Report NEP-ECM-2021-08-30

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:

• Jooyoung Cha & Harold D. Chiang & Yuya Sasaki, 2021. "Inference in high-dimensional regression models without the exact or $L^p$ sparsity," Papers 2108.09520, arXiv.org, revised Dec 2022.
• Zongwu Cai & Ying Fang & Ming Lin & Shengfang Tang, 2021. "A Nonparametric Test for Testing Heterogeneity in Conditional Quantile Treatment Effects," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202117, University of Kansas, Department of Economics, revised Aug 2021.
• Zhihao Xu & Clifford M. Hurvich, 2021. "A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation," Papers 2108.06093, arXiv.org, revised Jun 2023.
• Royer, Julien, 2021. "Conditional asymmetry in Power ARCH($\infty$) models," MPRA Paper 109118, University Library of Munich, Germany.
• Kedagni, Desire, 2021. "Identifying treatment effects in the presence of confounded types," ISU General Staff Papers 202106050700001056, Iowa State University, Department of Economics.
• Sung Hoon Choi, 2021. "Feasible Weighted Projected Principal Component Analysis for Factor Models with an Application to Bond Risk Premia," Papers 2108.10250, arXiv.org, revised May 2022.
• Matias D. Cattaneo & Rocio Titiunik, 2021. "Regression Discontinuity Designs," Papers 2108.09400, arXiv.org, revised Feb 2022.
• Subhadeep & Mukhopadhyay, 2021. "A Maximum Entropy Copula Model for Mixed Data: Representation, Estimation, and Applications," Papers 2108.09438, arXiv.org, revised Aug 2022.
• Seisho Sato & Naoto Kunimoto, 2021. "Frequency Regression and Smoothing for Noisy Nonstationary Time Series," CARF F-Series CARF-F-519, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• Shantanu Gupta & Zachary C. Lipton & David Childers, 2021. "Efficient Online Estimation of Causal Effects by Deciding What to Observe," Papers 2108.09265, arXiv.org, revised Oct 2021.
• Simon Freyaldenhoven & Christian Hansen & Jorge Pérez Pérez & Jesse M. Shapiro, 2021. "Visualization, Identification, and Estimation in the Linear Panel Event-Study Design," NBER Working Papers 29170, National Bureau of Economic Research, Inc.
• Luca Rigotti & Arie Beresteanu, 2021. "Identification of Incomplete Preferences," Papers 2108.06282, arXiv.org, revised Jun 2022.
• Paul Hunermund & Beyers Louw & Itamar Caspi, 2021. "Double Machine Learning and Automated Confounder Selection -- A Cautionary Tale," Papers 2108.11294, arXiv.org, revised May 2023.
• Varsha S. Kulkarni, 2021. "A Theoretical Analysis of the Stationarity of an Unrestricted Autoregression Process," Papers 2108.09083, arXiv.org.
• Yufeng Mao & Bin Peng & Mervyn J Silvapulle & Param Silvapulle & Yanrong Yang, 2021. "Decomposition of Bilateral Trade Flows Using a Three-Dimensional Panel Data Model," Monash Econometrics and Business Statistics Working Papers 7/21, Monash University, Department of Econometrics and Business Statistics.
• Lin William Cong & Ke Tang & Jingyuan Wang & Yang Zhang, 2021. "Deep Sequence Modeling: Development and Applications in Asset Pricing," Papers 2108.08999, arXiv.org.
• Heidar Eyjolfsson & Dag Tj{o}stheim, 2021. "Multivariate self-exciting jump processes with applications to financial data," Papers 2108.10176, arXiv.org.