Report NEP-ECM-2024-02-12

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:

• Jad Beyhum, 2024. "Counterfactuals in factor models," Papers 2401.03293, arXiv.org.
• Chenlei Leng & Degui Li & Hanlin Shang & Yingcun Xia, 2024. "Covariance Function Estimation for High-Dimensional Functional Time Series with Dual Factor Structures," Papers 2401.05784, arXiv.org, revised Jan 2024.
• Katerina Petrova, 2024. "On the Validity of Classical and Bayesian DSGE-Based Inference," Staff Reports 1084, Federal Reserve Bank of New York.
• Christophe Bruneel-Zupanc & Jad Beyhum, 2024. "Identification with possibly invalid IVs," Papers 2401.03990, arXiv.org, revised Oct 2024.
• Wayne Yuan Gao & Rui Wang, 2023. "Identification of Nonlinear Dynamic Panels under Partial Stationarity," Papers 2401.00264, arXiv.org, revised May 2024.
• Isaiah Andrews & Jesse M. Shapiro, 2024. "Bootstrap Diagnostics for Irregular Estimators," NBER Working Papers 32038, National Bureau of Economic Research, Inc.
• Hiroaki Kaido & Francesca Molinari, 2024. "Information based inference in models with set-valued predictions and misspecification," CeMMAP working papers 02/24, Institute for Fiscal Studies.
• Da Huo, Da, 2024. "Efficient Estimation of Stochastic Parameters: A GLS Approach," MPRA Paper 119731, University Library of Munich, Germany.
• Moyu Liao, 2024. "Robust Bayesian Method for Refutable Models," Papers 2401.04512, arXiv.org, revised Sep 2024.
• Achim Ahrens & Christian B. Hansen & Mark E. Schaffer & Thomas Wiemann, 2024. "Model Averaging and Double Machine Learning," Papers 2401.01645, arXiv.org, revised Sep 2024.
• Faugeras, Olivier, 2024. "The Stick-Breaking and Ordering Representation of Compositional Data: Copulas and Regression models," TSE Working Papers 24-1500, Toulouse School of Economics (TSE), revised Oct 2024.
• Lujie Zhou, 2024. "Efficient Computation of Confidence Sets Using Classification on Equidistributed Grids," Papers 2401.01804, arXiv.org, revised Nov 2024.
• Alessio Brini & Giacomo Toscano, 2024. "SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks," Papers 2401.06249, arXiv.org, revised Jan 2025.
• Fruet Dias, Gustavo & Papailias, Fotis & Scherrer, Cristina, 2023. "An econometric analysis of volatility discovery," LSE Research Online Documents on Economics 121363, London School of Economics and Political Science, LSE Library.
• Xie, Zilong & Chen, Yunxiao & von Davier, Matthias & Weng, Haolei, 2023. "Variable selection in latent variable models via knockoffs: an application to international large-scale assessment in education," LSE Research Online Documents on Economics 120812, London School of Economics and Political Science, LSE Library.