Report NEP-ECM-2025-01-20

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:

• Victor Chernozhukov & Ben Deaner & Ying Gao & Jerry A. Hausman & Whitney Newey, 2025. "Fisher-Schultz Lecture: Linear Estimation of Structural and Causal Effects for Nonseparable Panel Data," NBER Working Papers 33325, National Bureau of Economic Research, Inc.
• Liying Yang & Yi Qian & Hui Xie, 2024. "Handling Endogenous Marketing Mix Regressors in Correlated Heterogeneous Panels with Copula Augmented Mean Group Estimation," NBER Working Papers 33265, National Bureau of Economic Research, Inc.
• Chunrong Ai & Jiawei Shan, 2025. "Efficient estimation of average treatment effects with unmeasured confounding and proxies," Papers 2501.02214, arXiv.org.
• Jungbin Hwang & Yixiao Sun, 2025. "Asymptotic F and t Tests in Cointegrating Regressions with Asymptotically Homogeneous Functions," Working papers 2025-01, University of Connecticut, Department of Economics.
• Lu, Zhentong & Shimizu, Kenichi, 2025. "Estimating Discrete Choice Demand Models with Sparse Market-Product Shocks," Working Papers 2025-1, University of Alberta, Department of Economics.
• M. Hashem Pesaran & Yimeng Xie, 2024. "How to Detect Network Dependence in Latent Factor Models? A Bias-Corrected CD Test," CESifo Working Paper Series 11470, CESifo.
• Akanksha Negi & Didier Nibbering, 2025. "Identification of dynamic treatment effects when treatment histories are partially observed," Papers 2501.04853, arXiv.org.
• Gianluca Cubadda & Francesco Giancaterini & Stefano Grassi, 2025. "Sequential Monte Carlo for Noncausal Processes," Papers 2501.03945, arXiv.org.
• Kreye, Tom Jannik, 2024. "Testing for fractional cointegration in subsamples by allowing for structural breaks," Hannover Economic Papers (HEP) dp-733, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Pedro Isaac Chavez-Lopez & Tae-Hwy Lee, 2025. "Quantile-Covariance Three-Pass Regression Filter," Working Papers 202501, University of California at Riverside, Department of Economics.
• Xiaoqian Wang & Rob J Hyndman, 2024. "Online Conformal Inference for Multi-Step Time Series Forecasting," Monash Econometrics and Business Statistics Working Papers 20/24, Monash University, Department of Econometrics and Business Statistics.
• Niousha Bagheri & Milad Ghasri & Michael Barlow, 2025. "RUM-NN: A Neural Network Model Compatible with Random Utility Maximisation for Discrete Choice Setups," Papers 2501.05221, arXiv.org.
• Baranowski, Rafal & Chen, Yining & Fryzlewicz, Piotr, 2024. "Multiscale autoregression on adaptively detected timescales," LSE Research Online Documents on Economics 126054, London School of Economics and Political Science, LSE Library.
• Yangzhuoran Fin Yang & Rob J Hyndman & George Athanasopoulos & Anastasios Panagiotelis, 2024. "Forecast Linear AugmentedProjection (FLAP): A Free Lunch to Reduce Forecast Error Variance," Monash Econometrics and Business Statistics Working Papers 13/24, Monash University, Department of Econometrics and Business Statistics.
• Abbas, Yasser & Daouia, Abdelaati & Nemouchi, Boutheina & Stupfler, Gilles, 2025. "Tail expectile-VaR estimation in the semiparametric Generalized Pareto model," TSE Working Papers 25-1607, Toulouse School of Economics (TSE).
• Youngjin Hong & In Kyung Kim & Kyoo il Kim, 2025. "An Instrumental Variables Approach to Testing Firm Conduct," Papers 2501.05022, arXiv.org.
• Nuwani K Palihawadana & Rob J Hyndman & Xiaoqian Wang, 2024. "Sparse Multiple Index Modelsfor High-dimensional Nonparametric Forecasting," Monash Econometrics and Business Statistics Working Papers 16/24, Monash University, Department of Econometrics and Business Statistics.
• Roy Cerqueti & Paolo Maranzano & Raffaele Mattera, 2024. "Spatially-clustered spatial autoregressive models with application to agricultural market concentration in Europe," Papers 2407.15874, arXiv.org.
• Christopher P. Chambers & Yusufcan Masatlioglu & Christopher Turansick, 2025. "Revealed Social Networks," Papers 2501.02609, arXiv.org.
• Tseng, Yen-hsuan, 2025. "Recovering Unobserved Network Links from Aggregated Relational Data: Discussions on Bayesian Latent Surface Modeling and Penalized Regression," MPRA Paper 123164, University Library of Munich, Germany.
• S. A. Adedayo, 2025. "Re-examining Granger Causality from Causal Bayesian Networks Perspective," Papers 2501.02672, arXiv.org.
• H. Spencer Banzhaf, 2024. "Valuing Policy Characteristics and New Products using a Simple Linear Program," NBER Working Papers 33225, National Bureau of Economic Research, Inc.
• Xiaoqian Wang & Rob J Hyndman & Shanika Wickramasuriya, 2024. "Optimal Forecast Reconciliation with Time Series Selection," Monash Econometrics and Business Statistics Working Papers 5/24, Monash University, Department of Econometrics and Business Statistics.
• Bryzgalova, Svetlana & Huang, Jiantao & Julliard, Christian, 2023. "Bayesian solutions for the factor zoo: we just ran two quadrillion models," LSE Research Online Documents on Economics 126151, London School of Economics and Political Science, LSE Library.
• Joshua D. Angrist & Bruno Ferman & Carol Gao & Peter Hull & Otavio L. Tecchio & Robert W. Yeh, 2025. "Instrumental Variables with Time-Varying Exposure: New Estimates of Revascularization Effects on Quality of Life," Papers 2501.01623, arXiv.org.