Report NEP-ECM-2022-03-07

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:

• Liang Jiang & Oliver B. Linton & Haihan Tang & Yichong Zhang, 2022. "Improving Estimation Efficiency via Regression-Adjustment in Covariate-Adaptive Randomizations with Imperfect Compliance," Papers 2201.13004, arXiv.org, revised Jun 2023.
• Jad Beyhum & Samuele Centorrino & Jean-Pierre Florens & Ingrid Van Keilegom, 2022. "Instrumental variable estimation of dynamic treatment effects on a duration outcome," Papers 2201.10826, arXiv.org, revised Dec 2022.
• Harold D Chiang & Bruce E Hansen & Yuya Sasaki, 2022. "Standard errors for two-way clustering with serially correlated time effects," Papers 2201.11304, arXiv.org, revised Dec 2023.
• Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2022. "Dynamic Mixture Vector Autoregressions with Score-Driven Weights," Research Papers in Economics 2022-02, University of Trier, Department of Economics.
• Carolina Caetano & Brantly Callaway & Stroud Payne & Hugo Sant'Anna Rodrigues, 2022. "Difference in Differences with Time-Varying Covariates," Papers 2202.02903, arXiv.org, revised Jun 2024.
• Ke-Li Xu, 2022. "On Local Projection Based Inference," CAEPR Working Papers 2022-002 Classification-, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
• H. Peter Boswijk & Giuseppe Cavaliere & Luca De Angelis & A. M. Robert Taylor, 2022. "Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models," Papers 2202.02532, arXiv.org.
• Juho Koistinen & Bernd Funovits, 2022. "Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization," Papers 2202.00310, arXiv.org, revised Feb 2022.
• Georg Keilbar & Juan M. Rodriguez-Poo & Alexandra Soberon & Weining Wang, 2022. "A semiparametric approach for interactive fixed effects panel data models," Papers 2201.11482, arXiv.org, revised Mar 2023.
• Ayden Higgins & Koen Jochmans, 2022. "Bootstrap inference for fixed-effect models," Papers 2201.11156, arXiv.org.
• AmirEmad Ghassami & Alan Yang & David Richardson & Ilya Shpitser & Eric Tchetgen Tchetgen, 2022. "Combining Experimental and Observational Data for Identification and Estimation of Long-Term Causal Effects," Papers 2201.10743, arXiv.org, revised Apr 2022.
• Bora Kim, 2022. "On the Use of Instrumental Variables in Mediation Analysis," Papers 2201.12752, arXiv.org.
• Gabriel Okasa, 2022. "Meta-Learners for Estimation of Causal Effects: Finite Sample Cross-Fit Performance," Papers 2201.12692, arXiv.org.
• Zheng, Bang Quan, 2021. "RGLS and RLS in Covariance Structure Analysis," SocArXiv aejgf, Center for Open Science.
• Stephan Martin, 2022. "Estimation of Conditional Random Coefficient Models using Machine Learning Techniques," Papers 2201.08366, arXiv.org.
• B. Cooper Boniece & Jos'e E. Figueroa-L'opez & Yuchen Han, 2022. "Efficient Volatility Estimation for L\'evy Processes with Jumps of Unbounded Variation," Papers 2202.00877, arXiv.org.
• Benjamin Poignard & Manabu Asai, 2022. "High-Dimensional Sparse Multivariate Stochastic Volatility Models," Papers 2201.08584, arXiv.org, revised May 2022.
• Joshua Angrist, 2022. "Empirical Strategies in Economics: Illuminating the Path from Cause to Effect," NBER Working Papers 29726, National Bureau of Economic Research, Inc.
• Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman van Dijk, 2022. "A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods," Tinbergen Institute Discussion Papers 22-013/III, Tinbergen Institute.
• Sergey Nadtochiy & Yuan Yin, 2022. "Consistency of MLE for partially observed diffusions, with application in market microstructure modeling," Papers 2201.07656, arXiv.org, revised Dec 2024.
• Wolf, Elias, 2022. "Estimating growth at risk with skewed stochastic volatility models," Discussion Papers 2022/2, Free University Berlin, School of Business & Economics.
• Isuru Ratnayake & V. A. Samaranayake, 2022. "Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model," Papers 2202.03351, arXiv.org, revised Mar 2022.
• Meng-Chen Hsieh & Clifford Hurvich & Philippe Soulier, 2022. "Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes," Papers 2202.00793, arXiv.org.
• Caio Almeida & Paul Schneider, 2021. "Constrained Polynomial Likelihood," Working Papers 2021-45, Princeton University. Economics Department..
• Christian A. Scholbeck & Giuseppe Casalicchio & Christoph Molnar & Bernd Bischl & Christian Heumann, 2022. "Marginal Effects for Non-Linear Prediction Functions," Papers 2201.08837, arXiv.org.
• Ovielt Baltodano Lopez & Federico Bassetti & Giulia Carallo & Roberto Casarin, 2022. "First-order integer-valued autoregressive processes with Generalized Katz innovations," Papers 2202.02029, arXiv.org, revised Dec 2024.
• Jose Blanchet & Fernando Hernandez & Viet Anh Nguyen & Markus Pelger & Xuhui Zhang, 2022. "Bayesian Imputation with Optimal Look-Ahead-Bias and Variance Tradeoff," Papers 2202.00871, arXiv.org, revised Apr 2023.
• Stefanos Bennett & Mihai Cucuringu & Gesine Reinert, 2022. "Lead-lag detection and network clustering for multivariate time series with an application to the US equity market," Papers 2201.08283, arXiv.org.
• Rafael R. S. Guimaraes, 2022. "Deep Learning Macroeconomics," Papers 2201.13380, arXiv.org.
• Driver, Charles C, 2022. "Inference With Cross-Lagged Effects - Problems in Time and New Interpretations," OSF Preprints xdf72, Center for Open Science.
• Carlo Drago & Andrea Scozzari, 2022. "Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis," Papers 2202.02197, arXiv.org.
• Verhagen, Mark D., 2021. "Identifying and Improving Functional Form Complexity: A Machine Learning Framework," SocArXiv bka76, Center for Open Science.