Report NEP-ECM-2026-08-10

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:

• A. Monta~n'es & E. Ruiz, 2026, "Interpreting (and testing) factor loadings," Papers, arXiv.org, number 2607.12568, Jul.
• Haokun Lu & Xiaojun Song, 2026, "Orthogonal Integrated Conditional Moment Tests for Treatment Effect Heterogeneity," Papers, arXiv.org, number 2607.12622, Jul.
• Gonzalez-Casasus, Oriol & Schorfheide, Frank, 2025, "Misspecification-Robust Shrinkage and Selection for VAR Forecasts and IRFs," CEPR Discussion Papers, Centre for Economic Policy Research, number 19915, Feb.
• Andrii Babii & Luca Barbaglia & Eric Ghysels & Jonas Striaukas, 2026, "Factor-Augmented Machine Learning Panel Regressions," Papers, arXiv.org, number 2607.06368, Jul.
• Takahiro Hoshino & Kazuhiko Shinoda & Taisuke Otsu, 2026, "Role-Reversed Auxiliary Calibration for Treatment Effects under Selection on Potential Outcomes," Keio-IES Discussion Paper Series, Institute for Economics Studies, Keio University, number DP2026-013, Jul.
• Ulrich Hounyo, 2026, "When Does Heteroskedasticity Matter? A Contrast-Specific Theory of Robust Inference," Papers, arXiv.org, number 2607.03331, Jul.
• Stanis{l}aw M. S. Halkiewicz, 2026, "Variance Estimation for Saturated Fixed-Effect Specifications," Papers, arXiv.org, number 2607.05215, Jul.
• Jonas E. Arias & Juan F. Rubio-Ramirez & Daniel F. Waggoner, 2026, "Inference Based on Scale, Label, and Economic Restrictions," Working Papers, Federal Reserve Bank of Philadelphia, number 26-36, Jul, DOI: 10.21799/frbp.wp.2026.36.
• Marcelo J. Moreira & Mahrad Sharifvaghefi, 2026, "Properties of the Conditional Likelihood Ratio Test under Discrete Approximation," Papers, arXiv.org, number 2607.04380, Jul.
• Parush Arora & Rohan Wagle, 2026, "A Bayesian Approach to Partial Homogeneity in Staggered Difference-in- Difference," Working Papers, Ashoka University, Department of Economics, number 166, Jul.
• Neele Balke & Stephane Bonhomme & Thibaut Lamadon, 2026, "Indirect Variational Inference: Applications to Earnings Dynamics," Papers, arXiv.org, number 2607.15168, Jul.
• Jeziorski, Przemyslaw & Leng, Dingzhe & Seiler, Stephan, 2025, "Causal Inference with Endogenous Price Response," CEPR Discussion Papers, Centre for Economic Policy Research, number 20252, May.
• Arturas Juodis & George Kapetanios & Vasilis Sarafidis, 2026, "Estimation and Inference for Latent Dual Networks Using High-Dimensional IV Screening," Papers, arXiv.org, number 2607.13862, Jul.
• Roy Cerqueti & Marco Ventura, 2026, "Manipulation testing based on Benford's Law for discrete scores," Papers, arXiv.org, number 2607.13564, Jul.
• Jung Hyub Lee, 2026, "Conformalized Lee Inference: Distribution-Free Individual Treatment Effect Intervals under Monotone Sample Selection," Papers, arXiv.org, number 2607.02898, Jul.
• Takahiro & Kazuhiko Shinoda & Taisuke Otsu, 2026, "Treatment Effect Identification under Selection on Potential Outcomes," Keio-IES Discussion Paper Series, Institute for Economics Studies, Keio University, number DP2026-012, Jun.
• Kamil Makie{l}a, 2026, "Model Uncertainty under Non-Gaussian Errors: Bayesian Model Averaging and Selection in Stochastic Frontier Models," Papers, arXiv.org, number 2607.14274, Jul.
• Giuseppe Cavaliere & Luca Fanelli & Marco Mazzali, 2026, "Global factors for local shocks in a data-scarce environment: with an application to regional fiscal multipliers in Italy," Papers, arXiv.org, number 2607.13879, Jul.
• Vod Vilfort, 2026, "Robust Inference for Weighted Estimands," Papers, arXiv.org, number 2607.07524, Jul.
• Xinxian Chen & Peter Reinhard Hansen & Chen Tong, 2026, "Split-Session Cluster GARCH for Overnight and Intraday Returns: The Role of Tail Heterogeneity," Papers, arXiv.org, number 2607.03669, Jul.
• Tae-Hwy Lee & Dingli Wang, 2026, "Median-Anchored Adjustment of Joint VaR--ES Forecasts," Working Papers, University of California at Riverside, Department of Economics, number 202604, Aug.
• Gong, Xiaodong & Freyens, Benoit, 2026, "Identifying Peer Effects under Reflection: A Panel-Data Approach," IZA Discussion Papers, IZA Network @ LISER, number 18808, Jul.
• Hauzenberger, Niko & Marcellino, Massimiliano & Pfarrhofer, Michael & Stelzer, Anna, 2025, "Bayesian Nowcasting with Mixed Frequency Data Using Gaussian Processes," CEPR Discussion Papers, Centre for Economic Policy Research, number 19965, Feb.
• Daniele Angelini, 2026, "(In)Efficient Market States and Rough Volatility Detected via Grunwald-Letnikov Fractional Derivative," Papers, arXiv.org, number 2606.27932, Jun.
• O’Neill, Eoghan & Velasco, Sofia, 2026, "Let the tree decide: FABART. A non-parametric factor model for nonlinear oil shock transmission," Working Paper Series, European Central Bank, number 3265, Jul.