Report NEP-ECM-2024-02-26

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:

• Yuling Yan & Martin J. Wainwright, 2024. "Entrywise Inference for Missing Panel Data: A Simple and Instance-Optimal Approach," Papers 2401.13665, arXiv.org, revised Jul 2024.
• Sandro Heiniger, 2024. "Data-driven model selection within the matrix completion method for causal panel data models," Papers 2402.01069, arXiv.org.
• Felix Chan & Laszlo Matyas, 2024. "Estimation with Pairwise Observations," Papers 2401.11229, arXiv.org, revised Feb 2024.
• Nora Bearth & Michael Lechner, 2024. "Causal Machine Learning for Moderation Effects," Papers 2401.08290, arXiv.org, revised Jan 2025.
• Jochmans, Koen, 2024. "Modified-likelihood estimation of fixed-effect models for dyadic data," TSE Working Papers 24-1502, Toulouse School of Economics (TSE).
• Chudamani Poudyal, 2024. "Robust Estimation of the Tail Index of a Single Parameter Pareto Distribution from Grouped Data," Papers 2401.14593, arXiv.org, revised Feb 2024.
• Isaac Loh, 2024. "Inference under partial identification with minimax test statistics," Papers 2401.13057, arXiv.org, revised Apr 2024.
• Kaicheng Chen & Kyoo il Kim, 2024. "Identification of Nonseparable Models with Endogenous Control Variables," Papers 2401.14395, arXiv.org.
• Zachary Porreca, 2024. "A Note on Uncertainty Quantification for Maximum Likelihood Parameters Estimated with Heuristic Based Optimization Algorithms," Papers 2401.07176, arXiv.org.
• Haruki Kono, 2024. "Local Identification in Instrumental Variable Multivariate Quantile Regression Models," Papers 2401.11422, arXiv.org, revised Jun 2024.
• Zhenhao Gong & Min Seong Kim, 2024. "Policy Analysis Using Multilevel Regression Models with Group Interactive Fixed Effects," Working papers 2024-01, University of Connecticut, Department of Economics.
• Coady Wing & Seth M. Freedman & Alex Hollingsworth, 2024. "Stacked Difference-in-Differences," NBER Working Papers 32054, National Bureau of Economic Research, Inc.
• Sylvia Kaufmann & Markus Pape, 2023. "Bayesian (non-)unique sparse factor modelling," Working Papers 23.04, Swiss National Bank, Study Center Gerzensee.
• Jonathan Roth, 2024. "Interpreting Event-Studies from Recent Difference-in-Differences Methods," Papers 2401.12309, arXiv.org.
• Rubin, Mark, 2024. "Redundant multiple testing corrections: The fallacy of using family-based error rates to make inferences about individual hypotheses," MetaArXiv d6a8s, Center for Open Science.
• Lars Ericson & Xuejun Zhu & Xusi Han & Rao Fu & Shuang Li & Steve Guo & Ping Hu, 2024. "Deep Generative Modeling for Financial Time Series with Application in VaR: A Comparative Review," Papers 2401.10370, arXiv.org.
• Jozef Barunik & Lukas Vacha, 2024. "Predicting the volatility of major energy commodity prices: the dynamic persistence model," Papers 2402.01354, arXiv.org, revised Jul 2024.
• Stephen P. Holland & Erin T. Mansur & Valentin Verdier & Andrew J. Yates, 2024. "Regularization from Economic Constraints: A New Estimator for Marginal Emissions," NBER Working Papers 32065, National Bureau of Economic Research, Inc.
• Kjell G. Nyborg & Jiri Woschitz, 2024. "Robust difference-in-differences analysis when there is a term structure," Swiss Finance Institute Research Paper Series 24-03, Swiss Finance Institute.
• Santavirta, Torsten & Stuhler, Jan, 2024. "Name-Based Estimators of Intergenerational Mobility," IZA Discussion Papers 16725, Institute of Labor Economics (IZA).
• Matteo Iacopini & Aubrey Poon & Luca Rossini & Dan Zhu, 2024. "A Quantile Nelson-Siegel model," Papers 2401.09874, arXiv.org.
• M. Hashem Pesaran & Ron P. Smith, 2024. "High-dimensional forecasting with known knowns and known unknowns," Papers 2401.14582, arXiv.org, revised Apr 2024.
• Yechan Park & Yuya Sasaki, 2024. "A Bracketing Relationship for Long-Term Policy Evaluation with Combined Experimental and Observational Data," Papers 2401.12050, arXiv.org.
• Bryan T. Kelly & Boris Kuznetsov & Semyon Malamud & Teng Andrea Xu, 2023. "Large (and Deep) Factor Models," Swiss Finance Institute Research Paper Series 23-121, Swiss Finance Institute.
• Luca Barbaglia & Lorenzo Frattarolo & Niko Hauzenberger & Dominik Hirschbuehl & Florian Huber & Luca Onorante & Michael Pfarrhofer & Luca Tiozzo Pezzoli, 2024. "Nowcasting economic activity in European regions using a mixed-frequency dynamic factor model," Papers 2401.10054, arXiv.org.