Report NEP-ECM-2026-05-18

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:

• Han Chen & Yijie Fei & Yiren Wang & Jun Yu, 2026, "Clustering for Block Correlation Models," Working Papers, University of Macau, Faculty of Business Administration, number 202639, Apr.
• Alex Hayes & Keith Levin, 2026, "Estimating peer effects in noisy, low-rank networks via network smoothing," Papers, arXiv.org, number 2605.03204, May.
• Yang, Ying & Shi, Chengchun & Yao, Fang & Wang, Shouyang & Zhu, Hongtu, 2026, "Spatially randomized designs can enhance policy evaluation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 138333, Mar.
• Daniel Andrew Coulson & David S. Matteson & Martin T. Wells, 2026, "Modeling Dynamic Correlation Matrices with Shrinkage Priors," Papers, arXiv.org, number 2605.06818, May.
• Andrea Del Pizzo & Martin Nybom & Jan Stuhler, 2026, "Indirect Estimators of Intergenerational Mobility," CESifo Working Paper Series, CESifo, number 12663.
• Yangzhou Chen & Shuaida He & Xin Chen, 2026, "Large-Scale Asset Selection via Metric Dependence with Enriched High Frequency Information," Papers, arXiv.org, number 2605.02326, May, revised May 2026.
• Jonas Skjold Raaschou-Pedersen, 2026, "Doubly Robust Instrumented Difference-in-Differences," Papers, arXiv.org, number 2605.03699, May.
• Lydia Ashton, 2026, "Vibe Econometrics and the Analysis Contract," Papers, arXiv.org, number 2605.08071, May.
• Peter Reinhard Hansen & Chen Tong, 2026, "Exact Likelihood Inference and Robust Filtering for Gauss-Cauchy Convolution Models," Papers, arXiv.org, number 2605.01665, May, revised May 2026.
• Shuhua Si, 2026, "Is Complexity the Problem? Testing Random Choice with Heterogeneity," Papers, arXiv.org, number 2605.01850, May.
• Simon Scheidegger, 2026, "Deep Learning for Solving and Estimating Dynamic Models in Economics and Finance," Papers, arXiv.org, number 2605.14493, May.
• Jinhang Chai & Yaqi Duan & Jianqing Fan & Kaizheng Wang, 2026, "Optimal Semiparametric Dynamic Pricing with Feature Diversity," Papers, arXiv.org, number 2605.04207, May.
• Samuel Mod'ee & Yushu Li & Sjur Westgaard & Stein Andreas Bethuelsen, 2026, "Multi-regime Markov-switching models with time-varying transition probabilities: An application to U.S. Treasury yields," Papers, arXiv.org, number 2605.14976, May.
• Antonio F. Galvao & Ulrich Hounyo & Jiahao Lin, 2026, "Estimation and Inference for the $\tau$-Quantile of Individual Heterogeneous Coefficient," Papers, arXiv.org, number 2605.01923, May, revised Jun 2026.
• Fusheng Luo & H'elyette Geman, 2026, "Yield Curves Dynamics Using Variational Autoencoders Under No-arbitrage," Papers, arXiv.org, number 2605.12764, May, revised May 2026.
• Marc-Oliver Pohle & Tanja Zahn & Sebastian Lerch, 2026, "Uncertainty Quantification in Forecast Comparisons," Papers, arXiv.org, number 2605.03997, May.
• Isaac Gerber, 2026, "Design-Based Variance Estimation for Modern Heterogeneity-Robust Difference-in-Differences Estimators," Papers, arXiv.org, number 2605.04124, May, revised May 2026.
• Jiafeng Chen & Yihong Wu, 2026, "Sharp regret-Hellinger bounds for Gaussian empirical Bayes via polynomial approximation," Papers, arXiv.org, number 2605.02070, May.
• L. Kaili Diamond & Ben Gilbert, 2026, "Scalable Structural Estimation of Networked Infrastructure: Exact Decomposition for Localized Coordination," Papers, arXiv.org, number 2605.04592, May.
• Hua Jin, 2026, "Estimation of BLP models with high-dimensional controls," Papers, arXiv.org, number 2605.01594, May.
• Alexandros E. Tzikas & Emmanuel J. Cand`es & Trevor Hastie & Stephen P. Boyd & Mykel J. Kochenderfer & Ronald N. Kahn, 2026, "Enhancing a Risk Model by Adding Transient Statistical Factors," Papers, arXiv.org, number 2605.12977, May.
• Gandharv Patil & Keyi Tang & Raquel Aoki & Leo Guelman, 2026, "Causal EpiNets: Precision-corrected Bounds on Individual Treatment Effects using Epistemic Neural Networks," Papers, arXiv.org, number 2605.07065, May.
• Chang, Jinyuan & Fang, Qin & Kolaczyk, Eric D. & MacDonald, Peter W. & Yao, Qiwei, 2026, "Autoregressive networks with dependent edges," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 137708, Apr.
• Qitong Chen & Shuwen Lai, 2026, "Self-normalized tests for multistep conditional predictive ability," Papers, arXiv.org, number 2605.07404, May.
• Zhu, Xianghe & Yao, Qiwei, 2026, "Autoregressive hypergraph," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 137673, Apr.
• Sterzinger, Philipp & Kosmidis, Ioannis, 2026, "Diaconis–Ylvisaker prior penalized likelihood for / → ∈ (0,1) logistic regression," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 137326, May.