Report NEP-ECM-2025-02-17

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:

• Jia Chen & Guowei Cui & Vasilis Sarafidis & Takashi Yamagata, 2025. "IV Estimation of Heterogeneous Spatial Dynamic Panel Models with Interactive Effects," Papers 2501.18467, arXiv.org.
• Francisco Blasques & Janneke van Brummelen & Paolo Gorgi & Siem Jan Koopman, 2024. "Robust Multivariate Observation-Driven Filtering for a Common Stochastic Trend: Theory and Application," Tinbergen Institute Discussion Papers 24-062/III, Tinbergen Institute.
• Dongwoo Kim & Young Jun Lee, 2025. "Point-identifying semiparametric sample selection models with no excluded variable," CeMMAP working papers 07/25, Institute for Fiscal Studies.
• Nathan Canen & Kyungchul Song, 2025. "Simple Inference on a Simplex-Valued Weight," Papers 2501.15692, arXiv.org.
• Tibor Szendrei, 2025. "Crossing penalised CAViaR," Papers 2501.10564, arXiv.org.
• Alex H. Martinez & Brian Christensen & Elizabeth F. Sutton & Andrew G. Chapple, 2025. "A Comparison of Bayesian and Frequentist Variable Selection Methods for Estimating Average Treatment Effects in Logistic Regression," EERI Research Paper Series EERI RP 2025/01, Economics and Econometrics Research Institute (EERI), Brussels.
• Songnian Chen & Junlong Feng, 2025. "Robust Quantile Factor Analysis," Papers 2501.15761, arXiv.org.
• Ruonan Xu & Xiye Yang, 2025. "Influence Function: Local Robustness and Efficiency," Papers 2501.15307, arXiv.org.
• Matthew A. Masten & Alexandre Poirier & Muyang Ren, 2025. "A General Approach to Relaxing Unconfoundedness," Papers 2501.15400, arXiv.org.
• Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Noah Stegehuis, 2024. "Mitigating Estimation Risk: a Data-Driven Fusion of Experimental and Observational Data," Tinbergen Institute Discussion Papers 24-066/III, Tinbergen Institute.
• Stéphane Surprenant, 2025. "Quantile VARs and Macroeconomic Risk Forecasting," Staff Working Papers 25-4, Bank of Canada.
• Chris Naubert, 2025. "Differentiable, Filter Free Bayesian Estimation of DSGE Models Using Mixture Density Networks," Staff Working Papers 25-3, Bank of Canada.
• Jaap H. Abbring & Victor Chernozhukov & Iv'an Fern'andez-Val, 2025. "Philip G. Wright, directed acyclic graphs, and instrumental variables," Papers 2501.16395, arXiv.org.
• Zaka Ratsimalahelo, 2024. "Re examining confidence intervals for ratios of parameters," Working Papers 2024-20, CRESE.
• Capilla, Javier & Alcaraz, Alba & Valarezo, à ngel & García-Hiernaux, Alfredo & Pérez Amaral, Teodosio, 2025. "Eco-RETINA: a green flexible algorithm for model building," Documentos de Trabajo del ICAE 2025-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Jiawen Luo & Shengjie Fu & Oguzhan Cepni & Rangan Gupta, 2025. "The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach," Working Papers 202501, University of Pretoria, Department of Economics.