Report NEP-ECM-2024-11-18

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:

• Zhaonan Qu & Yongchan Kwon, 2024. "Distributionally Robust Instrumental Variables Estimation," Papers 2410.15634, arXiv.org.
• Thomas von Brasch & Arvid Raknerud & Trond C. Vigtel, 2024. "Identifying Demand Elasticity via Heteroscedasticity. A Panel GMM Approach to Estimation and Inference," Discussion Papers 1015, Statistics Norway, Research Department.
• Robert F. Phillips & Benjamin D. Williams, 2024. "A Simple Interactive Fixed Effects Estimator for Short Panels," Papers 2410.12709, arXiv.org.
• Chad Brown, 2024. "Statistical Properties of Deep Neural Networks with Dependent Data," Papers 2410.11113, arXiv.org, revised Nov 2024.
• Ter Steege, Lucas, 2024. "Variational inference for Bayesian panel VAR models," Working Paper Series 2991, European Central Bank.
• Chengwang Liao & Ziwei Mei & Zhentao Shi, 2024. "Nickell Meets Stambaugh: A Tale of Two Biases in Panel Predictive Regressions," Papers 2410.09825, arXiv.org.
• Yannick Hoga, 2024. "Persistence-Robust Break Detection in Predictive Quantile and CoVaR Regressions," Papers 2410.05861, arXiv.org.
• Gawain Heckley & Dennis Petrie, 2024. "Taking an Extra Moment to Consider Treatment Effects on Distributions," Papers 2024-18, Centre for Health Economics, Monash University.
• Kalinke, Florian & Szabo, Zoltan, 2023. "Nyström M-Hilbert-Schmidt independence criterion," LSE Research Online Documents on Economics 118251, London School of Economics and Political Science, LSE Library.
• Qingliang Fan & Ruike Wu & Yanrong Yang, 2024. "Shocks-adaptive Robust Minimum Variance Portfolio for a Large Universe of Assets," Papers 2410.01826, arXiv.org.
• Osman Dou{g}an & Raffaele Mattera & Philipp Otto & Suleyman Tac{s}p{i}nar, 2024. "A Dynamic Spatiotemporal and Network ARCH Model with Common Factors," Papers 2410.16526, arXiv.org.
• Anubha Goel & Puneet Pasricha & Juho Kanniainen, 2024. "Time-Series Foundation Model for Value-at-Risk," Papers 2410.11773, arXiv.org, revised Oct 2024.
• Kirill Ponomarev & Vira Semenova, 2024. "On the Lower Confidence Band for the Optimal Welfare," Papers 2410.07443, arXiv.org, revised Oct 2024.
• Andrew Alden & Carmine Ventre & Blanka Horvath, 2024. "Scalable Signature-Based Distribution Regression via Reference Sets," Papers 2410.09196, arXiv.org.
• Luca Vincenzo Ballestra & Enzo D'Innocenzo & Christian Tezza, 2024. "GARCH option valuation with long-run and short-run volatility components: A novel framework ensuring positive variance," Papers 2410.14513, arXiv.org.
• Robert Fairlie & Daniel Oliver & Glenn Millhauser & Randa Roland & Robert W. Fairlie, 2024. "Estimating Peer Effects among College Students: Evidence from a Field Experiment of One-to-One Pairings in STEM," CESifo Working Paper Series 11404, CESifo.
• Pulikandala Nithish Kumar & Nneka Umeorah & Alex Alochukwu, 2024. "Dynamic graph neural networks for enhanced volatility prediction in financial markets," Papers 2410.16858, arXiv.org.