Report NEP-ECM-2023-06-26

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:

• Sauvenier, Mathieu & Van Bellegem, Sébastien, 2023. "Direction Identification and Minimax Estimation by Generalized Eigenvalue Problem in High Dimensional Sparse Regression," LIDAM Discussion Papers CORE 2023005, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Pesaran, M. H. & Yang, L., 2023. "Heterogeneous Autoregressions in Short T Panel Data Models," Cambridge Working Papers in Economics 2342, Faculty of Economics, University of Cambridge.
• Millimet, Daniel L. & Bellemare, Marc, 2023. "Fixed Effects and Causal Inference," IZA Discussion Papers 16202, Institute of Labor Economics (IZA).
• Hafner, Christian M. & Herwartz, Helmut & Wang, Shu, 2023. "Causal inference with (partially) independent shocks and structural signals on the global crude oil market," LIDAM Discussion Papers ISBA 2023004, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Sauvenier, Mathieu & Van Bellegem, Sébastien, 2023. "Goodness-of-fit test in high-dimensional linear sparse models," LIDAM Discussion Papers CORE 2023008, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Kandelhardt, Johannes, 2023. "Flexible estimation of random coefficient logit models of differentiated product demand," DICE Discussion Papers 399, Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE).
• Barrows, Geoffrey & Calel, Raphael & Jégard, Martin & Ollivier, Hélène, 2023. "Estimating the effects of regulation when treated and control firms compete: a new method with application to the EU ETS," LSE Research Online Documents on Economics 119259, London School of Economics and Political Science, LSE Library.
• Shuyang Sheng & Xiaoting Sun, 2023. "Social Interactions with Endogenous Group Formation," Papers 2306.01544, arXiv.org.
• Ariel Boyarsky & Hongseok Namkoong & Jean Pouget-Abadie, 2023. "Modeling Interference Using Experiment Roll-out," Papers 2305.10728, arXiv.org, revised Aug 2023.
• François-Éric Racicota & David Tessierc, 2023. "On the relationship between Jorda?s IRF local projection and Dufour et al.?s robust (p,h)-autoregression multihorizon causality: a note," Working Papers 2023-001, Department of Research, Ipag Business School.
• Jie Wei & Yonghui Zhang, 2023. "Does Principal Component Analysis Preserve the Sparsity in Sparse Weak Factor Models?," Papers 2305.05934, arXiv.org, revised Nov 2024.
• Samuel N. Cohen & Silvia Lui & Will Malpass & Giulia Mantoan & Lars Nesheim & 'Aureo de Paula & Andrew Reeves & Craig Scott & Emma Small & Lingyi Yang, 2023. "Nowcasting with signature methods," Papers 2305.10256, arXiv.org.
• Francesco Cesarone & Rosella Giacometti & Jacopo Maria Ricci, 2023. "Non-parametric cumulants approach for outlier detection of multivariate financial data," Papers 2305.10911, arXiv.org.
• Benjamin Fan & Edward Qiao & Anran Jiao & Zhouzhou Gu & Wenhao Li & Lu Lu, 2023. "Deep Learning for Solving and Estimating Dynamic Macro-Finance Models," Papers 2305.09783, arXiv.org.
• Aurélien Alfonsi & Bernard Lapeyre & Jérôme Lelong, 2023. "How many inner simulations to compute conditional expectations with least-square Monte Carlo?," Post-Print hal-03770051, HAL.
• Alessandro Giovannelli & Marco Lippi & Tommaso Proietti, 2023. "Band-Pass Filtering with High-Dimensional Time Series," Papers 2305.06618, arXiv.org.
• Carollo, Angela & Putter, Hein & Eilers, Paul H. C. & Gampe, Jutta, 2023. "Event history analysis with two time scales. An application to transitions out of cohabitation," SocArXiv 4ewv3, Center for Open Science.