Report NEP-ECM-2023-08-21

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:

• Zhou, Yunzhe & Shi, Chengchun & Li, Lexin & Yao, Qiwei, 2023. "Testing for the Markov property in time series via deep conditional generative learning," LSE Research Online Documents on Economics 119352, London School of Economics and Political Science, LSE Library.
• Vishal Kamat & Samuel Norris & Matthew Pecenco, 2023. "Identification in Multiple Treatment Models under Discrete Variation," Papers 2307.06174, arXiv.org.
• Jeremy Majerovitz & Karthik Sastry, 2023. "How Much Should We Trust Regional-Exposure Designs?," Working Papers 2023-018, Federal Reserve Bank of St. Louis.
• Xiaorui Zhu & Yichen Qin & Peng Wang, 2023. "Sparsified Simultaneous Confidence Intervals for High-Dimensional Linear Models," Papers 2307.07574, arXiv.org, revised Jan 2025.
• Takamitsu Kurita & Mototsugu Shintani, 2023. "Johansen Test with Fourier-Type Smooth Nonlinear Trends in Cointegrating Relations," CIRJE F-Series CIRJE-F-1216, CIRJE, Faculty of Economics, University of Tokyo.
• Yoshihiro Yajima & Yasumasa Matsuda, 2023. "Gaussian semiparametric estimation Gaussian semiparametric estimation of two-dimensional intrinsically stationary random fields," DSSR Discussion Papers 136, Graduate School of Economics and Management, Tohoku University.
• Alena Skolkova, 2023. "Instrumental Variable Estimation with Many Instruments Using Elastic-Net IV," CERGE-EI Working Papers wp759, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Amandeep Singh & Ye Liu & Hema Yoganarasimhan, 2023. "Choice Models and Permutation Invariance: Demand Estimation in Differentiated Products Markets," Papers 2307.07090, arXiv.org, revised Feb 2024.
• Alena Skolkova, 2023. "Model Averaging with Ridge Regularization," CERGE-EI Working Papers wp758, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Viet Hoang Dinh & Didier Nibbering & Benjamin Wong, 2023. "Random Subspace Local Projections," CAMA Working Papers 2023-34, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Andrii Babii & Ryan T. Ball & Eric Ghysels & Jonas Striaukas, 2023. "Panel Data Nowcasting: The Case of Price-Earnings Ratios," Papers 2307.02673, arXiv.org.
• Bram van Os, 2023. "Information-Theoretic Time-Varying Density Modeling," Tinbergen Institute Discussion Papers 23-037/III, Tinbergen Institute.
• Anders Rønn-Nielsen & Dorte Kronborg & Mette Asmild, 2022. "Permutation tests on returns to scale and common production frontiers in nonparametric models," IFRO Working Paper 2022/05, University of Copenhagen, Department of Food and Resource Economics.
• del Barrio Castro, Tomás & Osborn, Denise R., 2023. "Periodic Integration and Seasonal Unit Roots," MPRA Paper 117935, University Library of Munich, Germany, revised 2023.
• James A. Duffy & Sophocles Mavroeidis & Sam Wycherley, 2023. "Stationarity with Occasionally Binding Constraints," Papers 2307.06190, arXiv.org.
• Jamie Cross & Lennart Hoogerheide & Paul Labonne & Herman K. van Dijk, 2023. "Bayesian Mode Inference for Discrete Distributions in Economics and Finance," Tinbergen Institute Discussion Papers 23-038/III, Tinbergen Institute.
• Beatrice Foroni & Luca Merlo & Lea Petrella, 2023. "Quantile and expectile copula-based hidden Markov regression models for the analysis of the cryptocurrency market," Papers 2307.06400, arXiv.org.
• Jiyuan Huang & Per Östberg, 2023. "Difference-in-differences with Economic Factors and the Case of Housing Returns," Swiss Finance Institute Research Paper Series 23-55, Swiss Finance Institute.
• Dargel, Lukas & Thomas-Agnan, Christine, 2023. "Share-ratio interpretations of compositional regression models," TSE Working Papers 23-1456, Toulouse School of Economics (TSE), revised 20 Sep 2023.
• Dargel, Lukas & Thomas-Agnan, Christine, 2023. "The link between multiplicative competitive interaction models and compositional data regression with a total," TSE Working Papers 23-1455, Toulouse School of Economics (TSE).
• Josep Lluís Carrion-i-Silvestre & Andreu Sansó, 2023. ""Generalized Extreme Value Approximation to the CUMSUMQ Test for Constant Unconditional Variance in Heavy-Tailed Time Series"," IREA Working Papers 202309, University of Barcelona, Research Institute of Applied Economics, revised Jul 2023.
• Lin William Cong & Guanhao Feng & Jingyu He & Junye Li, 2023. "Sparse Modeling Under Grouped Heterogeneity with an Application to Asset Pricing," NBER Working Papers 31424, National Bureau of Economic Research, Inc.
• Zhaoxing Gao & Ruey S. Tsay, 2023. "Supervised Dynamic PCA: Linear Dynamic Forecasting with Many Predictors," Papers 2307.07689, arXiv.org.
• Xiyue Han & Alexander Schied, 2023. "Estimating the roughness exponent of stochastic volatility from discrete observations of the integrated variance," Papers 2307.02582, arXiv.org, revised Nov 2024.
• Pustejovsky, James E & Chen, Man, 2023. "Equivalences between ad hoc strategies and meta-analytic models for dependent effect sizes," MetaArXiv pw54r, Center for Open Science.
• Davide Brignone & Alessandro Franconi & Marco Mazzali, 2023. "Robust Impulse Responses using External Instruments: the Role of Information," Papers 2307.06145, arXiv.org.