Report NEP-ECM-2023-04-17

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:

• Yiqi Liu & Yuan Qi, 2023. "Using Forests in Multivariate Regression Discontinuity Designs," Papers 2303.11721, arXiv.org, revised Jul 2024.
• Matteo Barigozzi, 2023. "Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review," Papers 2303.11777, arXiv.org, revised May 2024.
• Alyssa Carlson & Wei Zhao, 2023. "Heckman sample selection estimators under heteroskedasticity," Working Papers 2303, Department of Economics, University of Missouri.
• Qizhao Chen & Morgane Austern & Vasilis Syrgkanis, 2023. "Inference on Optimal Dynamic Policies via Softmax Approximation," Papers 2303.04416, arXiv.org, revised Dec 2023.
• Antonis Demos, 2023. "Estimation of Asymmetric Stochastic Volatility in Mean Models," DEOS Working Papers 2309, Athens University of Economics and Business.
• Denis Chetverikov & Jinyong Hahn & Zhipeng Liao & Andres Santos, 2023. "Standard errors when a regressor is randomly assigned," Papers 2303.10306, arXiv.org.
• Facundo Arga~naraz & Juan Carlos Escanciano, 2023. "On the Existence and Information of Orthogonal Moments," Papers 2303.11418, arXiv.org, revised Jun 2023.
• Greeshma Balabhadra & El Mehdi Ainasse & Pawel Polak, 2023. "High-Frequency Volatility Estimation with Fast Multiple Change Points Detection," Papers 2303.10550, arXiv.org, revised Jun 2024.
• Yunyun Wang & Tatsushi Oka & Dan Zhu, 2023. "Distributional Vector Autoregression: Eliciting Macro and Financial Dependence," Papers 2303.04994, arXiv.org.
• Michaël Allouche & Mnacho Echenim & Emmanuel Gobet & Anne-Claire Maurice, 2023. "Statistical error bounds for weighted mean and median, with application to robust aggregation of cryptocurrency data," Working Papers hal-04017151, HAL.
• Apoorva Lal & Mac Lockhart & Yiqing Xu & Ziwen Zu, 2023. "How Much Should We Trust Instrumental Variable Estimates in Political Science? Practical Advice Based on Over 60 Replicated Studies," Papers 2303.11399, arXiv.org, revised Nov 2023.
• Raffaele Mattera & Philipp Otto, 2023. "Network log-ARCH models for forecasting stock market volatility," Papers 2303.11064, arXiv.org.
• Stéphane Crépey & Noufel Frikha & Azar Louzi, 2024. "A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-04037328, HAL.
• David Muller & Emerson Melo & Ruben Schlotter, 2023. "A Distributionally Robust Random Utility Model," Papers 2303.05888, arXiv.org.