Report NEP-ECM-2026-06-08

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:

• Li-Hsien Sun & Zong-Yuan Huang & Yi-Ling Huang & Chi-Yang Chiu & Ning Ning, 2026, "Change-point estimation for Weibull time series with copula-based Markov models," Papers, arXiv.org, number 2605.29541, May.
• David J. Price, 2026, "Power Law Heteroskedasticity," Working Papers, University of Toronto, Department of Economics, number tecipa-822, May.
• Giorgi Nikolaishvili, 2026, "Doubly Robust Nonparametric Local Projections," Working Papers, Wake Forest University, Economics Department, number 135, May.
• Omer Faruk Akbal & Max-Sebastian Dovi, 2026, "Robust Inference Via Heteroskedasticity in Linear Models," IMF Working Papers, International Monetary Fund, number 2026/100, May.
• Chebbi, Ali, 2026, "Asymptotic Theory and Regime-Varying Cointegration for Trend-Cycle Decomposition," MPRA Paper, University Library of Munich, Germany, number 128903, Apr.
• Gerdie Everaert, 2026, "Incidental Parameters Bias in Panel Local Projections Non-Monotone Horizon Pattern and Correction," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 26/1145, Jun.
• Runyu Dai & Yasumasa Matsuda, 2026, "Estimation of High-Dimensional Volatility Matrices with Dynamic Conditional Correlation-embedded Mixed Factor Structures," DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University, number 152, May.
• Giorgi Nikolaishvili & Noah D. Gade, 2026, "Scanning for Significance: False Discovery Control for Impulse Responses," Working Papers, Wake Forest University, Economics Department, number 134, Apr.
• Dongwoo Kim, 2026, "Identification and estimation of semiparametric multilayered sample selection models," CeMMAP working papers, Institute for Fiscal Studies, number 10/26, May, DOI: 10.47004/wp.cem.2026.1026.
• Vidal Llauradó, Joan, 2026, "Detecting Latent Volatility Contagion," MPRA Paper, University Library of Munich, Germany, number 128738, Apr.
• Rob J. Hyndman & David T. Frazier, 2026, "Anomaly Detection Using Surprisals," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/26.
• Beniamino Hadj-Amar & Jack Jewson, 2026, "Bayesian Variable Selection with the Quasi-Posterior," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/26.
• Jin Seo Cho & Peter C. B. Phillips, 2026, "Efficient Estimation in Infinite Dimensional GMM," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2026rwp-289, May.
• De Jonghe, Olivier & Lewis, Daniel, 2026, "Identifying relationship-level effects using covariance restrictions," Working Paper Series, European Central Bank, number 3238, May.
• Jaap H. Abbring & Yifan Yu, 2026, "Interdependent Hitting Times," Papers, arXiv.org, number 2606.06251, Jun, revised Jun 2026.
• Zijun Jia & Sharon X. Lee, 2026, "Mining Financial Data using Mixtures of Mirrored Weibull Distributions," Papers, arXiv.org, number 2605.20142, May.
• Costa, Manon & Gadat, Sébastien & Gendre, Xavier & Klein, Thierry, 2026, "On-line Pick-Freeze Mirror algorithm for Sensitity Analysis," TSE Working Papers, Toulouse School of Economics (TSE), number 26-1751, Jun.
• Dang, Hai-Anh H. & Do, Minh & Lahiri, Partha & Gualavisi, Melany & Newhouse, David & Kilic, Talip & Lanjouw, Peter & Van der Weide, Roy, 2026, "Evaluating Alternative Approaches to Small Area Estimation of Poverty with Survey and Census Data," Policy Research Working Paper Series, The World Bank, number 11396, May.
• Li, Z. M. & Linton, O. B. & Zhai, Y. & Zhang, H., 2026, "Designing High-Frequency Market Liquidity Measures with Applications to Monetary Policy," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2639, Jan.
• Jaqueson K. Galimberti, 2026, "The Role of Initial States in Estimates of the Natural Rate of Interest," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2026-38, May.
• De Castro, Yohann & Gadat, Sébastien & Marteau, Clément, 2026, "Fast Spawn&Prune (FS&P): Global convergence of stochastic conic particle gradient descent via birth/death process," TSE Working Papers, Toulouse School of Economics (TSE), number 26-1750, Jun.
• Otneim, Håkon, 2026, "Comparable Grading from Observational Data: Many-Facet Modelling with Soft Anchors," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2026/6, May.
• Jayesh Chaudhary, 2026, "Multi-Scale Markov Switching GARCH," Papers, arXiv.org, number 2606.06190, Jun.

Report NEP-ECM-2026-06-08

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: