Report NEP-ECM-2023-09-25

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:

• Anna Mikusheva & Mikkel S{o}lvsten, 2023. "Linear Regression with Weak Exogeneity," Papers 2308.08958, arXiv.org, revised Jan 2024.
• Anna Mikusheva & Liyang Sun, 2023. "Weak Identification with Many Instruments," Papers 2308.09535, arXiv.org, revised Jan 2024.
• Dante Amengual & Xinyue Bei & Enrique Sentana, 2023. "Highly Irregular Serial Correlation Tests," Working Papers wp2023_2302, CEMFI.
• Christis Katsouris, 2023. "High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods," Papers 2308.16192, arXiv.org.
• Shengjie Hong & Yu-Chin Hsu & Yuanyuan Wan, 2023. "Subvector inference for Varying Coefficient Models with Partial Identification," Working Papers tecipa-756, University of Toronto, Department of Economics.
• Soonwoo Kwon, 2023. "Optimal Shrinkage Estimation of Fixed Effects in Linear Panel Data Models," Papers 2308.12485, arXiv.org, revised Oct 2023.
• Junting Duan & Markus Pelger & Ruoxuan Xiong, 2023. "Target PCA: Transfer Learning Large Dimensional Panel Data," Papers 2308.15627, arXiv.org.
• Xiaohong Chen & Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin & Myunghyun Song, 2023. "SGMM: Stochastic Approximation to Generalized Method of Moments," Papers 2308.13564, arXiv.org, revised Oct 2023.
• Goldberg, Lisa R & Kercheval, Alec N, 2023. "James–Stein for the leading eigenvector," Department of Economics, Working Paper Series qt3mm9r9pp, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
• Tyrel Stokes & Ian Shrier & Russell Steele, 2023. "Simulation Experiments as a Causal Problem," Papers 2308.10823, arXiv.org.
• Daniel Buncic & Adrian Pagan & Tim Robinson, 2023. "Recovering Stars in Macroeconomics," CAMA Working Papers 2023-43, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Christis Katsouris, 2023. "Quantile Time Series Regression Models Revisited," Papers 2308.06617, arXiv.org, revised Aug 2023.
• Hansen, Sakina & Loftus, Joshua, 2023. "Model-agnostic auditing: a lost cause?," LSE Research Online Documents on Economics 120114, London School of Economics and Political Science, LSE Library.
• Laura Argys & Thomas Mroz & M. Melinda Pitts, 2023. "Modeling Event Studies with Heterogeneous Treatment Effects," FRB Atlanta Working Paper 2023-11, Federal Reserve Bank of Atlanta.
• Fernando Delbianco & Fernando Tohmé, 2023. "What is a relevant control?: An algorithmic proposal," Working Papers 269, Red Nacional de Investigadores en Economía (RedNIE).
• Otto, Philipp & Sibbertsen, Philipp, 2023. "Spatial autoregressive fractionally integrated moving average model," Hannover Economic Papers (HEP) dp-712, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Victor Aguirregabiria & Alessandro Iaria & Senay Sokullu, 2023. "Identification and Estimation of Demand Models with Endogenous Product Entry and Exit," Working Papers tecipa-755, University of Toronto, Department of Economics.
• Siddhartha Chib & Kenichi Shimizu, 2023. "Scalable Estimation of Multinomial Response Models with Random Consideration Sets," Papers 2308.12470, arXiv.org, revised Aug 2024.
• Goldberg, Lisa R & Papanicolaou, Alex & Shkolnik, Alex, 2022. "The Dispersion Bias," Department of Economics, Working Paper Series qt4kt5g2x3, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
• Kwong Yu Chong, 2023. "Black-Litterman, Bayesian Shrinkage, and Factor Models in Portfolio Selection: You Can Have It All," Papers 2308.09264, arXiv.org, revised Nov 2023.
• Philipp Otto & Osman Dou{g}an & Suleyman Tac{s}p{i}nar & Wolfgang Schmid & Anil K. Bera, 2023. "Spatial and Spatiotemporal Volatility Models: A Review," Papers 2308.13061, arXiv.org.
• Kejin Wu & Sayar Karmakar & Rangan Gupta, 2023. "GARCHX-NoVaS: A Model-free Approach to Incorporate Exogenous Variables," Papers 2308.13346, arXiv.org, revised Sep 2024.
• Gordon Anderson, 2023. "A Coefficient of Variation for Multivariate Ordered Categorical Outcomes," Working Papers tecipa-757, University of Toronto, Department of Economics.
• Abel Brodeur & Scott E. Carrell & David N. Figlio & Lester R. Lusher, 2023. "Unpacking P-Hacking and Publication Bias," NBER Working Papers 31548, National Bureau of Economic Research, Inc.