Report NEP-ECM-2024-04-15

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:

• Irmer, Julien Patrick & Klein, Andreas & Schermelleh-Engel, Karin, 2024. "A General Model-Implied Simulation-Based Power Estimation Method for Correctly and Misspecfied Models: Applications to Nonlinear and Linear Structural Equation Models," OSF Preprints pe5bj, Center for Open Science.
• Victor Chernozhukov & Iv'an Fern'andez-Val & Sukjin Han & Kaspar Wuthrich, 2024. "Estimating Causal Effects of Discrete and Continuous Treatments with Binary Instruments," Papers 2403.05850, arXiv.org, revised Dec 2024.
• Anders Bredahl Kock & Rasmus S{o}ndergaard Pedersen & Jesper Riis-Vestergaard S{o}rensen, 2024. "Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions," Papers 2403.06657, arXiv.org, revised Dec 2024.
• Emanuele Bacchiocchi & Andrea Bastianin & Toru Kitagawa & Elisabetta Mirto, 2024. "Partially identified heteroskedastic SVARs," Papers 2403.06879, arXiv.org, revised Mar 2024.
• Masahiro Kato, 2024. "Triple/Debiased Lasso for Statistical Inference of Conditional Average Treatment Effects," Papers 2403.03240, arXiv.org.
• Degui Li & Oliver Linton & Haoxuan Zhang, 2024. "Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data," Papers 2403.06246, arXiv.org.
• Wanbo Lu & Guanglin Huang & Kris Boudt, 2024. "Estimation of Non-Gaussian Factors Using Higher-order Multi-cumulants in Weak Factor Models," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 24/1085, Ghent University, Faculty of Economics and Business Administration.
• Sarah Moon, 2024. "Partial Identification of Individual-Level Parameters Using Aggregate Data in a Nonparametric Model," Papers 2403.07236, arXiv.org, revised Feb 2025.
• Jiawei Fu, 2024. "Extracting Mechanisms from Heterogeneous Effects: An Identification Strategy for Mediation Analysis," Papers 2403.04131, arXiv.org, revised Oct 2024.
• Yi Qian & Anthony Koschmann & Hui Xie, 2024. "A Practical Guide to Endogeneity Correction Using Copulas," NBER Working Papers 32231, National Bureau of Economic Research, Inc.
• Mathur, Maya B, 2024. "Meta-analysis with Jeffreys priors: Empirical frequentist properties," OSF Preprints 7jvrw, Center for Open Science.
• Bailly, Gabriel & von Sachs, Rainer, 2024. "Time-Varying Covariance Matrices Estimation by Nonlinear Wavelet Thresholding in a Log-Euclidean Riemannian Manifold," LIDAM Discussion Papers ISBA 2024004, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Kiriliouk, Anna & Lee, Jeongjin & Segers, Johan, 2023. "X-Vine Models for Multivariate Extremes," LIDAM Discussion Papers ISBA 2023038, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Michail Tsagris, 2024. "Constrained Least Squares Simplicial-Simplicial Regression," Working Papers 2402, University of Crete, Department of Economics.
• Antoine Poulin-Moore & Kerem Tuzcuoglu, 2024. "Forecasting Recessions in Canada: An Autoregressive Probit Model Approach," Staff Working Papers 24-10, Bank of Canada.
• Serrano-Serrat, Josep, 2024. "Non-Linear Treatment Effects, Distributions and Interactions," SocArXiv 4e8h2, Center for Open Science.
• Isaac M. Opper & Umut Özek, 2024. "A Global Regression Discontinuity Design: Theory and Application to Grade Retention Policies," CESifo Working Paper Series 10972, CESifo.
• Daraio, Cinzia & Di Leo, Simone & Simar, Léopold, 2024. "Conical FDH Estimators of Directional Distances and Luenberger Productivity Indices for General Technologies," LIDAM Discussion Papers ISBA 2024009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Buczak, Philip & Horn, Daniel & Pauly, Markus, 2024. "Old but Gold or New and Shiny? Comparing Tree Ensembles for Ordinal Prediction with a Classic Parametric Approach," OSF Preprints v7bcf, Center for Open Science.