Report NEP-ECM-2025-11-03

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:

• Jean-Marie Dufour & Purevdorj Tuvaandorj, 2025. "Mixed LR-$C(\alpha)$-type tests for irregular hypotheses, general criterion functions and misspecified models," Papers 2510.17070, arXiv.org.
• Shuyuan Chen & Peng Zhang & Yifan Cui, 2025. "Identification and Debiased Learning of Causal Effects with General Instrumental Variables," Papers 2510.20404, arXiv.org.
• Jing Kong, 2025. "Causal Inference in High-Dimensional Generalized Linear Models with Binary Outcomes," Papers 2510.16669, arXiv.org.
• Xiaohong Chen & Haitian Xie, 2025. "Local Overidentification and Efficiency Gains in Modern Causal Inference and Data Combination," Papers 2510.16683, arXiv.org.
• Jing Kong, 2025. "On the Asymptotics of the Minimax Linear Estimator," Papers 2510.16661, arXiv.org.
• Zhongjun Qu & Wendun Wang & Xiaomeng Zhang, 2025. "Prediction Intervals for Model Averaging," Papers 2510.16224, arXiv.org.
• Xiaohong Chen & Min Seong Kim & Sokbae Lee & Myung Hwan Seo & Myunghyun Song, 2025. "SLIM: Stochastic Learning and Inference in Overidentified Models," Papers 2510.20996, arXiv.org, revised Oct 2025.
• Hung Tran & Tien Mai & Minh Hoang Ha, 2025. "Equilibrium-Constrained Estimation of Recursive Logit Choice Models," Papers 2510.16886, arXiv.org.
• Harrison Katz, 2025. "Centered MA Dirichlet ARMA for Financial Compositions: Theory & Empirical Evidence," Papers 2510.18903, arXiv.org, revised Oct 2025.
• Federico Gatta & Fabrizio Lillo & Piero Mazzarisi, 2025. "A high-frequency approach to Realized Risk Measures," Papers 2510.16526, arXiv.org.
• Samuel Perreault & Silvana M. Pesenti & Daniyal Shahzad, 2025. "Distributional regression for seasonal data: an application to river flows," Papers 2510.18639, arXiv.org.
• Andres Garcia-Medina, 2025. "Denoising Complex Covariance Matrices with Hybrid ResNet and Random Matrix Theory: Cryptocurrency Portfolio Applications," Papers 2510.19130, arXiv.org.
• Alahmad, Ahmad & Mínguez Solana, Roberto & Porras Soriano, Rocío & Lozano Galant, José Antonio & Turmo, José, 2025. "Parameter Inference for Structural System Identification Based on Static State Estimation," DES - Working Papers. Statistics and Econometrics. WS 48232, Universidad Carlos III de Madrid. Departamento de Estadística.
• Dmitry Arkhangelsky & Wisse Rutgers, 2025. "Evaluating Local Policies in Centralized Markets," Papers 2510.20032, arXiv.org.
• Alexandre Boumezoued & Adel Cherchali & Vincent Lemaire & Gilles Pag`es & Mathieu Truc, 2025. "Optimized Multi-Level Monte Carlo Parametrization and Antithetic Sampling for Nested Simulations," Papers 2510.18995, arXiv.org.
• Mr. Paul Cashin & Mr. Fei Han & Ivy Sabuga & Jing Xie & Fan Zhang, 2025. "Parameter Proliferation in Nowcasting: Issues and Approaches—An Application to Nowcasting China’s Real GDP," IMF Working Papers 2025/217, International Monetary Fund.
• Youngjae Jeong, 2025. "An Empirical Framework for Discrete Games with Costly Information Acquisition," Papers 2510.19140, arXiv.org.
• Jing Cynthia Wu & Jin Xi & Shihan Xie, 2025. "LLM Survey Framework: Coverage, Reasoning, Dynamics, Identification," NBER Working Papers 34308, National Bureau of Economic Research, Inc.
• ., Kaustubh & Gopalakrishnan, Pawan Gopalakrishnan & Ranjan, Abhishek Ranjan, 2025. "Estimating the New Keynesian Phillips Curve (NKPC) with Fat-tailed Events," MPRA Paper 126329, University Library of Munich, Germany.
• WATANABE, Toshiaki, 2025. "Bayesian Analysis of Business Cycles in Japan by Extending the Markov Switching Model," Discussion paper series HIAS-E-148, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
• Sina Molavipour & Alireza M. Javid & Cassie Ye & Bjorn Lofdahl & Mikhail Nechaev, 2025. "Robust Yield Curve Estimation for Mortgage Bonds Using Neural Networks," Papers 2510.21347, arXiv.org.
• Lucas Darius Konrad & Nikolas Kuschnig, 2025. "Testing Most Influential Sets," Papers 2510.20372, arXiv.org, revised Oct 2025.
• Luis Orea & K Hervé Dakpo, 2025. "Latent class models with persistence in regime changes: a distributed lag analysis [Modèles de classes latentes avec persistance dans les changements de régime : une analyse des retards distribués]," Post-Print hal-05322436, HAL.