Report NEP-ECM-2023-01-09

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:

• Christoph Breunig & Ruixuan Liu & Zhengfei Yu, 2022. "Double Robust Bayesian Inference on Average Treatment Effects," Papers 2211.16298, arXiv.org, revised Oct 2024.
• Nicholas Brown & Kyle Butts, 2022. "A Unified Framework for Dynamic Treatment Effect Estimation in Interactive Fixed Effect Models," Working Paper 1495, Economics Department, Queen's University.
• Ping Yu & Shengjie Hong & Peter C. B. Phillips, 2022. "Panel Threshold Regression with Unobserved Individual-Specific Threshold Effects," Cowles Foundation Discussion Papers 2352, Cowles Foundation for Research in Economics, Yale University.
• Guo, Shaojun & Qiao, Xinghao, 2023. "On consistency and sparsity for high-dimensional functional time series with application to autoregressions," LSE Research Online Documents on Economics 114638, London School of Economics and Political Science, LSE Library.
• Kwon, Ohyun & Yoon, Jangsu & Yotov, Yoto, 2022. "A Generalized Poisson-Pseudo Maximum Likelihood Estimator," School of Economics Working Paper Series 2022-13, LeBow College of Business, Drexel University.
• Bent Jesper Christensen & Luca Neri & Juan Carlos Parra-Alvarez, 2022. "Estimation of continuous-time linear DSGE models from discrete-time measurements," CREATES Research Papers 2022-12, Department of Economics and Business Economics, Aarhus University.
• Shuyao Ke & Liangjun Su & Peter C. B. Phillips, 2022. "Unified Factor Model Estimation and Inference under Short and Long Memory," Cowles Foundation Discussion Papers 2351, Cowles Foundation for Research in Economics, Yale University.
• Less, Vivien & Sibbertsen, Philipp, 2022. "Estimation and Testing in a Perturbed Multivariate Long Memory Framework," Hannover Economic Papers (HEP) dp-704, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Andrea Bucci, 2022. "A smooth transition autoregressive model for matrix-variate time series," Papers 2212.08615, arXiv.org.
• Yuehao Bai & Jizhou Liu & Azeem M. Shaikh & Max Tabord-Meehan, 2022. "Inference in Cluster Randomized Trials with Matched Pairs," Papers 2211.14903, arXiv.org, revised Aug 2024.
• Boyuan Zhang, 2022. "Incorporating Prior Knowledge of Latent Group Structure in Panel Data Models," Papers 2211.16714, arXiv.org, revised Oct 2023.
• Yuya Sasaki & Yulong Wang, 2022. "Extreme Changes in Changes," Papers 2211.14870, arXiv.org, revised May 2023.
• Zhu, Ziwei & Wang, Tengyao & Samworth, Richard J., 2022. "High-dimensional principal component analysis with heterogeneous missingness," LSE Research Online Documents on Economics 117647, London School of Economics and Political Science, LSE Library.
• Henderson, Daniel J. & Sperlich, Stefan, 2022. "A Complete Framework for Model-Free Difference-in-Differences Estimation," IZA Discussion Papers 15799, Institute of Labor Economics (IZA).
• Nicholas Brown, 2022. "Information Equivalence Among Transformations of Semiparametric Nonlinear Panel Data Models," Working Paper 1494, Economics Department, Queen's University.
• Clément de Chaisemartin & Ziteng Lei, 2022. "Are Bartik Regressions Always Robust to Heterogeneous Treatment Effects?," Working Papers hal-03873913, HAL.
• Skrobotov Anton, 2021. "Explosion Bubble Testing: An Overview [Тестирование На Наличие Взрывных Пузырей: Обзор]," Working Papers s21130, Russian Presidential Academy of National Economy and Public Administration.
• Matteo Iacopini & Francesco Ravazzolo & Luca Rossini, 2022. "Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications," Papers 2211.16121, arXiv.org, revised Aug 2024.
• Riccardo Di Francesco, 2022. "Aggregation Trees," CEIS Research Paper 546, Tor Vergata University, CEIS, revised 20 Nov 2023.
• John Mullahy & Edward C. Norton, 2022. "Why Transform Y? A Critical Assessment of Dependent-Variable Transformations in Regression Models for Skewed and Sometimes-Zero Outcomes," NBER Working Papers 30735, National Bureau of Economic Research, Inc.
• Mawuli Segnon, 2022. "Strict stationarity of Poisson integer-valued ARCH processes of order infinity," CQE Working Papers 10222, Center for Quantitative Economics (CQE), University of Muenster.
• Zuckerman, Daniel, 2022. "Maximum Likelihood vs. Bayesian estimation of uncertainty," OSF Preprints ajuvf, Center for Open Science.
• Shi, Shuping & Yu, Jun & Zhang, Chen, 2022. "Finite Sample Comparison of Alternative Estimators for Fractional Gaussian Noise," Economics and Statistics Working Papers 13-2022, Singapore Management University, School of Economics.
• Malte Knuppel & Fabian Kruger & Marc-Oliver Pohle, 2022. "Score-based calibration testing for multivariate forecast distributions," Papers 2211.16362, arXiv.org, revised Dec 2023.
• Oliver Cassagneau-Francis & Robert Gary-Bobo & Julie Pernaudet & Jean-Marc Robin, 2022. "A Nonparametric Finite Mixture Approach to Difference-in-Difference Estimation, with an Application to On-the-job Training and Wages," Working Papers hal-03869547, HAL.
• Jan Ditzen & Francesco Ravazzolo, 2022. "Dominant Drivers of National Inflation," BEMPS - Bozen Economics & Management Paper Series BEMPS97, Faculty of Economics and Management at the Free University of Bozen.
• Yingyao Hu, 2022. "Identification of Unobservables in Observations," Papers 2212.02585, arXiv.org.
• Nicolas Apfel & Frank Windmeijer, 2022. "The Falsification Adaptive Set in Linear Models with Instrumental Variables that Violate the Exclusion or Conditional Exogeneity Restriction," Papers 2212.04814, arXiv.org, revised Apr 2024.
• Edwin Fourrier-Nicolai & Michel Lubrano, 2022. "Bayesian inference for non-anonymous Growth Incidence Curves using Bernstein polynomials: an application to academic wage dynamics," Working Papers hal-03880243, HAL.
• Forni, Mario & Gambetti, Luca & Ricco, Giovanni, 2022. "External Instrument SVAR Analysis for Noninvertible Shocks," The Warwick Economics Research Paper Series (TWERPS) 1444, University of Warwick, Department of Economics.
• Jaros{l}aw Gruszka & Janusz Szwabi'nski, 2022. "Parameter Estimation of the Heston Volatility Model with Jumps in the Asset Prices," Papers 2211.14814, arXiv.org.
• Laura Eslava & Fernando Baltazar-Larios & Bor Reynoso, 2022. "Maximum Likelihood Estimation for a Markov-Modulated Jump-Diffusion Model," Papers 2211.17220, arXiv.org.
• George Daniel Mateescu, 2022. "Time series : entropy and informational energy," Working Papers of Institute for Economic Forecasting 221001, Institute for Economic Forecasting.
• David Van Dijcke, 2022. "On the Non-Identification of Revenue Production Functions," Papers 2212.04620, arXiv.org, revised May 2024.
• Clément de Chaisemartin & Xavier d'Haultfoeuille, 2022. "An Optimal Bandwidth For Difference-in-Difference Estimation with a Continuous Treatment and an Heterogeneous Adoption Design," Working Papers hal-03873937, HAL.
• Marc Wildi & Branka Hadji Misheva, 2022. "A Time Series Approach to Explainability for Neural Nets with Applications to Risk-Management and Fraud Detection," Papers 2212.02906, arXiv.org.
• Shi, Chengchun & Zhang, Shengxing & Lu, Wenbin & Song, Rui, 2022. "Statistical inference of the value function for reinforcement learning in infinite-horizon settings," LSE Research Online Documents on Economics 110882, London School of Economics and Political Science, LSE Library.