Report NEP-ECM-2025-02-03

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:

• Ziyu Jiang, 2025. "Identification and Estimation of Simultaneous Equation Models Using Higher-Order Cumulant Restrictions," Papers 2501.06777, arXiv.org.
• Yikun Zhang & Yen-Chi Chen, 2025. "Doubly Robust Inference on Causal Derivative Effects for Continuous Treatments," Papers 2501.06969, arXiv.org.
• ALAMI CHENTOUFI, Reda, 2024. "Penalized Convex Estimation in Dynamic Location-Scale models," MPRA Paper 123283, University Library of Munich, Germany.
• Yuying Sun & Feng Chen & Jiti Gao, 2025. "Model Averaging for Time-Varying Vector Autoregressions," Monash Econometrics and Business Statistics Working Papers 1/25, Monash University, Department of Econometrics and Business Statistics.
• Dong, Hao & Otsu, Taisuke & Taylor, Luke, 2024. "Inference in the presence of unknown rates," LSE Research Online Documents on Economics 126066, London School of Economics and Political Science, LSE Library.
• Pitarakis, Jean-Yves, 2025. "Detecting sparse cointegration," UC3M Working papers. Economics 45708, Universidad Carlos III de Madrid. Departamento de Economía.
• Ryo Okui & Yutao Sun & Wendun Wang, 2025. "Recovering latent linkage structures and spillover effects with structural breaks in panel data models," Papers 2501.09517, arXiv.org.
• Adam Lee & Emil A. Stoltenberg & Per A. Mykland, 2025. "Semiparametrics via parametrics and contiguity," Papers 2501.09483, arXiv.org.
• Sooahn Shin, 2024. "Difference-in-differences Design with Outcomes Missing Not at Random," Papers 2411.18772, arXiv.org.
• Zeyang Yu, 2024. "A Binary IV Model for Persuasion: Profiling Persuasion Types among Compliers," Papers 2411.16906, arXiv.org.
• Massimo Franchi & Iliyan Georgiev & Paolo Paruolo, 2024. "Canonical correlation analysis of stochastic trends via functional approximation," Papers 2411.19572, arXiv.org.
• Tinghan Zhang, 2025. "Estimating Sequential Search Models Based on a Partial Ranking Representation," Papers 2501.07514, arXiv.org, revised Jan 2025.
• Kenta Takatsu & Arun Kumar Kuchibhotla, 2025. "Bridging Root-$n$ and Non-standard Asymptotics: Dimension-agnostic Adaptive Inference in M-Estimation," Papers 2501.07772, arXiv.org, revised Feb 2025.
• Áureo de Paula & Elie Tamer & Weiguang Liu, 2025. "Prediction sets and conformal inference with censored outcomes," CeMMAP working papers 04/25, Institute for Fiscal Studies.
• Ying Chen & Ziwei Xu & Kotaro Inoue & Ryutaro Ichise, 2024. "Causal Inference in Finance: An Expertise-Driven Model for Instrument Variables Identification and Interpretation," Papers 2411.17542, arXiv.org.
• Li, Chenxing & Yang, Qiao, 2025. "An Infinite Hidden Markov Model with GARCH for Short-Term Interest Rates," MPRA Paper 123200, University Library of Munich, Germany.
• Luo, Shikai & Yang, Ying & Shi, Chengchun & Yao, Fang & Ye, Jieping & Zhu, Hongtu, 2024. "Policy evaluation for temporal and/or spatial dependent experiments," LSE Research Online Documents on Economics 122741, London School of Economics and Political Science, LSE Library.
• Jimmy Cheung & Smruthi Rangarajan & Amelia Maddocks & Xizhe Chen & Rohitash Chandra, 2024. "Quantile deep learning models for multi-step ahead time series prediction," Papers 2411.15674, arXiv.org.
• Bailey, N. & Ditzen, J. & Holly, S., 2025. "My neighbour's neighbour is not my neighbour: Instrumentation and causality in spatial models," Cambridge Working Papers in Economics 2501, Faculty of Economics, University of Cambridge.
• Qianli Zhao & Chao Wang & Richard Gerlach & Giuseppe Storti & Lingxiang Zhang, 2024. "Autoencoder Enhanced Realised GARCH on Volatility Forecasting," Papers 2411.17136, arXiv.org.
• Jiaan Han & Junxiao Chen & Yanzhe Fu, 2024. "CatNet: Effective FDR Control in LSTM with Gaussian Mirrors and SHAP Feature Importance," Papers 2411.16666, arXiv.org, revised Nov 2024.
• John List, 2025. "The Experimentalist Looks Within: Toward an Understanding of Within-Subject Experimental Designs," Natural Field Experiments 00804, The Field Experiments Website.
• Worapree Maneesoonthorn & David T. Frazier & Gael M. Martin, 2024. "Probabilistic Predictions of Option Prices Using Multiple Sources of Data," Papers 2412.00658, arXiv.org.
• Bednall, Timothy Colin, 2025. "Variance Explained (Vx): A General, Model-Based Approach for Explaining and Partitioning Variance," OSF Preprints us346, Center for Open Science.