Report NEP-ECM-2026-10-05

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:

• Weisheng Zhang, 2026, "Causal Inference under Dynamic Selection and Latent Heterogeneity," Papers, arXiv.org, number 2609.17170, Sep, revised Oct 2026.
• Xiaojun Song & Haojiao Zhao, 2026, "Testing for Heterogeneous Treatment Effects in Regression Discontinuity Designs," Papers, arXiv.org, number 2609.27691, Sep.
• Drew D. Creal & Marcelo C. Medeiros & Rodrigo Sarlo, 2026, "Conditionally linear, matrix normal state space models," Papers, arXiv.org, number 2609.18734, Sep.
• Takahiro Hoshino & Ryoya Nakano, 2026, "Valid Inference After Control Selection in Difference-in-Differences," Papers, arXiv.org, number 2610.01464, Oct, revised Oct 2026.
• Benjamin O. Harrison & David T. Jacho-Chavez, 2026, "Rate-Agnostic Wald Inference for Dyadic Regressions," Papers, arXiv.org, number 2609.16968, Sep.
• Bram Wouters & Cees Diks, 2026, "Model-agnostic noise reduction for high-dimensional time series data," Papers, arXiv.org, number 2609.27614, Sep.
• Jung Hyub Lee, 2026, "Profiled Anderson--Rubin Test: Robust Inference Allowing for Direct Effects of Instruments," Papers, arXiv.org, number 2609.18150, Sep.
• Firmin Doko Tchatoka & Magnus Söderberg & Mohammad Abbas Hakeem, 2025, "A penalization approach for estimating inefficiency in stochastic frontier panel models," Adelaide Economics Working Papers, Adelaide University, School of Economics, number 2025-01 Classification-C1, Feb.
• Jun Ma & Yuya Sasaki & Zhengfei Yu, 2026, "Generic Covariate Adjustment for Regression Discontinuity Designs," Papers, arXiv.org, number 2609.29249, Sep.
• Xunkang Tian & Nan Zhi, 2026, "Identification via Distributional Shifts without Exclusion Restrictions," Papers, arXiv.org, number 2609.13026, Sep.
• Fangzhou Yu, 2026, "Identification and Estimation of Optimal Continuous Treatment Effects," Papers, arXiv.org, number 2609.19031, Jul.
• Arturas Juodis & Ovidijus Stauskas & Sander Tromp, 2026, "Bootstrap Inference for Dynamic Panel Data Models with Common Correlated Effects," Papers, arXiv.org, number 2609.31442, Sep, revised Oct 2026.
• Emmanuel Guerre & Yuting Wang, 2026, "Aggregating many estimators using estimated weights," Papers, arXiv.org, number 2609.19415, Sep.
• Agnes Norris Keiller, 2026, "First as Tragedy? Second as What? Estimating Dynamic Effects of Recurrent Events," Papers, arXiv.org, number 2609.30007, Sep.
• Karolina Gliszczy'nska-Schroeder, 2026, "Kernel Balancing in Tree-based Methods," Papers, arXiv.org, number 2609.29440, Sep.
• Peter H. Egger & Ting Ji & Yulong Wang, 2026, "PPML and Heavy-Tailed Trade and Factor Flows: Why Standard Inference Fails and How to Fix It," Papers, arXiv.org, number 2609.18750, Sep.
• Hubeyb Gurdogan & Georg Menz, 2026, "A Sharp Signal-to-Noise Threshold for Quasi-Maximum Likelihood Breakpoint Estimation," Papers, arXiv.org, number 2609.12271, Sep.
• Bruno N. Costa & Florian F. Gunsilius, 2026, "Partial identification with entropy regularized optimal transport," Papers, arXiv.org, number 2609.40156, Sep.
• Hammed A. Olayinka & Saheed O. Olayemi, 2026, "Dynamic Spatial Bayesian Machine Learning Model: Applications to Intergenerational Economic Mobility and Geographic Income Inequality in the United States," Papers, arXiv.org, number 2610.00072, Sep.
• Lucas Harlaar & Jan van den Brakel & Siem Jan Koopman, 2026, "Synchronized Time Series Models for National Accounts Data," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 26-073/III, Sep.
• Xinbing Kong & Zeyu Li & Junfan Mao & Bin Wu, 2026, "Conditional Tensor Diffusion: Distributional Counterfactual Learning and Inference," Papers, arXiv.org, number 2609.25924, Sep.
• Oriol González-Casasús, 2026, "Quantifying Dynamic Misspecification Biases in VARs," Working Papers, Barcelona School of Economics, number 1595, Sep.
• Han Xiao & Yuefeng Han & Rong Chen & Ama Ampadu-Kissi, 2026, "Reduced-Rank Autoregressive Models for Matrix Time Series," Papers, arXiv.org, number 2609.28841, Sep.
• Anindya Banerjee & Josep Lluís Carrion-i-Silvestre, 2026, "Bounds and PANICO Testing for Cointegration in Panels with Common Factors," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 26/08, Sep.
• Xinyu Song, 2026, "Network Realized GARCH--It\^o Models: Volatility Spillovers with High-Frequency Identification," Papers, arXiv.org, number 2609.29515, Aug.
• St'ephane Bonhomme & Koen Jochmans & Martin Weidner, 2026, "Orthogonal Moments in Likelihood Models," Papers, arXiv.org, number 2609.31561, Sep.
• Aidan Wardak & Sayar Karmakar, 2026, "A Characterization of the $M$-tests Under Nearly Integrated Nearly White Noise," Papers, arXiv.org, number 2609.30504, Sep.
• Carl Bonander, 2026, "Heterogeneous Policy Effects in Comparative Case Studies with Treated-Unit Microdata," Papers, arXiv.org, number 2609.28678, Sep, revised Oct 2026.
• Andres Aradillas Fernandez & Victor Chernozhukov & Carlos Cinelli & Sven Klaassen & Whitney Newey & Martin Spindler & Jan Teichert-Kluge & Suhas Vijaykumar, 2026, "Pragmatic DML with AI-Learned Representations," Papers, arXiv.org, number 2610.01935, Oct, revised Oct 2026.
• Shoki Okubo, 2026, "Identifying Panel Conditioning with Refreshment Samples: Sharp Bounds and Design Assumptions," Papers, arXiv.org, number 2610.01654, Oct.
• Peter Reinhard Hansen & Werner Ploberger & Chen Tong, 2026, "Local Optimality and Rigidity of Frobenius Tests for Dense High-Dimensional Covariance Alternatives," Papers, arXiv.org, number 2609.27200, Sep.
• Giovanni Bonaccolto & Massimiliano Caporin & Rangan Gupta, 2026, "Rethinking Quantile-on-Quantile Connectedness," Working Papers, University of Pretoria, Department of Economics, number 202629, Sep.
• Joshua Brault & Qazi Haque & Louis Phaneuf, 2025, "Time-Varying Inflation Target and Unbiased Taylor Rule Estimation," Adelaide Economics Working Papers, Adelaide University, School of Economics, number 2025-03 Classification-E5, Apr.
• Schröder, Maximilian, 2026, "Multivariate uncertainty and distributional transmission," Working Paper Series, European Central Bank, number 3290, Sep.
• Haroon Mumtaz & Sofia Velasco, 2026, "Nonlinear Drivers of Macroeconomic Tail Risk: A Threshold Stochastic Volatility-in-Mean VAR with Regime-Dependent Leverage," Papers, arXiv.org, number 2609.26994, Sep, revised Oct 2026.