Report NEP-ECM-2023-07-10

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:

• Fang, Qin & Guo, Shaojun & Qiao, Xinghao, 2024. "Adaptive functional thresholding for sparse covariance function estimation in high dimensions," LSE Research Online Documents on Economics 118700, London School of Economics and Political Science, LSE Library.
• Jia Chen Author-Name-First: Jia & Yongcheol Shin & Chaowen Zheng, 2023. "Dynamic Quantile Panel Data Models with Interactive Effects," Economics Discussion Papers em-dp2023-06, Department of Economics, University of Reading.
• Haiqi Li Author-Name-First: Haiqi & Jing Zhang & Chaowen Zheng, 2023. "Estimating and Testing for Functional Coefficient Quantile Cointegrating Regression," Economics Discussion Papers em-dp2023-07, Department of Economics, University of Reading.
• Wei Tian, 2023. "Individual Causal Inference Using Panel Data With Multiple Outcomes," Papers 2306.01969, arXiv.org.
• Christian Holberg & Susanne Ditlevsen, 2023. "Uniform Inference for Cointegrated Vector Autoregressive Processes," Papers 2306.03632, arXiv.org, revised Dec 2023.
• Christopher D. Walker, 2023. "Parametrization, Prior Independence, and the Semiparametric Bernstein-von Mises Theorem for the Partially Linear Model," Papers 2306.03816, arXiv.org, revised Feb 2024.
• Alejandro Sanchez-Becerra, 2023. "Robust inference for the treatment effect variance in experiments using machine learning," Papers 2306.03363, arXiv.org.
• Jiti Gao & Bin Peng & Yayi Yan, 2023. "Time-Varying Vector Error-Correction Models: Estimation and Inference," Papers 2305.17829, arXiv.org.
• Timothy B. Armstrong & Patrick Kline & Liyang Sun, 2023. "Adapting to Misspecification," Papers 2305.14265, arXiv.org, revised Aug 2024.
• Giovanni Ballarin, 2023. "Impulse Response Analysis of Structural Nonlinear Time Series Models," Papers 2305.19089, arXiv.org, revised Jun 2024.
• Eiji Kurozumi & Anton Skrobotov, 2023. "Improving the accuracy of bubble date estimators under time-varying volatility," Papers 2306.02977, arXiv.org.
• Ivan Jeliazkov & Shubham Karnawat & Mohammad Arshad Rahman & Angela Vossmeyer, 2023. "Flexible Bayesian Quantile Analysis of Residential Rental Rates," Papers 2305.13687, arXiv.org, revised Sep 2023.
• Bruno Ferman & Ot'avio Tecchio, 2023. "Identifying Dynamic LATEs with a Static Instrument," Papers 2305.18114, arXiv.org, revised Dec 2023.
• Wei Tian, 2023. "The Synthetic Control Method with Nonlinear Outcomes: Estimating the Impact of the 2019 Anti-Extradition Law Amendments Bill Protests on Hong Kong's Economy," Papers 2306.01967, arXiv.org.
• Sungyoon Lee & Sokbae Lee, 2023. "Prediction Risk and Estimation Risk of the Ridgeless Least Squares Estimator under General Assumptions on Regression Errors," Papers 2305.12883, arXiv.org, revised Jun 2024.
• Tommaso Manfè & Luca Nunziata, 2023. "Difference-In-Difference Design With Repeated Cross-Sections Under Compositional Changes: a Monte-Carlo Evaluation of Alternative Approaches," "Marco Fanno" Working Papers 0305, Dipartimento di Scienze Economiche "Marco Fanno".
• Christian Gourieroux & Quinlan Lee, 2023. "Nonlinear Impulse Response Functions and Local Projections," Papers 2305.18145, arXiv.org.
• David M. Kaplan & Xin Liu, 2023. "Confidence Intervals for Intentionally Biased Estimators," Working Papers 2308, Department of Economics, University of Missouri.
• Rong J. B. Zhu, 2023. "Synthetic Regressing Control Method," Papers 2306.02584, arXiv.org, revised Oct 2023.
• Lei Bill Wang, 2023. "Estimating overidentified linear models with heteroskedasticity and outliers," Papers 2305.17615, arXiv.org, revised Aug 2024.
• Duarte, Belmiro P.M. & Atkinson, Anthony C. & P. Singh, Satya & S. Reis, Marco, 2023. "Optimal design of experiments for hypothesis testing on ordered treatments via intersection-union tests," LSE Research Online Documents on Economics 115187, London School of Economics and Political Science, LSE Library.
• Matthieu Garcin, 2023. "Complexity measure, kernel density estimation, bandwidth selection, and the efficient market hypothesis," Papers 2305.13123, arXiv.org.
• F. Cipollini & G.M. Gallo & A. Palandri, 2023. "Modeling and evaluating conditional quantile dynamics in VaR forecasts," Working Paper CRENoS 202308, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
• Chen, Yudong & Wang, Tengyao & Samworth, Richard J., 2024. "Inference in high-dimensional online changepoint detection," LSE Research Online Documents on Economics 119449, London School of Economics and Political Science, LSE Library.
• Atsushi Inoue & `Oscar Jord`a & Guido M. Kuersteiner, 2023. "Inference for Local Projections," Papers 2306.03073, arXiv.org, revised Aug 2024.
• Andrew J. Patton & Yasin Simsek, 2023. "Generalized Autoregressive Score Trees and Forests," Papers 2305.18991, arXiv.org.