Report NEP-ECM-2025-12-15

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.

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Other reports in NEP-ECM

The following items were announced in this report:

• Kan Yao, 2025, "Low-Rank Estimation of Nonlinear Panel Data Models," Papers, arXiv.org, number 2511.21948, Nov.
• Lucas Resende & Guillaume Lecu'e & Lionel Wilner & Philippe Chon'e, 2025, "Statistical Inference in Large Multi-way Networks," Papers, arXiv.org, number 2512.02203, Dec, revised Jan 2026.
• Moyu Liao, 2025, "Treatment Effects in the Regression Discontinuity Model with Counterfactual Cutoff and Distorted Running Variables," Papers, arXiv.org, number 2511.22886, Nov.
• Oguzhan Akgun & Ryo Okui, 2025, "Robust Inference Methods for Latent Group Panel Models under Possible Group Non-Separation," Papers, arXiv.org, number 2511.18550, Nov.
• Raimondo Pala, 2025, "Identification, estimation and inference in Panel Vector Autoregressions using external instruments," Papers, arXiv.org, number 2511.19372, Nov.
• Huan Wu, 2025, "Unobserved Heterogeneous Spillover Effects in Instrumental Variable Models," Papers, arXiv.org, number 2511.22643, Nov.
• Stevenson Bolivar & Rong Chen & Yuefeng Han, 2025, "Threshold Tensor Factor Model in CP Form," Papers, arXiv.org, number 2511.19796, Nov.
• Tarek Jouini, 2025, "Consistent boundaries for the one-step-ahead forecast error criterion and the AIC in vector autoregressions," Working Papers, University of Windsor, Department of Economics, number 2506, Dec.
• Xiaohong Chen & Wayne Yuan Gao & Likang Wen, 2025, "ReLU-Based and DNN-Based Generalized Maximum Score Estimators," Papers, arXiv.org, number 2511.19121, Nov.
• Yuefeng Han & Likai Chen & Wei Biao Wu, 2025, "Estimation of High-dimensional Nonlinear Vector Autoregressive Models," Papers, arXiv.org, number 2511.18641, Nov.
• Giuseppe Cavaliere & S'ilvia Gonc{c}alves & Morten {O}rregaard Nielsen & Edoardo Zanelli, 2025, "Improved Inference for Nonparametric Regression," Papers, arXiv.org, number 2512.00566, Nov.
• Sullivan Hu'e & S'ebastien Laurent & Ulrich Aiounou & Emmanuel Flachaire, 2025, "Estimation in high-dimensional linear regression: Post-Double-Autometrics as an alternative to Post-Double-Lasso," Papers, arXiv.org, number 2511.21257, Nov.
• Grigory Franguridi & Hyungsik Roger Moon, 2025, "Generalized method of moments with partially missing data," Papers, arXiv.org, number 2511.21988, Nov, revised Jan 2026.
• Luca Moreno-Louzada & Guilherme Figueira & Pedro Picchetti, 2025, "Microfoundations and the Causal Interpretation of Price-Exposure Designs," Papers, arXiv.org, number 2512.10076, Dec.
• Yingyao Hu, 2025, "Identification of Multivariate Measurement Error Models," Papers, arXiv.org, number 2512.02970, Dec, revised Dec 2025.
• Francesco Vidoli & Elisa Fusco, 2025, "A GAMLSS-based Optimal Quantile estimator for Stochastic Frontiers," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2025_12, Dec.
• Ulrich Doraszelski & Lixiong Li, 2025, "A Generalized Control Function Approach to Production Function Estimation," Papers, arXiv.org, number 2511.21578, Nov, revised Dec 2025.
• Coqueret, Guillaume & Pérignon, Christophe, 2025, "Persistent Anomalies and Nonstandard Errors," HEC Research Papers Series, HEC Paris, number 1578, Jun, DOI: 10.2139/ssrn.5276723.
• Brantly Callaway & Derek Dyal & Pedro H. C. Sant'Anna & Emmanuel S. Tsyawo, 2025, "Beyond Parallel Trends: An Identification-Strategy-Robust Approach to Causal Inference with Panel Data," Papers, arXiv.org, number 2511.21977, Nov.
• Wen Jiang & Yachen Wang & Zeqi Wu & Xingbai Xu, 2025, "Limit Theorems for Network Data without Metric Structure," Papers, arXiv.org, number 2511.17928, Nov.
• Luca Attolico, 2025, "Explainable Machine Learning for Macroeconomic and Financial Nowcasting: A Decision-Grade Framework for Business and Policy," Papers, arXiv.org, number 2512.00399, Nov.
• Sanghyun Hong & W. Robert Reed, 2025, "Is UWLS Really Better for Medical Research?," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 25/13, Nov.
• Astill, Sam & Harvey, David I & Leybourne, Stephen J & Taylor, AM Robert, 2025, "An Unobserved Components Based Test for Asset Price Bubbles," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 42258, Dec.
• Alfred Galichon & Antoine Jacquet & Georgy Salakhutdinov, 2025, "Transferable Utility Matching Beyond Logit: Computation and Estimation with General Heterogeneity," Papers, arXiv.org, number 2511.23116, Nov.
• Nail Kashaev & Natalia Lazzati, 2025, "Discrete Choice with Endogenous Peer Selection," Papers, arXiv.org, number 2511.21446, Nov.
• Luca Attolico, 2025, "Opening the Black Box: Nowcasting Singapore's GDP Growth and its Explainability," Papers, arXiv.org, number 2512.02092, Dec.
• Micha{l} Sikorski, 2025, "Visibility-Graph Asymmetry as a Structural Indicator of Volatility Clustering," Papers, arXiv.org, number 2512.02352, Dec, revised Dec 2025.
• Ziyao Wang & A. Alexandre Trindade & Svetlozar T. Rachev, 2025, "The Three-Dimensional Decomposition of Volatility Memory," Papers, arXiv.org, number 2512.02166, Dec.
• Eghbal Rahimikia & Hao Ni & Weiguan Wang, 2025, "Re(Visiting) Time Series Foundation Models in Finance," Papers, arXiv.org, number 2511.18578, Nov.

Report NEP-ECM-2025-12-15

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: