Report NEP-ECM-2024-10-07

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:

• Francisco Blasques & Noah Stegehuis, 2024. "A Score-Driven Filter for Causal Regression Models with Time- Varying Parameters and Endogenous Regressors," Tinbergen Institute Discussion Papers 24-016/III, Tinbergen Institute.
• Zhiqiang Liao, 2024. "Variable selection in convex nonparametric least squares via structured Lasso: An application to the Swedish electricity market," Papers 2409.01911, arXiv.org.
• Guanghui Pan, 2024. "Estimating Heterogenous Treatment Effects for Survival Data with Doubly Doubly Robust Estimator," Papers 2409.01412, arXiv.org.
• Nan Liu & Yanbo Liu & Yuya Sasaki, 2024. "Estimation and Inference for Causal Functions with Multiway Clustered Data," Papers 2409.06654, arXiv.org.
• Chun Pong Lau, 2024. "Sensitivity Analysis for Dynamic Discrete Choice Models," Papers 2408.16330, arXiv.org.
• Eric Beutner & Julia Schaumburg & Barend Spanjers, 2024. "Bootstrapping GARCH Models Under Dependent Innovations," Tinbergen Institute Discussion Papers 24-008/III, Tinbergen Institute.
• Matias D. Cattaneo & Yingjie Feng & Boris Shigida, 2024. "Uniform Estimation and Inference for Nonparametric Partitioning-Based M-Estimators," Papers 2409.05715, arXiv.org.
• Anton Skrobotov, 2024. "Panel Data Unit Root testing: Overview," Papers 2408.08908, arXiv.org.
• Lenin Arango-Castillo & Francisco J. Martínez-Ramírez & María José Orraca, 2024. "Univariate Measures of Persistence: A Comparative Analysis," Working Papers 2024-11, Banco de México.
• Zhongjian Lin & Francis Vella, 2024. "Endogenous Treatment Models with Social Interactions: An Application to the Impact of Exercise on Self-Esteem," Papers 2408.13971, arXiv.org.
• Philipp Gersing, 2024. "Actually, There is No Rotational Indeterminacy in the Approximate Factor Model," Papers 2408.11676, arXiv.org, revised Oct 2024.
• Rangika Peiris & Minh-Ngoc Tran & Chao Wang & Richard Gerlach, 2024. "Loss-based Bayesian Sequential Prediction of Value at Risk with a Long-Memory and Non-linear Realized Volatility Model," Papers 2408.13588, arXiv.org.
• Kory Kroft & Ismael Mourifié & Atom Vayalinkal, 2024. "Lee Bounds With Multilayered Sample Selection," NBER Working Papers 32952, National Bureau of Economic Research, Inc.
• Henk Keffert & Nikolaus Schweizer, 2024. "Stochastic Monotonicity and Random Utility Models: The Good and The Ugly," Papers 2409.00704, arXiv.org.
• Jamie L. Cross & Lennart Hoogerheide & Paul Labonne & Herman K. van Dijk, 2024. "Flexible Negative Binomial Mixtures for Credible Mode Inference in Heterogeneous Count Data from Finance, Economics and Bioinformatics," Tinbergen Institute Discussion Papers 24-056/III, Tinbergen Institute.
• Yaojun Zhang & Lanpeng Ji & Georgios Aivaliotis & Charles C. Taylor, 2024. "Bayesian CART models for aggregate claim modeling," Papers 2409.01908, arXiv.org.
• Mitrodima, Gelly & Oberoi, Jaideep, 2024. "CAViaR models for Value-at-Risk and Expected Shortfall with long range dependency features," LSE Research Online Documents on Economics 120880, London School of Economics and Political Science, LSE Library.
• Zhao, X. & Hong, S. Y. & Linton, O. B., 2024. "Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach," Cambridge Working Papers in Economics 2449, Faculty of Economics, University of Cambridge.