Report NEP-ECM-2026-05-25

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:

• Xuanjing Su, 2026, "Endogenous Quantile Regression with Measurement Error in Dependent Variable," Papers, arXiv.org, number 2605.20601, May.
• Hayato Tagawa, 2026, "Identification and Estimation of Staggered Difference-in-Differences with Network Spillovers," Papers, arXiv.org, number 2605.15119, May.
• Gao, Fengnan & Wang, Tengyao, 2026, "Detecting sparse change in regression coefficients in the presence of dense nuisance parameters," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 130998, Jun.
• Tymon S{l}oczy'nski & Liyang Sun & S. Derya Uysal, 2026, "A Practical Guide to Instrumental Variables Methods with Heterogeneous Treatment Effects," Papers, arXiv.org, number 2605.15115, May.
• Jonas F. Frederiksen & Muneya Matsui & Rasmus S. Pedersen, 2026, "Heavy Tails and Predictive Ability Testing," Papers, arXiv.org, number 2605.16866, May, revised Jun 2026.
• Zhen Xie, 2026, "Nonparametric Empirical Bayes Confidence Intervals," Papers, arXiv.org, number 2605.08551, May.
• Xiaojun Song & Jichao Yuan, 2026, "Testing Heteroskedasticity Under Measurement Error," Papers, arXiv.org, number 2605.20012, May.
• Denis Chetverikov & Jesper R. -V. ~S{o}rensen & Bo Honor'e, 2026, "Asymptotic Variance Theory for Trimmed Least Squares and Trimmed Least Absolute Deviations in Censored Panel Models with Fixed Effects," Papers, arXiv.org, number 2605.17052, May.
• Zulfiqar, Ammara & Aziz, Mahwish & Wahid, Abdul, 2026, "Robust Estimation of Structural Equation Modeling using Mahalanobis Distance-based Trimming: An Application to Job Performance Data," MPRA Paper, University Library of Munich, Germany, number 129065, May.
• Yasumasa Matsuda & Michel F. C. Haddad, 2026, "Density-valued VAR Models with Latent Factors," DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University, number 150, Apr.
• Safira, Dinda Ayu & Kuswanto, Heri & Ahsan, Muhammad & Sibbertsen, Philipp, 2026, "A Majorization-Minimization gLASSO Framework for SETAR Models: Theory, Simulation, and Application to PM2.5 Data," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-746, May.
• Ziyi Liu & Yiqing Xu, 2026, "The Harmonic Synthetic Control Method," Papers, arXiv.org, number 2605.20359, May.
• Ron Berman & Walter W. Zhang & Hangcheng Zhao, 2026, "Valuing Winners: When and How to Correct for Selection Bias in Randomized Experiments," Papers, arXiv.org, number 2605.18887, May.
• Yuan Liao & Xin Tong & Wanjie Wang & Dacheng Xiu, 2026, "Fixed-order PCA: Theory for Overestimated Factor Models," Papers, arXiv.org, number 2605.18448, May.
• Irene Botosaru & James L. Powell, 2026, "Correlated Random Coefficient Distributions in Linear Panel Models," Papers, arXiv.org, number 2605.21367, May.
• St'ephane Bonhomme & Koen Jochmans & Whitney K. Newey & Martin Weidner, 2026, "Higher-Order Neyman Orthogonality in Moment-Condition Models," Papers, arXiv.org, number 2605.10842, May.
• Dongwoo Kim & Kyoo il Kim & Pallavi Pal, 2026, "Partial Identification of the Valuation Distribution in Sequential English Auctions," Papers, arXiv.org, number 2605.14400, May.
• Stevenson, Megan T. & Fischman, Joshua B., 2026, "Humans in the Loop: The Next Frontier in the Credibility Revolution," I4R Discussion Paper Series, The Institute for Replication (I4R), number 296.
• Haonan Ye, 2026, "Nonparametric Bayesian Policy Learning," Papers, arXiv.org, number 2605.17068, May.
• Duy-Minh Dang & Volter Entoma, 2026, "A data-driven Fourier-mixture neural-network method for density estimation," Papers, arXiv.org, number 2605.18019, May.
• Peter Reinhard Hansen & Chen Tong, 2026, "Tweedie's Formula and Score-Driven Updating," Papers, arXiv.org, number 2605.15902, May, revised May 2026.
• Masahiro Tanaka, 2026, "Quasi-Bayesian Local Projection Instrumental-Variables Method: Application to Renewable Energy and Electricity Prices," Papers, arXiv.org, number 2605.15966, May.
• Yuji Komiyama & Yasumasa Matsuda & Masakazu Ishihara, 2026, "A Finite-Horizon Mixture Cure Model with Application to Online Flea Market Data," DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University, number 151, May.
• Felix Reichel, 2026, "$2B$ or Not $2B$: A Tale of Three Algorithms for Streaming: Covariance Estimation after Welford and Chan-Golub-LeVeque," Papers, arXiv.org, number 2605.00247, Apr.
• Patrick Woitschig & Mike West, 2026, "Bayesian Dynamic Modeling of Realized Volatility in Financial Asset Price Forecasting," Papers, arXiv.org, number 2605.12099, May.
• Andrea Carriero & Florian Huber & Davide Pettenuzzo, 2026, "Double Descent and Benign Overfitting in Macroeconomic Forecasting," Papers, arXiv.org, number 2605.15358, May.
• Neil R. Ericsson & Andrew B. Martinez, 2026, "Unit Roots and Cointegration: A Panel Discussion with David Hendry, Peter Phillips, Katarina Juselius, and Søren Johansen," Working Papers, The George Washington University, The Center for Economic Research, number 2026-009, May.

Report NEP-ECM-2026-05-25

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: