Report NEP-ECM-2025-01-27

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:

• Zhewen Pan & Yifan Zhang, 2024. "Locally robust semiparametric estimation of sample selection models without exclusion restrictions," Papers 2412.01208, arXiv.org.
• Javier Alejo & Antonio F. Galvao & Julian Martinez-Iriarte & Gabriel Montes-Rojas, 2024. "Endogenous Heteroskedasticity in Linear Models," Papers 2412.02767, arXiv.org, revised Jan 2025.
• Robin Braun & George Kapetanios & Massimiliano Marcellino, 2025. "Nonparametric Time Varying IV-SVARs: Estimation and Inference," Finance and Economics Discussion Series 2025-004, Board of Governors of the Federal Reserve System (U.S.).
• Christoph Breunig & Ruixuan Liu & Zhengfei Yu, 2024. "Semiparametric Bayesian Difference-in-Differences," Papers 2412.04605, arXiv.org, revised Dec 2024.
• Sunny Karim & Matthew D. Webb, 2024. "Good Controls Gone Bad: Difference-in-Differences with Covariates," Papers 2412.14447, arXiv.org.
• Mengsi Gao, 2024. "Endogenous Interference in Randomized Experiments," Papers 2412.02183, arXiv.org.
• Yanqin Fan & Hyeonseok Park, 2024. "Minimum Sliced Distance Estimation in a Class of Nonregular Econometric Models," Papers 2412.05621, arXiv.org.
• Zongwu Cai & Ying Fang & Ming Lin & Yaqian Wu, 2024. "Estimating Counterfactual Distribution Functions via Optimal Distribution Balancing with Applications," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202415, University of Kansas, Department of Economics.
• Yanqin Fan & Yigit Okar & Xuetao Shi, 2024. "Iterative Distributed Multinomial Regression," Papers 2412.01030, arXiv.org.
• Zhaomeng Chen & Junting Duan & Victor Chernozhukov & Vasilis Syrgkanis, 2024. "Automatic Doubly Robust Forests," Papers 2412.07184, arXiv.org.
• Pierluigi Vallarino, 2024. "Dynamic kernel models," Tinbergen Institute Discussion Papers 24-082/III, Tinbergen Institute.
• Victor Chernozhukov & Whitney K. Newey & Vasilis Syrgkanis, 2024. "Conditional Influence Functions," Papers 2412.18080, arXiv.org.
• St'ephane Bonhomme & Koen Jochmans & Martin Weidner, 2024. "A Neyman-Orthogonalization Approach to the Incidental Parameter Problem," Papers 2412.10304, arXiv.org, revised Jan 2025.
• Zhaoyang Shi & Chinmoy Bhattacharjee & Krishnakumar Balasubramanian & Wolfgang Polonik, 2024. "Gaussian and Bootstrap Approximation for Matching-based Average Treatment Effect Estimators," Papers 2412.17181, arXiv.org.
• Sung Hoon Choi & Donggyu Kim, 2024. "Cubic-based Prediction Approach for Large Volatility Matrix using High-Frequency Financial Data," Papers 2412.04293, arXiv.org.
• Dennis Lim & Wenjie Wang & Yichong Zhang, 2024. "A Dimension-Agnostic Bootstrap Anderson-Rubin Test For Instrumental Variable Regressions," Papers 2412.01603, arXiv.org.
• Phillip Heiler & Asbj{o}rn Kaufmann & Bezirgen Veliyev, 2024. "Treatment Evaluation at the Intensive and Extensive Margins," Papers 2412.11179, arXiv.org.
• Eduardo Schirmer Finn & Eduardo Horta, 2024. "Convolution Mode Regression," Papers 2412.05736, arXiv.org.
• Bora Kim, 2024. "Estimating Spillover Effects in the Presence of Isolated Nodes," Papers 2412.05919, arXiv.org.
• Jan Pruser, 2024. "A large non-Gaussian structural VAR with application to Monetary Policy," Papers 2412.17598, arXiv.org.
• Tae-Hwy Lee & Daanish Padha, 2025. "Forecasting Using Supervised Factors and Idiosyncratic Elements," Working Papers 202502, University of California at Riverside, Department of Economics.
• Jinyuan Chang & Cheng Yong Tang & Yuanzheng Zhu, 2024. "Bayesian penalized empirical likelihood and MCMC sampling," Papers 2412.17354, arXiv.org.
• Abhimanyu Gupta & Jungyoon Lee & Francesca Rossi, 2024. "Testing linearity of spatial interaction functions \`a la Ramsey," Papers 2412.14778, arXiv.org.
• Yuta Okamoto & Yuuki Ozaki, 2024. "On Extrapolation of Treatment Effects in Multiple-Cutoff Regression Discontinuity Designs," Papers 2412.04265, arXiv.org.
• Giuseppe Buccheri & Fulvio Corsi & Emilija Dzuverovic, 2024. "From rotational to scalar invariance: Enhancing identifiability in score-driven factor models," Papers 2412.01367, arXiv.org.
• Andrea Bucci & Michele Palma & Chao Zhang, 2024. "Geometric Deep Learning for Realized Covariance Matrix Forecasting," Papers 2412.09517, arXiv.org.
• Beatrice Foroni & Luca Merlo & Lea Petrella, 2024. "Hidden Markov graphical models with state-dependent generalized hyperbolic distributions," Papers 2412.03668, arXiv.org.
• Peder Isager & Jack Fitzgerald, 2024. "Three-Sided Testing to Establish Practical Significance: A Tutorial," Tinbergen Institute Discussion Papers 24-077/III, Tinbergen Institute.
• Kexin Zhang & Simon Trimborn, 2024. "Influential assets in Large-Scale Vector AutoRegressive Models," Tinbergen Institute Discussion Papers 24-080/III, Tinbergen Institute.
• Dobrislav Dobrev & Pawel J. Szerszen, 2025. "Missing Data Substitution for Enhanced Robust Filtering and Forecasting in Linear State-Space Models," Finance and Economics Discussion Series 2025-001, Board of Governors of the Federal Reserve System (U.S.).
• Kazuki Tomioka & Thomas T. Yang & Xibin Zhang, 2024. "Panel Stochastic Frontier Models with Latent Group Structures," Papers 2412.08831, arXiv.org.
• Gianluca Cubadda, 2024. "VAR models with an index structure: A survey with new results," Papers 2412.11278, arXiv.org.
• Miguel C. Herculano & Santiago Montoya-Bland'on, 2024. "Probabilistic Targeted Factor Analysis," Papers 2412.06688, arXiv.org.
• Kees Jan van Garderen & Noud van Giersbergen, 2024. "Moderating the Mediation Bootstrap for Causal Inference," Papers 2412.11285, arXiv.org.
• James Bland & Yaroslav Rosokha, 2024. "Rounding the (Non)Bayesian Curve: Unraveling the Effects of Rounding Errors in Belief Updating," Purdue University Economics Working Papers 1353, Purdue University, Department of Economics.
• Tao Sun, 2024. "Bundle Choice Model with Endogenous Regressors: An Application to Soda Tax," Papers 2412.05794, arXiv.org.
• Sourav Majumdar & Arnab Kumar Laha, 2024. "Diffusion on the circle and a stochastic correlation model," Papers 2412.06343, arXiv.org.
• Benedikt M. Potscher & David Preinerstorfer, 2024. "A Necessary and Sufficient Condition for Size Controllability of Heteroskedasticity Robust Test Statistics," Papers 2412.17470, arXiv.org.
• Neil Christy & Amanda Ellen Kowalski, 2024. "Counting Defiers in Health Care with a Design-Based Likelihood for the Joint Distribution of Potential Outcomes," Papers 2412.16352, arXiv.org.
• Markus Trunschke & Kenneth L. Judd, 2024. "Estimating Gross Output Production Functions," NBER Working Papers 33205, National Bureau of Economic Research, Inc.
• Dou, Liyu & Ho, Paul & Lubik, Thomas A., 2024. "Max-Share Misidentification," Economics and Statistics Working Papers 13-2024, Singapore Management University, School of Economics.
• Lin William Cong & Tengyuan Liang & Xiao Zhang & Wu Zhu, 2024. "Textual Factors: A Scalable, Interpretable, and Data-driven Approach to Analyzing Unstructured Information," NBER Working Papers 33168, National Bureau of Economic Research, Inc.
• Jens Ludwig & Sendhil Mullainathan & Ashesh Rambachan, 2024. "Large Language Models: An Applied Econometric Framework," Papers 2412.07031, arXiv.org, revised Jan 2025.
• Niko Hauzenberger & Florian Huber & Karin Klieber & Massimiliano Marcellino, 2024. "Machine Learning the Macroeconomic Effects of Financial Shocks," Papers 2412.07649, arXiv.org.