Report NEP-ECM-2026-01-26

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:

• Facundo Arga~naraz, 2025, "Automatic Debiased Machine Learning of Structural Parameters with General Conditional Moments," Papers, arXiv.org, number 2512.08423, Dec.
• Grigory Franguridi & Jinyong Hahn & Pierre Hoonhout & Arie Kapteyn & Geert Ridder, 2025, "Raking for estimation and inference in panel models with nonignorable attrition and refreshment," Papers, arXiv.org, number 2512.13270, Dec.
• Shuyuan Chen & Peng Zhang & Yifan Cui, 2026, "Double Machine Learning of Continuous Treatment Effects with General Instrumental Variables," Papers, arXiv.org, number 2601.01471, Jan.
• Takashi Kano, 2026, "Distribution-Matching Posterior Inference for Incomplete Structural Models," Papers, arXiv.org, number 2601.01077, Jan.
• Augustine Denteh & Pierre E. Nguimkeu, 2025, "Estimating Program Participation with Partial Validation," Papers, arXiv.org, number 2512.14616, Dec.
• Alejandro Rodriguez Dominguez, 2026, "Order-Constrained Spectral Causality in Multivariate Time Series," Papers, arXiv.org, number 2601.01216, Jan.
• Anna Bykhovskaya & James A. Duffy, 2025, "Estimation of a Dynamic Tobit Model with a Unit Root," Papers, arXiv.org, number 2512.12110, Dec.
• Ulrich Hounyo & Min Seong Kim, 2025, "Robust Two-Sample Mean Inference under Serial Dependence," Papers, arXiv.org, number 2512.11259, Dec, revised Dec 2025.
• Daisuke Kurisu & Yuta Okamoto & Taisuke Otsu, 2026, "Lee Bounds for Random Objects," Papers, arXiv.org, number 2601.09453, Jan.
• Jakob Bjelac & Victor Chernozhukov & Phil-Adrian Klotz & Jannis Kueck & Theresa M. A. Schmitz, 2026, "Automatic debiased machine learning and sensitivity analysis for sample selection models," Papers, arXiv.org, number 2601.08643, Jan.
• Irene Botosaru & Laura Liu, 2026, "Event Studies with Feedback," Papers, arXiv.org, number 2601.05493, Jan.
• Ruonan Xu & Xiye Yang, 2025, "Distributionally Robust Treatment Effect," Papers, arXiv.org, number 2512.12781, Dec.
• Xinyu Wang & Chunlin Wang & Tao Yu & Pengfei Li, 2026, "Semiparametric inference for inequality measures under nonignorable nonresponse using callback data," Papers, arXiv.org, number 2601.10501, Jan.
• Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2025, "Testing shock independence in Gaussian structural VARs," Working Papers, CEMFI, number wp2025_2532, Dec.
• Timothy Christensen & Giovanni Compiani, 2026, "From Unstructured Data to Demand Counterfactuals: Theory and Practice," Papers, arXiv.org, number 2601.05374, Jan.
• Yoon Choi, 2025, "Variational Regularized Bilevel Estimation for Exponential Random Graph Models," Papers, arXiv.org, number 2512.07176, Dec.
• Stanis{l}aw Marek Sergiusz Halkiewicz & Andrzej Ka{l}u.za, 2025, "Testing the Significance of the Difference-in-Differences Coefficient via Doubly Randomised Inference," Papers, arXiv.org, number 2512.06946, Dec.
• Gabriel Saco, 2025, "Ill-Conditioned Orthogonal Scores in Double Machine Learning," Papers, arXiv.org, number 2512.07083, Dec, revised Jan 2026.
• Frederico Finan & Demian Pouzo, 2026, "Learning about Treatment Effects with Prior Studies: A Bayesian Model Averaging Approach," Papers, arXiv.org, number 2601.09888, Jan.
• Nadav Kunievsky, 2025, "Linear Regression in a Nonlinear World," Papers, arXiv.org, number 2512.13645, Dec.
• Kyriakopoulou, Dimitra, 2025, "A Shrinkage Factor-Augmented VAR for High-Dimensional Macro–Fiscal Dynamics," MPRA Paper, University Library of Munich, Germany, number 127158, Dec.
• Artem Timoshenko & Caio Waisman, 2025, "Policy-Aligned Estimation of Conditional Average Treatment Effects," Papers, arXiv.org, number 2512.13400, Dec.
• Andrea Conti & Giacomo Morelli, 2025, "Transfer Learning (Il)liquidity," Papers, arXiv.org, number 2512.11731, Dec, revised Feb 2026.
• Joshua Angrist & Andres Santos & Otávio Tecchio, 2025, "One Instrument, Many Treatments: Instrumental Variables Identification of Multiple Causal Effects," NBER Working Papers, National Bureau of Economic Research, Inc, number 34607, Dec.
• Ahmed Khwaja & Sonal Srivastava, 2026, "Reinforcement Learning Based Computationally Efficient Conditional Choice Simulation Estimation of Dynamic Discrete Choice Models," Papers, arXiv.org, number 2601.02069, Jan.
• Lin Chen & Yuya Sasaki, 2025, "Heterogeneous Effects of Endogenous Treatments with Interference and Spillovers in a Large Network," Papers, arXiv.org, number 2512.14515, Dec.
• Saeyoung Rho & Cyrus Illick & Samhitha Narasipura & Alberto Abadie & Daniel Hsu & Vishal Misra, 2026, "Time-Aware Synthetic Control," Papers, arXiv.org, number 2601.03099, Jan.
• James Banks & Thomas Glinnan & Tatiana Komarova, 2025, "Bounds on inequality with incomplete data," Papers, arXiv.org, number 2512.07709, Dec.
• Thomas Giroux & Julien Royer & Olivier David Zerbib, 2024, "Empirical Asset Pricing with Score-Driven Conditional Betas," Post-Print, HAL, number hal-05415058, Apr, DOI: 10.1093/jjfinec/nbae007/7657784.
• Takaaki Shiotani & Takaki Hayashi & Yuta Koike, 2026, "On lead-lag estimation of non-synchronously observed point processes," Papers, arXiv.org, number 2601.01871, Jan.
• Deniz Dutz & Xinyi Zhang, 2025, "Limitations of Randomization Tests in Finite Samples," Papers, arXiv.org, number 2512.07099, Dec.
• Guilherme Vianna & Victor Rangel, 2026, "Como medir o invis\'ivel? Guerras, pizzarias do Pent\'agono e o uso de vari\'aveis proxy em econometria," Papers, arXiv.org, number 2601.10352, Jan.
• Astill, Sam & Taylor, AM Robert & Zu Yang, 2026, "Covariate Augmented CUSUM Bubble Monitoring Procedures," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 42634, Jan.
• Chu-An Liu & Andrey L. Vasnev, 2026, "Corrected Forecast Combinations," Papers, arXiv.org, number 2601.09999, Jan.
• Martin Huber & Jannis Kueck & Mara Mattes, 2026, "Learning and Testing Exposure Mappings of Interference using Graph Convolutional Autoencoder," Papers, arXiv.org, number 2601.05728, Jan.
• Guanhao Feng & Wei Lan & Hansheng Wang & Jun Zhang, 2026, "Selecting and Testing Asset Pricing Models: A Stepwise Approach," Papers, arXiv.org, number 2601.10279, Jan.
• Runze Li & Rui Zhou & David Pitt, 2026, "Dynamic Mortality Forecasting via Mixed-Frequency State-Space Models," Papers, arXiv.org, number 2601.05702, Jan.
• Paulo M.M. Rodrigues & Daniel Abreu, 2025, "Large-dimensional cointegrated threshold factor models: The Global Term Structure of Interest Rates," Working Papers, Banco de Portugal, Economics and Research Department, number w202528.
• Aditri, 2026, "Efficiency versus Robustness under Tail Misspecification: Importance Sampling and Moment-Based VaR Bracketing," Papers, arXiv.org, number 2601.09927, Jan.
• Zhimin Chen & Bryan T. Kelly & Semyon Malamud, 2025, "Limits To (Machine) Learning," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 25-106, Dec.
• Arundeep Chinta & Lucas Vinh Tran & Jay Katukuri, 2026, "ProbFM: Probabilistic Time Series Foundation Model with Uncertainty Decomposition," Papers, arXiv.org, number 2601.10591, Jan.
• L. J. Espinosa Gonz'alez & Erick Trevi~no Aguilar, 2026, "The Fourier estimator of spot volatility: Unbounded coefficients and jumps in the price process," Papers, arXiv.org, number 2601.09074, Jan.

Report NEP-ECM-2026-01-26

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: