Report NEP-ECM-2023-05-29

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:

• Christis Katsouris, 2023. "Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors," Papers 2305.00860, arXiv.org, revised May 2023.
• Xuan Leng & Jiaming Mao & Yutao Sun, 2023. "Debiased Inference for Dynamic Nonlinear Panels with Multi-dimensional Heterogeneities," Papers 2305.03134, arXiv.org, revised Nov 2024.
• Liang Chen & Minyuan Zhang, 2023. "Common Correlated Effects Estimation of Nonlinear Panel Data Models," Papers 2304.13199, arXiv.org.
• Pedro H. C. Sant'Anna & Qi Xu, 2023. "Difference-in-Differences with Compositional Changes," Papers 2304.13925, arXiv.org.
• David Bruns-Smith & Oliver Dukes & Avi Feller & Elizabeth L. Ogburn, 2023. "Augmented balancing weights as linear regression," Papers 2304.14545, arXiv.org, revised Jun 2024.
• Arindrajit Dube & Daniele Girardi & Òscar Jordà & Alan M. Taylor, 2023. "A Local Projections Approach to Difference-in-Differences," NBER Working Papers 31184, National Bureau of Economic Research, Inc.
• Paulo M.M. Rodrigues & João Nicolau, 2023. "Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics," Working Papers w202306, Banco de Portugal, Economics and Research Department.
• Jann Spiess & Guido Imbens & Amar Venugopal, 2023. "Double and Single Descent in Causal Inference with an Application to High-Dimensional Synthetic Control," Papers 2305.00700, arXiv.org, revised Oct 2023.
• Christian Bongiorno & Marco Berritta, 2023. "Optimal Covariance Cleaning for Heavy-Tailed Distributions: Insights from Information Theory," Papers 2304.14098, arXiv.org, revised Apr 2023.
• Konrad Menzel, 2023. "Transfer Estimates for Causal Effects across Heterogeneous Sites," Papers 2305.01435, arXiv.org, revised May 2024.
• Badi Baltagi, 2023. "The Two-way Mundlak Estimator," Center for Policy Research Working Papers 256, Center for Policy Research, Maxwell School, Syracuse University.
• Sung Hoon Choi & Donggyu Kim, 2023. "Large Global Volatility Matrix Analysis Based on Observation Structural Information," Papers 2305.01464, arXiv.org, revised Feb 2024.
• Lutz Kilian & Michael D. Plante & Alexander W. Richter, 2023. "Estimating Macroeconomic News and Surprise Shocks," Working Papers 2304, Federal Reserve Bank of Dallas, revised 22 Mar 2024.
• Mohamed Hamdouche & Pierre Henry-Labordere & Huyên Pham, 2023. "Generative modeling for time series via Schrödinger bridge," Working Papers hal-04063041, HAL.
• Jean-Jacques Forneron & Liang Zhong, 2023. "Convexity Not Required: Estimation of Smooth Moment Condition Models," Papers 2304.14386, arXiv.org.
• Carsten H. Chong & Viktor Todorov, 2023. "Volatility of Volatility and Leverage Effect from Options," Papers 2305.04137, arXiv.org, revised Jan 2024.
• Luis J. Álvarez & Florens Odendahl, 2022. "Data outliers and Bayesian VARs in the Euro Area," Working Papers 2239, Banco de España.
• Cantone, Giulio Giacomo & Tomaselli, Venera, 2023. "Multiversal Methods and Applications," MetaArXiv ukvw7, Center for Open Science.
• Silvia Goncalves & Ana María Herrera & Lutz Kilian & Elena Pesavento, 2023. "State-Dependent Local Projections," Working Papers 2302, Federal Reserve Bank of Dallas.
• Cheng Zhang & Nilam Nur Amir Sjarif & Roslina Ibrahim, 2023. "Deep learning models for price forecasting of financial time series: A review of recent advancements: 2020-2022," Papers 2305.04811, arXiv.org, revised Sep 2023.
• Andrew Na & Meixin Zhang & Justin Wan, 2023. "Computing Volatility Surfaces using Generative Adversarial Networks with Minimal Arbitrage Violations," Papers 2304.13128, arXiv.org, revised Dec 2023.