Report NEP-ECM-2024-09-09

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:

• Deb, P.; & Norton, E.C.; & Wooldridge, J.M.; & Zabel, J.E.;, 2024. "A Flexible, Heterogeneous Treatment Effects Difference-in-Differences Estimator for Repeated Cross-Sections," Health, Econometrics and Data Group (HEDG) Working Papers 24/17, HEDG, c/o Department of Economics, University of York.
• Langevin, R.;, 2024. "Consistent Estimation of Finite Mixtures: An Application to Latent Group Panel Structures," Health, Econometrics and Data Group (HEDG) Working Papers 24/16, HEDG, c/o Department of Economics, University of York.
• Jianqing Fan & Weining Wang & Yue Zhao, 2024. "Conditional nonparametric variable screening by neural factor regression," CeMMAP working papers 17/24, Institute for Fiscal Studies.
• Lloyd, Simon & Manuel, Ed, 2024. "Controls, not shocks: estimating dynamic causal effects in macroeconomics," Bank of England working papers 1079, Bank of England.
• Federico A. Bugni & Mengsi Gao & Filip Obradovic & Amilcar Velez, 2024. "On the power properties of inference for parameters with interval identified sets," Papers 2407.20386, arXiv.org, revised Oct 2024.
• Jiafeng Chen, 2024. "Potential weights and implicit causal designs in linear regression," Papers 2407.21119, arXiv.org.
• Shuping Shi & Jun Yu & Chen Zhang, 2024. "On the Spectral Density of Fractional Ornstein-Uhlenbeck Processes," Working Papers 202416, University of Macau, Faculty of Business Administration.
• Ryan Dew & Nicolas Padilla & Anya Shchetkina, 2024. "Your MMM is Broken: Identification of Nonlinear and Time-varying Effects in Marketing Mix Models," Papers 2408.07678, arXiv.org.
• L. Sanna Stephan, 2024. "Semiparametric Estimation of Individual Coefficients in a Dyadic Link Formation Model Lacking Observable Characteristics," Papers 2408.04552, arXiv.org.
• Kim Christensen & Ulrich Hounyo & Zhi Liu, 2024. "A nonparametric test for diurnal variation in spot correlation processes," Papers 2408.02757, arXiv.org.
• Ajay Jasra & Mohamed Maama & Aleksandar Mijatovi'c, 2024. "Modeling of Measurement Error in Financial Returns Data," Papers 2408.07405, arXiv.org.
• Tompsett, D & Vansteelandt, S & Grieve, R & Petersen, I Author Name: Gomes, M, 2024. "Two Stage Least Squares with Time-Varying Instruments: An Application to an Evaluation of Treatment Intensification for Type-2 Diabetes," Health, Econometrics and Data Group (HEDG) Working Papers 24/19, HEDG, c/o Department of Economics, University of York.
• Shuo Feng & Ishani Ganguli & Youjin Lee & John Poe & Andrew Ryan & Alyssa Bilinski, 2024. "Difference-in-Differences for Health Policy and Practice: A Review of Modern Methods," Papers 2408.04617, arXiv.org.
• Abdulnasser Hatemi-J, 2024. "Efficient Asymmetric Causality Tests," Papers 2408.03137, arXiv.org, revised Oct 2024.
• Patrick Kuiper & Ali Hasan & Wenhao Yang & Yuting Ng & Hoda Bidkhori & Jose Blanchet & Vahid Tarokh, 2024. "Distributionally Robust Optimization as a Scalable Framework to Characterize Extreme Value Distributions," Papers 2408.00131, arXiv.org.
• Achintya Gopal, 2024. "NeuralFactors: A Novel Factor Learning Approach to Generative Modeling of Equities," Papers 2408.01499, arXiv.org.
• Eguren-Martin, Fernando & Kösem, Sevim & Maia, Guido & Sokol, Andrej, 2024. "Targeted financial conditions indices and growth-at-risk," Bank of England working papers 1084, Bank of England.
• Matthew Read, 2024. "Sign Restrictions and Supply-demand Decompositions of Inflation," RBA Research Discussion Papers rdp2024-05, Reserve Bank of Australia.
• Ramon de Punder & Timo Dimitriadis & Rutger-Jan Lange, 2024. "Kullback-Leibler-based characterizations of score-driven updates," Papers 2408.02391, arXiv.org, revised Sep 2024.
• Michael B. Gordy & Alexander J. McNeil, 2024. "Spectral backtests unbounded and folded," Finance and Economics Discussion Series 2024-060, Board of Governors of the Federal Reserve System (U.S.).
• Adan L. Martinez Cruz & Yadira Elizabeth Peralta Torres & Valeria Garcia Olivera, 2024. "Using stated preference responses to address endogeneity in the single site travel cost equation," Working Papers DTE 632, CIDE, División de Economía.
• Gregory Yampolsky & Dhruv Desai & Mingshu Li & Stefano Pasquali & Dhagash Mehta, 2024. "Case-based Explainability for Random Forest: Prototypes, Critics, Counter-factuals and Semi-factuals," Papers 2408.06679, arXiv.org.