Report NEP-ECM-2024-04-08

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.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-ECM

The following items were announced in this report:

• Simar, Léopold & Zelenyuk, Valentin & Zhao, Shirong, 2024. "Central Limit Theorems for Directional Distance Functions with and without Undesirable Outputs," LIDAM Discussion Papers ISBA 2024010, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Zihao Li & Hui Lan & Vasilis Syrgkanis & Mengdi Wang & Masatoshi Uehara, 2024. "Regularized DeepIV with Model Selection," Papers 2403.04236, arXiv.org.
• Chad Hazlett & Tanvi Shinkre, 2024. "Demystifying and avoiding the OLS "weighting problem": Unmodeled heterogeneity and straightforward solutions," Papers 2403.03299, arXiv.org, revised Nov 2024.
• Jacquemain, Alexandre & Heuchenne, Cédric & Pircalabelu, Eugen, 2024. "A penalised bootstrap estimation procedure for the explained Gini coefficient," LIDAM Discussion Papers ISBA 2024005, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Romain Aumond & Julien Royer, 2024. "Improving the robustness of Markov-switching dynamic factor models with time-varying volatility," Working Papers 2024-04, Center for Research in Economics and Statistics.
• Markus Bibinger & Nikolaus Hautsch & Alexander Ristig, 2024. "Jump detection in high-frequency order prices," Papers 2403.00819, arXiv.org.
• Thilo Reinschlussel & Martin C. Arnold, 2024. "Information-Enriched Selection of Stationary and Non-Stationary Autoregressions using the Adaptive Lasso," Papers 2402.16580, arXiv.org, revised Jul 2024.
• Masahiro Kato & Akihiro Oga & Wataru Komatsubara & Ryo Inokuchi, 2024. "Active Adaptive Experimental Design for Treatment Effect Estimation with Covariate Choices," Papers 2403.03589, arXiv.org, revised Jun 2024.
• Laura Battaglia & Timothy Christensen & Stephen Hansen & Szymon Sacher, 2024. "Inference for Regression with Variables Generated by AI or Machine Learning," Papers 2402.15585, arXiv.org, revised Dec 2024.
• Luis Antonio Fantozzi Alvarez & Rodrigo Toneto, 2024. "The interpretation of 2SLS with a continuous instrument: a weighted LATE representation," Working Papers, Department of Economics 2024_11, University of São Paulo (FEA-USP).
• Benjamin Wee, 2024. "Comparing MCMC algorithms in Stochastic Volatility Models using Simulation Based Calibration," Papers 2402.12384, arXiv.org.
• Dalderop, J. & Linton, O. B., 2024. "Estimating a Density Ratio Model for Stock Market Risk and Option Demand," Cambridge Working Papers in Economics 2411, Faculty of Economics, University of Cambridge.
• Robin M. Cross & Steven T. Buccola, 2024. "Treatment effects without multicollinearity? Temporal order and the Gram-Schmidt process in causal inference," Papers 2402.17103, arXiv.org, revised Jan 2025.
• Yuichi Kitamura & Louise Laage, 2024. "Estimating Stochastic Block Models in the Presence of Covariates," Papers 2402.16322, arXiv.org.
• Thanasis Stengos & Stelios Arvanitis & Mehmet Pinar & Nikolas Topaloglou, 2024. "Multi-Objective Frequentistic Model Averaging with an Application to Economic Growth," Working Papers 2401, University of Guelph, Department of Economics and Finance.
• Andrew Ellis & Ran Spiegler, 2024. "Identifying Assumptions and Research Dynamics," Papers 2402.18713, arXiv.org, revised Jan 2025.
• Sukjin Han & Hiroaki Kaido & Lorenzo Magnolfi, 2024. "Testing Information Ordering for Strategic Agents," Papers 2402.19425, arXiv.org.
• Hafner, Christian & Linton, Oliver & Wang, Linqi, 2024. "The effect of stock splits on liquidity in a dynamic model," LIDAM Discussion Papers ISBA 2024007, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).