Report NEP-ECM-2024-12-09

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.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-ECM

The following items were announced in this report:

• Ming Li & Zhentao Shi & Yapeng Zheng, 2024. "Estimation and Inference in Dyadic Network Formation Models with Nontransferable Utilities," Papers 2410.23852, arXiv.org.
• Damir Filipovic & Paul Schneider, 2024. "Joint Estimation of Conditional Mean and Covariance for Unbalanced Panels," Papers 2410.21858, arXiv.org, revised Dec 2024.
• Chad Brown, 2024. "Inference in Partially Linear Models under Dependent Data with Deep Neural Networks," Papers 2410.22574, arXiv.org.
• Yuehao Bai & Shunzhuang Huang & Sarah Moon & Andres Santos & Azeem M. Shaikh & Edward J. Vytlacil, 2024. "Inference for Treatment Effects Conditional on Generalized Principal Strata using Instrumental Variables," Papers 2411.05220, arXiv.org.
• Mohsen Bayati & Yuwei Luo & William Overman & Sadegh Shirani & Ruoxuan Xiong, 2024. "Higher-Order Causal Message Passing for Experimentation with Complex Interference," Papers 2411.00945, arXiv.org.
• Alain Hecq & Ivan Ricardo & Ines Wilms, 2024. "Detecting Cointegrating Relations in Non-stationary Matrix-Valued Time Series," Papers 2411.05601, arXiv.org.
• FAN, Yizhou & Nakao, Ran & HAYASHIKAWA, Yuki, 2024. "Addressing Design Bias Due to Instrumental Variables in Survey Experiments: Considering Violations of the Exclusion Restriction," SocArXiv yecm2, Center for Open Science.
• Jamie L. Cross & Aubrey Poon & Wenying Yao & Dan Zhu, 2024. "A Constrained Dynamic Nelson-Siegel Model for Monetary Policy Analysis," Working Papers No 06/2024, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
• Krishnamurthy, Sanath Kumar & Athey, Susan & Brunskill, Emma, 2024. "Data-Driven Error Estimation: Upper Bounding Multiple Errors with No Technical Debt," Research Papers 4208, Stanford University, Graduate School of Business.
• Christopher D. Walker, 2024. "A Bayesian Perspective on the Maximum Score Problem," Papers 2410.17153, arXiv.org.
• Cl'ement de Chaisemartin, 2024. "Randomly Assigned First Differences?," Papers 2411.03208, arXiv.org, revised Dec 2024.
• Nifei Lin & Yingda Song & L. Jeff Hong, 2024. "Efficient Nested Estimation of CoVaR: A Decoupled Approach," Papers 2411.01319, arXiv.org.
• Takeshi Fukasawa, 2024. "Jacobian-free Efficient Pseudo-Likelihood (EPL) Algorithm," Papers 2410.20029, arXiv.org.
• Lenartowicz, Paweł, 2024. "Likelihood Ratio Test for Publication Bias – a Proof of Concept," MetaArXiv jt5zf, Center for Open Science.
• Yuri Matsumura & Suguru Otani, 2024. "Identifying Conduct Parameters with Separable Demand: A Counterexample to Lau (1982)," Papers 2410.16998, arXiv.org.
• Hardik Routray & Bernhard Hientzsch, 2024. "Enforcing asymptotic behavior with DNNs for approximation and regression in finance," Papers 2411.05257, arXiv.org.
• Nicola F. Zaugg & Leonardo Perotti & Lech A. Grzelak, 2024. "Volatility Parametrizations with Random Coefficients: Analytic Flexibility for Implied Volatility Surfaces," Papers 2411.04041, arXiv.org, revised Nov 2024.
• Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos, 2024. "Volatility models versus intensity models: analogy and differences," MPRA Paper 122528, University Library of Munich, Germany.
• Massimiliano Marcellino & Andrea Renzetti & Tommaso Tornese, 2024. "Nowcasting distributions: a functional MIDAS model," Papers 2411.05629, arXiv.org.
• Ayush Jha & Abootaleb Shirvani & Svetlozar T. Rachev & Frank J. Fabozzi, 2024. "Beyond the Traditional VIX: A Novel Approach to Identifying Uncertainty Shocks in Financial Markets," Papers 2411.02804, arXiv.org.
• Andr'as Telcs & Marcell T. Kurbucz & Antal Jakov'ac, 2024. "Unified Causality Analysis Based on the Degrees of Freedom," Papers 2410.19469, arXiv.org.
• Songliang Chen & Fang Han, 2024. "On the limiting variance of matching estimators," Papers 2411.05758, arXiv.org.
• HARA, Naoko & YAMAMOTO, Yohei, 2024. "Testing and Quantifying Economic Resilience," Discussion paper series HIAS-E-142, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
• Gabriel Nova & Sander van Cranenburgh & Stephane Hess, 2024. "Understanding the decision-making process of choice modellers," Papers 2411.01704, arXiv.org.
• Massimiliano Marcellino & Andrea Renzetti & Tommaso Tornese, 2024. "Firm Heterogeneity and Macroeconomic Fluctuations: a Functional VAR model," Papers 2411.05695, arXiv.org.