Report NEP-ECM-2026-07-27

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:

• Chaohua Dong & Jiti Gao & Oliver Linton & Bin Peng, 2026, "Identification, Estimation and Inference Based on Structural Error Projection," Papers, arXiv.org, number 2607.05699, Jul, revised Jul 2026.
• Nora Bearth & Nadja van 't Hoff & Torben S. D. Johansen, 2026, "Group-Level Treatment Effect Heterogeneity in Difference-in-Differences: A Balanced Approach," Papers, arXiv.org, number 2606.24785, Jun.
• Julien Chhor & Xavier D'Haultf{oe}uille & J'er'emy L'Hour & Martin Mugnier, 2026, "Asymptotic Properties of Empirical Quantile-Based Estimators," Papers, arXiv.org, number 2607.00219, Jun.
• Elia Lapenta & Anthony Strittmatter & Pedro Vergara Merino, 2026, "A Machine-Learning-Compatible Omnibus Test for Treatment Effect Heterogeneity," Papers, arXiv.org, number 2607.06412, Jul.
• Tadao Hoshino, 2026, "Network-Adjusted GMM Estimation under Network Uncertainty," Papers, arXiv.org, number 2607.10613, Jul.
• Daniel Czarnowske & Amrei Stammann, 2026, "Inference for Fixed Effects Estimators when Panels are Unbalanced," Papers, arXiv.org, number 2607.10246, Jul, revised Jul 2026.
• Mengsi Gao & Peng Ding, 2026, "Misspecified regressions with mixed regressors: robust inference and causal interpretation," Papers, arXiv.org, number 2607.09536, Jul.
• Sung Jae Jun & Federico Zincenko, 2026, "Sensitivity Analysis for the Average Treatment Effect under Discrete Unobserved Confounders," Papers, arXiv.org, number 2606.22255, Jun.
• Desmond Fairall & Thomas Glinnan, 2026, "Quasi-Bayesian Hierarchical Models," Papers, arXiv.org, number 2606.31930, Jun.
• Hasraddin Guliyev, 2026, "Second-Generation Heterogeneous Panel Data Model with Individual and Common Shocks," Papers, arXiv.org, number 2606.29063, Jun.
• Wisse Rutgers & Rahul Singh, 2026, "Generated outcomes as generated regressors: Equivalences in recursive causal estimation," Papers, arXiv.org, number 2606.29009, Jun.
• Marcellino, Massimiliano & Pfarrhofer, Michael, 2025, "Nonparametric Mixed Frequency Monitoring Macro-at-Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 20442, Jul.
• Jizhou Liu & Azeem M. Shaikh & Liang Zhong, 2026, "Randomization Tests in Randomized Saturation Designs," Papers, arXiv.org, number 2607.04257, Jul.
• Bertille Antoine and Richmond Tetteh, 2026, "Specification testing with many auxiliary statistics," Discussion Papers, Department of Economics, Simon Fraser University, number dp26-10, Jun.
• Ulrich Hounyo, 2026, "Learning Dependence Structures for Econometric Inference: Identification, Ambiguity, and Adaptive Inference," Papers, arXiv.org, number 2606.22555, Jun, revised Jul 2026.
• Bruno E. Holtz & Carlos A. Abanto-Valle & Ricardo S. Ehlers & Gabriel Rodr'iguez, 2026, "Stochastic Volatility in Mean Models with Heavy Tails: A Fast Approximate Bayesian Inference Using Hidden Markov Models," Papers, arXiv.org, number 2606.22615, Jun.
• Makoto Nakakita & Takahiro Hoshino, 2026, "Bayesian Robustness Values for Modern Causal Panel Estimators via Riesz Representations," Papers, arXiv.org, number 2607.10276, Jul.
• Andr'es Garc'ia-Medina, 2026, "Iterative detection of global factors near the BBP phase transition," Papers, arXiv.org, number 2607.06908, Jul.
• Paulo M.M. Rodrigues & Philipp Sibbertsen & Gabriel Zsurkis, 2026, "Testing for Explosiveness in Panels: A Self-Normalized Test for Stationarity in Cointegrating Residuals," Working Papers, Banco de Portugal, Economics and Research Department, number w202605.
• Thomas Glinnan, 2026, "Design-Based Inference for Time-Series GMM," Papers, arXiv.org, number 2606.31685, Jun.
• Hugo Freeman, 2026, "Local Asymptotic Power of Honest Confidence Intervals," Papers, arXiv.org, number 2607.10558, Jul.
• Mikael Carlsson & Marco D'Amico & Erik Oberg & Oskar N. Skans & Karl Walentin, 2026, "Identifying the MPC-Liquidity Gradient in High-Quality Data," Papers, arXiv.org, number 2607.07055, Jul.
• Peizan Sheng & Alexander Torgovitsky, 2026, "What's the Magic Formula Instrument?," Papers, arXiv.org, number 2606.21569, Jun.
• Shunsuke Imai & Yuta Okamoto, 2026, "Uniform Confidence Bands for Infinite-Dimensional Partially Identified Parameters," Papers, arXiv.org, number 2606.21224, Jun, revised Jul 2026.
• Jooyoung Cha & Yuya Sasaki & Nelson Matthew P. Tan, 2026, "Bounds for Standard Errors in Combined Data," Papers, arXiv.org, number 2606.24867, Jun.
• Isaiah Andrews & Bas Sanders, 2026, "The Incredible Flexibility of Moment Matching," NBER Working Papers, National Bureau of Economic Research, Inc, number 35378, Jun.
• Fangzhou Yu & Seojeong Lee, 2026, "Sensitivity, Informativeness, and Misspecification in GMM Estimation," Papers, arXiv.org, number 2606.29833, Jun.
• Imran Ansari & Shashi Jain & Srikanth K. Iyer, 2026, "Recovering Structural Organization in Noisy Correlation Networks Using Financial Systems as a Testbed," Papers, arXiv.org, number 2607.10297, Jul.
• Hyung Joo Kim & Dong Hwan Oh, 2026, "Capturing Heterogeneity: Machine Learning Approaches to Implied Volatility Forecasting," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2026-049, Jul, DOI: 10.17016/FEDS.2026.049.
• Ingvil Gaarder & Lancelot Henry de Frahan & Magne Mogstad & Alexander Torgovitsky & Oscar Volpe, 2026, "Supply and Demand with Market Heterogeneity," NBER Working Papers, National Bureau of Economic Research, Inc, number 35468, Jul.
• André Luis Squarize Chagas, 2026, "Treatment, Exposure, and Spatial Counterfactuals in Regional Policy Evaluation: A Framework for Impact Analysis with Spatial Spillovers," TD NEREUS, Núcleo de Economia Regional e Urbana da Universidade de São Paulo (NEREUS), number 09-2026.
• Kinel, Michal, 2026, "Robust Real-Time Macroeconomic Trend Extraction: A Gradient Boosting Approach," MPRA Paper, University Library of Munich, Germany, number 128473, Mar.
• Gargiulo, Valeria & Inoue, Atsushi & Rossi, Barbara, 2025, "A New Approach to Fiscal Multipliers: Time Variation and High Frequency Shocks," CEPR Discussion Papers, Centre for Economic Policy Research, number 20670, Sep.