Report NEP-ECM-2024-09-30

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:

• Luther Yap, 2024. "Inference with Many Weak Instruments and Heterogeneity," Papers 2408.11193, arXiv.org, revised Sep 2024.
• Alyssa Carlson & Anastasia Semykina, 2024. "Addressing Attrition in Nonlinear Dynamic Panel Data Models with an Application to Health," Working Papers 2408, Department of Economics, University of Missouri.
• Geonwoo Kim & Suyong Song, 2024. "Double/Debiased CoCoLASSO of Treatment Effects with Mismeasured High-Dimensional Control Variables," Papers 2408.14671, arXiv.org.
• Weiss, Amanda, 2024. "How Much Should We Trust Modern Difference-in-Differences Estimates?," OSF Preprints bqmws, Center for Open Science.
• Carol Liu, 2024. "SPORTSCausal: Spill-Over Time Series Causal Inference," Papers 2408.11951, arXiv.org.
• Jonathan Fuhr & Dominik Papies, 2024. "Double Machine Learning meets Panel Data -- Promises, Pitfalls, and Potential Solutions," Papers 2409.01266, arXiv.org.
• Federico Bugni & Jackson Bunting & Muyang Ren, 2024. "Marginal homogeneity tests with panel data," Papers 2408.15862, arXiv.org.
• Anne Opschoor & Dewi Peerlings & Luca Rossini & Andre Lucas, 2024. "Density Forecasting for Electricity Prices under Tail Heterogeneity with the t-Riesz Distribution," Tinbergen Institute Discussion Papers 24-049/III, Tinbergen Institute.
• Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2024. "A unified theory of extreme Expected Shortfall inference," TSE Working Papers 24-1565, Toulouse School of Economics (TSE).
• Yan-Feng Wu & Xiangyu Yang & Jian-Qiang Hu, 2024. "Method of Moments Estimation for Affine Stochastic Volatility Models," Papers 2408.09185, arXiv.org.
• Igor Custodio João, 2024. "Testing for Clustering Under Switching," Tinbergen Institute Discussion Papers 24-052/III, Tinbergen Institute.
• Yuya Sasaki & Yulong Wang, 2024. "Extreme Quantile Treatment Effects under Endogeneity: Evaluating Policy Effects for the Most Vulnerable Individuals," Papers 2409.03979, arXiv.org.
• Damir Filipović & Paul Schneider, 2024. "Fundamental properties of linear factor models," Swiss Finance Institute Research Paper Series 24-42, Swiss Finance Institute.
• Harvey, David I & Leybourne, Stephen J & Taylor, AM Robert & Zu, Yang, 2024. "A New Heteroskedasticity-Robust Test for Explosive Bubbles," Essex Finance Centre Working Papers 39178, University of Essex, Essex Business School.
• Shinji Koiso & Suguru Otani, 2024. "An MPEC Estimator for the Sequential Search Model," Papers 2409.04378, arXiv.org.
• Toru Yano, 2024. "State Space Model of Realized Volatility under the Existence of Dependent Market Microstructure Noise," Papers 2408.17187, arXiv.org.
• Masselus, Lise & Petrik, Christina & Ankel-Peters, Jörg, 2024. "Lost in the design space? Construct validity in the microfinance literature," Ruhr Economic Papers 1097, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.