Report NEP-ECM-2024-06-17

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:

• Joshua B. Gilbert & Zachary Himmelsbach & James Soland & Mridul Joshi & Benjamin W. Domingue, 2024. "Estimating Heterogeneous Treatment Effects with Item-Level Outcome Data: Insights from Item Response Theory," Papers 2405.00161, arXiv.org, revised Aug 2024.
• Emanuele Bacchiocchi & Toru Kitagawa, 2024. "SVARs with breaks: Identification and inference," Papers 2405.04973, arXiv.org.
• Jiti Gao & Bin Peng & Yayi Yan, 2024. "Robust Inference for High-Dimensional Panel Data Models," Papers 2405.07420, arXiv.org, revised Aug 2024.
• Junho Choi & Ryo Okui, 2024. "Latent group structure in linear panel data models with endogenous regressors," Papers 2405.08687, arXiv.org.
• Luis A. F. Alvarez & Bruno Ferman, 2024. "On “Imputation of Counterfactual Outcomes when the Errors are Predictable'': Discussions on Misspecification and Suggestions of Sensitivity Analyses," Working Papers, Department of Economics 2024_16, University of São Paulo (FEA-USP).
• M. Hashem Pesaran & Ron P. Smith, 2024. "Identifying and exploiting alpha in linear asset pricing models with strong, semi-strong, and latent factors," Papers 2405.02217, arXiv.org, revised Oct 2024.
• Veldhuis, Sebastian & Wagner, Martin, 2024. "Integrated Modiï¬ ed Least Squares Estimation and (Fixed-b) Inference for Systems of Cointegrating Multivariate Polynomial Regressions," IHS Working Paper Series 54, Institute for Advanced Studies.
• Zacharias Psaradakis & Martin Sola & Francisco Rapetti & Patricio Yunis, 2024. "The Role of Consumer Sentiment in the Stock Market: A Multivariate Dynamic Mixture Model with Threshold Effects," Department of Economics Working Papers 2024_01, Universidad Torcuato Di Tella.
• Ge, S. & Li, S. & Linton, O. B. & Liu, W. & Su, W., 2024. "Should We Augment Large Covariance Matrix Estimation with Auxiliary Network Information?," Janeway Institute Working Papers 2416, Faculty of Economics, University of Cambridge.
• Wang, Tengyao & Dobriban, Edgar & Gataric, Milana & Samworth, Richard J., 2024. "Sharp-SSL: selective high-dimensional axis-aligned random projections for semi-supervised learning," LSE Research Online Documents on Economics 122552, London School of Economics and Political Science, LSE Library.
• Lonjezo Sithole, 2024. "A Locally Robust Semiparametric Approach to Examiner IV Designs," Papers 2404.19144, arXiv.org.
• David M. Ritzwoller & Vasilis Syrgkanis, 2024. "Simultaneous Inference for Local Structural Parameters with Random Forests," Papers 2405.07860, arXiv.org, revised Sep 2024.
• Nathaniel T. Wilcox, 2024. "Conditional Independence in a Binary Choice Experiment," Working Papers 24-15, Department of Economics, Appalachian State University.
• Rajveer Jat & Daanish Padha, 2024. "Kernel Three Pass Regression Filter," Papers 2405.07292, arXiv.org, revised Jun 2024.
• Zacharias Psaradakis & Martin Sola & Nicola Spagnolo & Patricio Yunis, 2024. "Predictive Accuracy of Impulse Responses Estimated Using Local Projections and Vector Autoregressions," Department of Economics Working Papers 2024_02, Universidad Torcuato Di Tella.
• Joshua Brault, 2024. "Parallel Tempering for DSGE Estimation," Staff Working Papers 24-13, Bank of Canada.
• Sullivan Hu'e & Christophe Hurlin & Yang Lu, 2024. "Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials," Papers 2405.02012, arXiv.org, revised May 2024.
• W. Benedikt Schmal, 2024. "Quantitative Tools for Time Series Analysis in Natural Language Processing: A Practitioners Guide," Papers 2404.18499, arXiv.org.
• H. Peter Boswijk & Jun Yu & Yang Zu, 2024. "Testing for an Explosive Bubble using High-Frequency Volatility," Papers 2405.02087, arXiv.org.
• Savi Virolainen, 2024. "Identification by non-Gaussianity in structural threshold and smooth transition vector autoregressive models," Papers 2404.19707, arXiv.org, revised Jun 2024.
• Ben Deaner & Hyejin Ku, 2024. "Causal Duration Analysis with Diff-in-Diff," Papers 2405.05220, arXiv.org.
• Zhang, Siliang & Kuha, Jouni & Steele, Fiona, 2024. "Modelling correlation matrices in multivariate data, with application to reciprocity and complementarity of child-parent exchanges of support," LSE Research Online Documents on Economics 123698, London School of Economics and Political Science, LSE Library.
• Kojevnikov, Denis & Song, Kyungchul, 2023. "Econometric inference on a large bayesian game with heterogeneous beliefs," Other publications TiSEM aca0631e-4f8a-45c7-af3a-4, Tilburg University, School of Economics and Management.
• Kaizhao Liu & Jose Blanchet & Lexing Ying & Yiping Lu, 2024. "Orthogonal Bootstrap: Efficient Simulation of Input Uncertainty," Papers 2404.19145, arXiv.org, revised Apr 2024.
• David M. Kaplan & Qian Wu, 2024. "Ordinal Decomposition," Working Papers 2404, Department of Economics, University of Missouri.
• Battulga Gankhuu, 2024. "Bayesian Markov-Switching Vector Autoregressive Process," Papers 2404.11235, arXiv.org, revised Sep 2024.