Report NEP-ECM-2022-05-02

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:

• Zhenting Sun & Kaspar Wuthrich, 2022. "Pairwise Valid Instruments," Papers 2203.08050, arXiv.org, revised Jan 2024.
• Philipp Otto & Osman Dou{g}an & Suleyman Tac{s}p{i}nar, 2022. "Dynamic Spatiotemporal ARCH Models," Papers 2202.13856, arXiv.org.
• Maaz Mahadi & Tarig Ballal & Muhammad Moinuddin & Tareq Y. Al-Naffouri & Ubaid Al-Saggaf, 2022. "Portfolio Optimization Using a Consistent Vector-Based MSE Estimation Approach," Papers 2204.05611, arXiv.org.
• Nathan Canen & Ko Sugiura, 2022. "Inference in Linear Dyadic Data Models with Network Spillovers," Papers 2203.03497, arXiv.org, revised Jun 2023.
• Cameron Fen, 2022. "Fast Simulation-Based Bayesian Estimation of Heterogeneous and Representative Agent Models using Normalizing Flow Neural Networks," Papers 2203.06537, arXiv.org.
• Matthew Harding & Carlos Lamarche & Chris Muris, 2022. "Estimation of a Factor-Augmented Linear Model with Applications Using Student Achievement Data," Papers 2203.03051, arXiv.org.
• Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim & Aaron Mora, 2022. "On Robust Inference in Time Series Regression," Papers 2203.04080, arXiv.org, revised May 2024.
• Denis Chetverikov & Yukun Liu & Aleh Tsyvinski, 2022. "Weighted-average quantile regression," Papers 2203.03032, arXiv.org.
• David W. Hughes, 2022. "Estimating Nonlinear Network Data Models with Fixed Effects," Papers 2203.15603, arXiv.org, revised Mar 2023.
• Aknouche, Abdelhakim & Scotto, Manuel, 2022. "A multiplicative thinning-based integer-valued GARCH model," MPRA Paper 112475, University Library of Munich, Germany.
• Daniel Czarnowske & Amrei Stammann, 2022. "Latent Unbalancedness in Three-Way Gravity Models," Papers 2203.02235, arXiv.org.
• Elia Lapenta & Pascal Lavergne, 2022. "Encompassing Tests for Nonparametric Regressions," Papers 2203.06685, arXiv.org, revised Oct 2023.
• Nibbering, Didier & Oosterveen, Matthijs & Silva, Pedro Luís, 2022. "Clustered Local Average Treatment Effects: Fields of Study and Academic Student Progress," IZA Discussion Papers 15159, Institute of Labor Economics (IZA).
• Brantly Callaway, 2022. "Difference-in-Differences for Policy Evaluation," Papers 2203.15646, arXiv.org.
• Shi, Chengchun & Li, Lexin, 2022. "Testing mediation effects using logic of Boolean matrices," LSE Research Online Documents on Economics 108881, London School of Economics and Political Science, LSE Library.
• Javier Hidalgo & Heejun Lee & Jungyoon Lee & Myung Hwan Seo, 2022. "Minimax Risk in Estimating Kink Threshold and Testing Continuity," Papers 2203.00349, arXiv.org.
• Timo Dimitriadis & Lutz Duembgen & Alexander Henzi & Marius Puke & Johanna Ziegel, 2022. "Honest calibration assessment for binary outcome predictions," Papers 2203.04065, arXiv.org, revised Nov 2022.
• Daniel Czarnowske, 2022. "A Classifier-Lasso Approach for Estimating Production Functions with Latent Group Structures," Papers 2203.02220, arXiv.org.
• Victor Chernozhukov & Whitney Newey & Rahul Singh & Vasilis Syrgkanis, 2022. "Automatic Debiased Machine Learning for Dynamic Treatment Effects and General Nested Functionals," Papers 2203.13887, arXiv.org, revised Jun 2023.
• Martin Cousineau & Vedat Verter & Susan A. Murphy & Joelle Pineau, 2022. "Estimating causal effects with optimization-based methods: A review and empirical comparison," Papers 2203.00097, arXiv.org.
• Ravi Kashyap, 2022. "Are Instrumental Variables Really That Instrumental? Endogeneity Resolution in Regression Models for Comparative Studies," Papers 2203.14255, arXiv.org.
• Jun Lu & Shao Yi, 2022. "Reducing overestimating and underestimating volatility via the augmented blending-ARCH model," Papers 2203.12456, arXiv.org.
• Dalia Ghanem & Sarojini Hirshleifer & D'esir'e K'edagni & Karen Ortiz-Becerra, 2022. "Correcting Attrition Bias using Changes-in-Changes," Papers 2203.12740, arXiv.org, revised Mar 2024.
• Alberto Abadie & Jaume Vives-i-Bastida, 2022. "Synthetic Controls in Action," Papers 2203.06279, arXiv.org.
• Zeidman, Peter & Friston, Karl & Parr, Thomas, 2022. "A primer on Variational Laplace," OSF Preprints 28vwh, Center for Open Science.
• Jase Clarkson & Mihai Cucuringu & Andrew Elliott & Gesine Reinert, 2022. "DAMNETS: A Deep Autoregressive Model for Generating Markovian Network Time Series," Papers 2203.15009, arXiv.org, revised Oct 2023.
• Harrison H. Li & Art B. Owen, 2022. "A general characterization of optimal tie-breaker designs," Papers 2202.12511, arXiv.org, revised Oct 2022.
• Lotfi Boudabsa & Damir Filipović, 2022. "Ensemble learning for portfolio valuation and risk management," Swiss Finance Institute Research Paper Series 22-30, Swiss Finance Institute.
• Baishuai Zuo & Chuancun Yin, 2022. "Multivariate doubly truncated moments for generalized skew-elliptical distributions with application to multivariate tail conditional risk measures," Papers 2203.00839, arXiv.org.
• Den Haan, Wouter J., 2020. "Discussion of estimating linearized heterogeneous agent models using panel data," LSE Research Online Documents on Economics 103971, London School of Economics and Political Science, LSE Library.