & Won-Ki Seo, 2025. "Functional Regression with Nonstationarity and Error Contamination: Application to the Economic Impact of Climate Change," Papers 2509.08591, arXiv.org, revised Oct 2025.
• Xunkang Tian, 2025. "Treatment Effects of Multi-Valued Treatments in Hyper-Rectangle Model," Papers 2509.05177, arXiv.org.
• Carolina Caetano & Gregorio Caetano & Brantly Callaway & Derek Dyal, 2025. "Causal Inference for Aggregated Treatment," Papers 2506.22885, arXiv.org.
• Lordan, Grace & Salehzadeh Nobari, Kaveh, 2025. "Finite-sample non-parametric bounds with an application to the causal effect of workforce gender diversity on firm performance," LSE Research Online Documents on Economics 129445, London School of Economics and Political Science, LSE Library.
• Niklas Ahlgren & Alexander Back & Timo Terasvirta, 2025. "Testing parametric additive time-varying GARCH models," Papers 2506.23821, arXiv.org.
• Hjertstrand, Per & Proctor, Andrew & Westerlund, Joakim, 2025. "A Simplified Klein–Spady Estimator for Binary Choice Models," Working Paper Series 1535, Research Institute of Industrial Economics.
• Didier Nibbering & Matthijs Oosterveen, 2025. "Policy-relevant causal effect estimation using instrumental variables with interference," Papers 2509.12538, arXiv.org.
• Pablo A. Guerron-Quintana & James M. Nason, 2025. "Bayesian Estimation of DSGE Models: An Update," CAMA Working Papers 2025-52, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Jinting Guo, 2025. "On the Identification of Diagnostic Expectations: Econometric Insights from DSGE Models," Papers 2509.08472, arXiv.org, revised Sep 2025.
• Amarendra Sharma, 2025. "P-CRE-DML: A Novel Approach for Causal Inference in Non-Linear Panel Data," Papers 2506.23297, arXiv.org.
• MD Nazmul Ahsan & Jean-Marie Dufour & Gabriel Rodriguez, 2025. "Modèles de volatilité stochastique à haute dimension: applications à l’incertitude macroéconomique au Québec et au Canada," CIRANO Project Reports 2025rp-19, CIRANO.
• Xia Han & Liyuan Lin & Mengshi Zhao, 2025. "Empirical estimator of diversification quotient," Papers 2506.20385, arXiv.org.
• Luan, Qinmeng & Hamp, James, 2025. "Automated regime classification in multidimensional time series data using sliced Wasserstein k-means clustering," LSE Research Online Documents on Economics 129537, London School of Economics and Political Science, LSE Library.
• Guo, Hongfei & Marín Díazaraque, Juan Miguel & Veiga, Helena, 2025. "Beyond GARCH: Bayesian Neural Stochastic Volatility," DES - Working Papers. Statistics and Econometrics. WS 47944, Universidad Carlos III de Madrid. Departamento de Estadística.
• Jyotishka Datta & Nicholas G. Polson, 2025. "Polynomial Log-Marginals and Tweedie's Formula : When Is Bayes Possible?," Papers 2509.05823, arXiv.org.