Report NEP-ECM-2026-02-02

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:

• Boyao Wu & Jiti Gao & Deshui Yu, 2025, "Time-Varying Generalized Network Autoregressions," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 8/25.
• Hasan Fallahgoul & Jiti Gao, 2025, "Estimation and Inference based on Summary Statistics for State Space Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 7/25.
• Raphael Langevin, 2026, "Bias-Reduced Estimation of Finite Mixtures: An Application to Latent Group Structures in Panel Data," Papers, arXiv.org, number 2601.20197, Jan, revised Feb 2026.
• Bruno Ferman & Davi Siqueira & Vitor Possebom, 2026, "Partial Identification under Stratified Randomization," Papers, arXiv.org, number 2601.12566, Jan.
• Myunghyun Song & Sokbae Lee & Serena Ng, 2026, "Empirical Bayes Estimation in Heterogeneous Coefficient Panel Models," Papers, arXiv.org, number 2601.07059, Jan.
• Kim Christensen & Ulrich Hounyo & Mark Podolskij, 2026, "Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment," Papers, arXiv.org, number 2601.16613, Jan.
• Xin Liu & Luciano de Castro & Antonio F. Galvao, 2026, "A Smoothed GMM for Dynamic Quantile Preferences Estimation," Papers, arXiv.org, number 2601.20853, Jan.
• Shoya Ishimaru, 2026, "Estimating Treatment Effects in Panel Data Without Parallel Trends," Papers, arXiv.org, number 2601.08281, Jan.
• Jiaming Huang & Luca Neri, 2026, "Beyond Validity: SVAR Identification Through the Proxy Zoo," Papers, arXiv.org, number 2601.11195, Jan.
• Apoorva Lal & Guido Imbens & Peter Hull, 2026, "Long-Term Causal Inference with Many Noisy Proxies," Papers, arXiv.org, number 2601.06359, Jan.
• Chencheng Fang & Dominik Liebl, 2025, "Making Event Study Plots Honest: A Functional Data Approach to Causal Inference," Papers, arXiv.org, number 2512.06804, Dec, revised Jan 2026.
• Tomohiro Ando & Tadao Hoshino & Ruey Tsay, 2026, "Quantile Vector Autoregression without Crossing," Papers, arXiv.org, number 2601.04663, Jan.
• Harrison Katz, 2026, "Directional-Shift Dirichlet ARMA Models for Compositional Time Series with Structural Break Intervention," Papers, arXiv.org, number 2601.16821, Jan.
• Jonas E. Arias & Juan F. Rubio-Ramirez & Minchul Shin, 2025, "Large SVARs," Working Papers, Federal Reserve Bank of Philadelphia, number 26-04, Jan, DOI: 10.21799/frbp.wp.2026.04.
• Craig S Wright, 2026, "Design-Robust Event-Study Estimation under Staggered Adoption Diagnostics, Sensitivity, and Orthogonalisation," Papers, arXiv.org, number 2601.18801, Jan.
• Fu Ouyang & Thomas T. Yang & Wenying Yao, 2026, "Uncovering Sparse Financial Networks with Information Criteria," Papers, arXiv.org, number 2601.03598, Jan, revised Jan 2026.
• Anthony Britto, 2026, "Likelihood-Based Ergodicity Transformations in Time Series Analysis," Papers, arXiv.org, number 2601.11237, Jan.
• Alessio Brini & Ekaterina Seregina, 2026, "A Nonlinear Target-Factor Model with Attention Mechanism for Mixed-Frequency Data," Papers, arXiv.org, number 2601.16274, Jan.
• Adel Daoud & Richard Johansson & Connor T. Jerzak, 2025, "Detecting and Mitigating Treatment Leakage in Text-Based Causal Inference: Distillation and Sensitivity Analysis," Papers, arXiv.org, number 2601.02400, Dec.
• Deborah Sulem & Jack Jewson & David Rossell, 2025, "Bayesian Computation for High-dimensional Gaussian Graphical Models with Spike-and-Slab Priors," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/25.
• Jochmans, Koen, 2026, "Two-Way Clustering with Non-Exchangeable Data," TSE Working Papers, Toulouse School of Economics (TSE), number 26-1701, Jan.
• Valentin Winkler, 2026, "When and Why State-Dependent Local Projections Work," Papers, arXiv.org, number 2601.01622, Jan.
• Ricardo E. Miranda, 2026, "On the falsification of instrumental variable models for heterogeneous treatment effects," Papers, arXiv.org, number 2601.14464, Jan.
• Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos & Rabehi, Nadia, 2025, "Seasonal ARIMA models with a random period," MPRA Paper, University Library of Munich, Germany, number 127200, Dec, revised 06 Dec 2025.
• Masahiro Kato, 2026, "Riesz Representer Fitting under Bregman Divergence: A Unified Framework for Debiased Machine Learning," Papers, arXiv.org, number 2601.07752, Jan, revised Jan 2026.
• Jeremy Zuchuat, 2025, "Estimating Duration Dependence in Job Search: the Within-Estimation Duration Bias," Papers, arXiv.org, number 2512.06928, Dec.
• Jan Rosenzweig, 2026, "Fast Times, Slow Times: Timescale Separation in Financial Timeseries Data," Papers, arXiv.org, number 2601.11201, Jan.
• Daisuke Kurisu & Yuta Okamoto & Taisuke Otsu, 2025, "Difference-in-Differences with Interval Data," Papers, arXiv.org, number 2512.08759, Dec.
• Sunil K Sapra, 2025, "Nonlinear Regression Modeling via Machine Learning Techniques with Applications in Business and Economics," RAIS Conference Proceedings 2022-2025, Research Association for Interdisciplinary Studies, number 0594, Nov.
• Sergey Ivashchenko, 2026, "Structural seasonality," Bank of Russia Working Paper Series, Bank of Russia, number wps160, Jan.
• James Rice, 2026, "Stochastic Deep Learning: A Probabilistic Framework for Modeling Uncertainty in Structured Temporal Data," Papers, arXiv.org, number 2601.05227, Jan.
• Timo Dimitriadis & Yannick Hoga, 2026, "Systemic Risk Surveillance," Papers, arXiv.org, number 2601.08598, Jan.
• Sergey Ivashchenko, 2024, "Sector-Specific Supply and Demand Shocks: Joint Identification," Bank of Russia Working Paper Series, Bank of Russia, number wps129, Jun.
• Hui Chen & Yuhan Cheng & Yanchu Liu & Ke Tang, 2026, "Teaching Economics to the Machines," NBER Working Papers, National Bureau of Economic Research, Inc, number 34713, Jan.
• Matteo Barigozzi & Diego Fresoli & Esther Ruiz, 2026, "Mean Square Errors of factors extracted using principal components, linear projections, and Kalman filter," Papers, arXiv.org, number 2601.04087, Jan.
• Koos B. Gubbels & Andre Lucas, 2026, "Spectral Dynamics and Regularization for High-Dimensional Copulas," Papers, arXiv.org, number 2601.13281, Jan.
• Chiara Casoli & Riccardo Lucchetti, 2026, "A rotated Dynamic Factor Model for the yield curve: squeezing out information when it matters," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 503, Jan.