Report NEP-ECM-2023-06-19

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.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-ECM

The following items were announced in this report:

• Shunsuke Imai & Lei Qin & Takahide Yanagi, 2023. "Doubly Robust Uniform Confidence Bands for Group-Time Conditional Average Treatment Effects in Difference-in-Differences," Papers 2305.02185, arXiv.org, revised Jan 2025.
• Florian Huber & Gary Koop, 2023. "Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks," Papers 2305.16827, arXiv.org.
• Christis Katsouris, 2023. "Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models," Papers 2305.11282, arXiv.org, revised Jul 2023.
• Alvarez, Luis Antonio, 2023. "Approximate Bayesian Computation for Partially Identified Models," MPRA Paper 117339, University Library of Munich, Germany.
• Ahnaf Rafi, 2023. "Efficient Semiparametric Estimation of Average Treatment Effects Under Covariate Adaptive Randomization," Papers 2305.08340, arXiv.org.
• Chen, Zezhun Chen & Dassios, Angelos & Tzougas, George, 2023. "INAR approximation of bivariate linear birth and death process," LSE Research Online Documents on Economics 118769, London School of Economics and Political Science, LSE Library.
• Curbelo Benitez, Ernesto Angel & Martino, Luca & Llorente Fernandez, Fernando, 2023. "Adaptive posterior distributions for covariance matrix learning in Bayesian inversion problems for multioutput signals," DES - Working Papers. Statistics and Econometrics. WS 37391, Universidad Carlos III de Madrid. Departamento de Estadística.
• Nadja van ’t Hoff & Arthur Lewbel & Giovanni Mellace, 2023. "Limited Monotonicity and the Combined Compliers LATE," Boston College Working Papers in Economics 1059, Boston College Department of Economics, revised 20 Jan 2025.
• Bo Zhou, 2023. "Semiparametrically Optimal Cointegration Test," Papers 2305.08880, arXiv.org.
• Valentin Zelenyuk & Shirong Zhao, 2023. "Further Improvements of Finite Sample Approximation of Central Limit Theorems for Weighted and Unweighted Malmquist Productivity Indices," CEPA Working Papers Series WP042023, School of Economics, University of Queensland, Australia.
• Haitian Xie, 2023. "Grenander-type Density Estimation under Myerson Regularity," Papers 2305.09052, arXiv.org.
• Emilija Dzuverovic & Matteo Barigozzi, 2023. "Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices," Papers 2305.08488, arXiv.org, revised Jul 2024.
• Gary Koop & Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon & Ping Wu, 2023. "Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting," Working Papers 23-09, Federal Reserve Bank of Cleveland.
• Fernando Delbianco & Fernando Tohmé, 2023. "Individualized Conformal," Working Papers 247, Red Nacional de Investigadores en Economía (RedNIE).
• Sumanjay Dutta & Shashi Jain, 2023. "Precision versus Shrinkage: A Comparative Analysis of Covariance Estimation Methods for Portfolio Allocation," Papers 2305.11298, arXiv.org.
• Mario Martinoli & Alessio Moneta & Gianluca Pallante, 2022. "Calibration and Validation of Macroeconomic Simulation Models by Statistical Causal Search," LEM Papers Series 2022/33, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
• Mugrabi, Farah Daniela, 2023. "Detecting and dating possibly distinct structural breaks in the covariance structure of financial assets," LIDAM Discussion Papers LFIN 2023001, Université catholique de Louvain, Louvain Finance (LFIN).
• Federico Podestà, 2023. "Studying the Welfare State by Analysing Time-Series-Cross-Section Data," FBK-IRVAPP Working Papers 2023-03, Research Institute for the Evaluation of Public Policies (IRVAPP), Bruno Kessler Foundation.
• Leccadito, Arturo & Staino, Alessandro & Toscano, Pietro, 2022. "A Novel Robust Method for Estimating the Covariance Matrix of Financial Returns with Applications to Risk Management," LIDAM Discussion Papers LFIN 2022011, Université catholique de Louvain, Louvain Finance (LFIN).
• Mariia Artemova & Francisco Blasques & Siem Jan Koopman, 2023. "A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic Factors," Tinbergen Institute Discussion Papers 23-021/III, Tinbergen Institute.
• Jia Xu & Longbing Cao, 2023. "Copula Variational LSTM for High-dimensional Cross-market Multivariate Dependence Modeling," Papers 2305.08778, arXiv.org.
• Yichi Zhang & Mihai Cucuringu & Alexander Y. Shestopaloff & Stefan Zohren, 2023. "Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models," Papers 2305.06704, arXiv.org, revised Sep 2023.