Report NEP-ECM-2025-01-13

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:

• Linton, O. B. & Rücker, M. & Vogt, M. & Walsh, C., 2024. "Estimation and Inference in High-Dimensional Panel Data Models with Interactive Fixed Effects," Cambridge Working Papers in Economics 2467, Faculty of Economics, University of Cambridge.
• Aßmann, Christian & Boysen-Hogrefe, Jens & Pape, Markus, 2024. "Post-processing for Bayesian analysis of reduced rank regression models with orthonormality restrictions," Open Access Publications from Kiel Institute for the World Economy 306605, Kiel Institute for the World Economy (IfW Kiel).
• Silvia Goncalves & Ana María Herrera & Lutz Kilian & Elena Pesavento, 2024. "Nonparametric Local Projections," Working Papers 2414, Federal Reserve Bank of Dallas.
• D'Haultfoeuille, Xavier & Gaillac, Christophe & Maurel, Arnaud, 2024. "Linear Regressions with Combined Data," TSE Working Papers 24-1602, Toulouse School of Economics (TSE).
• Jad Beyhum & Martin Mugnier, 2024. "Inference after discretizing unobserved heterogeneity," CeMMAP working papers 29/24, Institute for Fiscal Studies.
• Masahiro Kato, 2024. "Debiased Nonparametric Regression for Statistical Inference and Distributionally Robustness," Papers 2412.20173, arXiv.org, revised Dec 2024.
• Guastadisegni, Lucia & Cagnone, Silvia & Moustaki, Irini & Vasdekis, Vassilis, 2024. "The generalized Hausman test for detecting non-normality in the latent variable distribution of the two-parameter IRT model," LSE Research Online Documents on Economics 126270, London School of Economics and Political Science, LSE Library.
• Mugnier, Martin & Wang, Ao, 2024. "Fixed Effects Nonlinear Panel Models with Heterogeneous Slopes : Identification and Consistency," The Warwick Economics Research Paper Series (TWERPS) 1531, University of Warwick, Department of Economics.
• Frederik Krabbe, 2024. "Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models," Papers 2412.19555, arXiv.org.
• Mohammad R. Jahan-Parvar & Charles Knipp & Pawel J. Szerszen, 2024. "Trend-Cycle Decomposition and Forecasting Using Bayesian Multivariate Unobserved Components," Finance and Economics Discussion Series 2024-100, Board of Governors of the Federal Reserve System (U.S.).
• Jean-Jacques Forneron & Zhongjun Qu, 2024. "Fitting Dynamically Misspecified Models: An Optimal Transportation Approach," Papers 2412.20204, arXiv.org.
• António Rua & Junho Lee & Miguel de Carvalho & Julio Avila, 2024. "Bayesian smoothing for time-varying extremal dependence," Working Papers w202406, Banco de Portugal, Economics and Research Department.
• Xu, Yongdeng, 2024. "Extended multivariate EGARCH model: A model for zero†return and negative spillovers," Cardiff Economics Working Papers E2024/24, Cardiff University, Cardiff Business School, Economics Section.
• Paul, Joseph R. & Schaffer, Mark E., 2024. "An introduction to conformal inference for economists," Accountancy, Economics, and Finance Working Papers 2024-13, Heriot-Watt University, Department of Accountancy, Economics, and Finance.
• Raffaella Giacomini & Jason Lu & Katja Smetanina, 2024. "Perceived shocks and impulse responses," CeMMAP working papers 21/24, Institute for Fiscal Studies.
• Soren Blomquist & Anil Kumar & Whitney K. Newey, 2024. "Panel Estimation of Taxable Income Elasticities with Heterogeneity and Endogenous Budget Sets," Papers 2501.00633, arXiv.org.
• Lorenzo Frattarolo, 2024. "Copula Central Asymmetry of Equity Portfolios," Papers 2501.00634, arXiv.org, revised Jan 2025.
• Matias Quiroz & Laleh Tafakori & Hans Manner, 2024. "Forecasting Realized Covariances Using HAR-Type Models," Graz Economics Papers 2024-20, University of Graz, Department of Economics.
• Kirill Borusyak & Peter Hull & Xavier Jaravel, 2024. "A practical guide to shift-share instruments," CeMMAP working papers 22/24, Institute for Fiscal Studies.
• Kirill Borusyak & Matan Kolerman-Shemer, 2024. "Regression discontinuity aggregation, with an application to the union effects on inequality," Papers 2501.00428, arXiv.org.
• Leo Krippner, 2024. "Applications of Vector Autoregressions in Their Scalar Autoregressive Component Form," CAMA Working Papers 2024-71, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Hollenbach, Johannes & Schmitz, Hendrik & Westphal, Matthias, 2024. "Gene-environment interactions with essential heterogeneity," Ruhr Economic Papers 1105, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
• Andrade, Philippe & Ferroni, Filippo & Melosi, Leonardo, 2025. "Higher-Order Moment Inequality Restrictions for SVARs," The Warwick Economics Research Paper Series (TWERPS) 1537, University of Warwick, Department of Economics.