Report NEP-ECM-2024-10-28

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:

• Jo~ao Nicolau & Paulo M. M. Rodrigues, 2024. "A simple but powerful tail index regression," Papers 2409.13531, arXiv.org.
• Julius Owusu, 2024. "A Nonparametric Test of Heterogeneous Treatment Effects under Interference," Papers 2410.00733, arXiv.org.
• Eugene Dettaa & Endong Wang, 2024. "Inference in High-Dimensional Linear Projections: Multi-Horizon Granger Causality and Network Connectedness," Papers 2410.04330, arXiv.org.
• Zhe Sun & Yundong Tu, 2024. "Factors in Fashion: Factor Analysis towards the Mode," Papers 2409.19287, arXiv.org.
• Castiel Chen Zhuang, 2024. "A Way to Synthetic Triple Difference," Papers 2409.12353, arXiv.org, revised Sep 2024.
• Francesco Fusari & Joe Marlow & Alessio Volpicella, 2024. "Estimation and Inference of the Forecast Error Variance Decomposition for Set-Identified SVARs," School of Economics Discussion Papers 0424, School of Economics, University of Surrey.
• Niklas Ahlgren & Alexander Back & Timo Terasvirta, 2024. "A new GARCH model with a deterministic time-varying intercept," Papers 2410.03239, arXiv.org, revised Oct 2024.
• Leona Han Chen & Yijie Fei & Jun Yu, 2024. "Multivariate Stochastic Volatility Models based on Generalized Fisher Transformation," Working Papers 202419, University of Macau, Faculty of Business Administration.
• Jin Seo Cho & Peter C.B. Phillips, 2024. "GMM Estimation with Brownian Kernels Applied to Income Inequality Measurement," Working papers 2024rwp-232, Yonsei University, Yonsei Economics Research Institute.
• Yoann Morin, 2024. "Synthetic Difference in Differences for Repeated Cross-Sectional Data," Papers 2409.20199, arXiv.org.
• Roberto Fuentes M. & Irene Crimaldi & Armando Rungi, 2024. "Non-linear dependence and Granger causality: A vine copula approach," Papers 2409.15070, arXiv.org.
• Mathur, Maya B & Shpitser, Ilya & VanderWeele, Tyler J., 2024. "Resurrecting complete-case analysis: A defense," OSF Preprints f9jvz, Center for Open Science.
• Yinhao Wu & Ping He, 2024. "The continuous-time limit of quasi score-driven volatility models," Papers 2409.14734, arXiv.org.
• Lin-Tung Tsai, 2024. "Difference-in-Differences with Multiple Events," Papers 2409.05184, arXiv.org.
• Vedant Vohra, 2024. "Valid Inference on Functions of Causal Effects in the Absence of Microdata," Papers 2410.00217, arXiv.org.
• Sukjin Han, 2024. "Mining Causality: AI-Assisted Search for Instrumental Variables," Papers 2409.14202, arXiv.org.
• Ren, Chunhui & Allison, Paul, 2024. "Time-Invariant Variables’ Time-Varying Effects: Misinterpretations of the Fixed-Effects Model in Sociological Research," OSF Preprints t6ndu, Center for Open Science.
• Joshua C. C. Chan & Yaling Qi, 2024. "Large Bayesian Tensor VARs with Stochastic Volatility," Papers 2409.16132, arXiv.org.
• Xiaosai Liao & Xinjue Li & Qingliang Fan, 2024. "Robust Bond Risk Premia Predictability Test in the Quantiles," Papers 2410.03557, arXiv.org.
• Niccolo Lomys & Lorenzo Magnolfi, 2024. "Estimation of Games under No Regret: Structural Econometrics for AI," Working Papers 24-05, NET Institute.
• Tobias Fissler & Yannick Hoga, 2024. "How to Compare Copula Forecasts?," Papers 2410.04165, arXiv.org.
• Luca Margaritella & Ovidijus Stauskas, 2024. "New Tests of Equal Forecast Accuracy for Factor-Augmented Regressions with Weaker Loadings," Papers 2409.20415, arXiv.org, revised Oct 2024.
• Buczak, Philip, 2024. "Mixed-Effects Frequency-Adjusted Borders Ordinal Forest: A Tree Ensemble Method for Ordinal Prediction with Hierarchical Data," OSF Preprints ny6we, Center for Open Science.
• Zeda Xu & John Liechty & Sebastian Benthall & Nicholas Skar-Gislinge & Christopher McComb, 2024. "GARCH-Informed Neural Networks for Volatility Prediction in Financial Markets," Papers 2410.00288, arXiv.org.