Report NEP-ECM-2024-07-29

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:

• Lucija v{Z}igni'c & Stjepan Beguv{s}i'c & Zvonko Kostanjv{c}ar, 2024. "Block-diagonal idiosyncratic covariance estimation in high-dimensional factor models for financial time series," Papers 2407.03781, arXiv.org.
• Bulat Gafarov & Madina Karamysheva & Andrey Polbin & Anton Skrobotov, 2024. "Wild inference for wild SVARs with application to heteroscedasticity-based IV," Papers 2407.03265, arXiv.org, revised Nov 2024.
• Alessandro Casini & Adam McCloskey, 2024. "Identification and Estimation of Causal Effects in High-Frequency Event Studies," Papers 2406.15667, arXiv.org, revised Oct 2024.
• Max Cytrynbaum, 2024. "Finely Stratified Rerandomization Designs," Papers 2407.03279, arXiv.org, revised Jul 2024.
• Nicolas Apfel & Julia Hatamyar & Martin Huber & Jannis Kueck, 2024. "Learning control variables and instruments for causal analysis in observational data," Papers 2407.04448, arXiv.org.
• Mikihito Nishi, 2024. "Estimating Time-Varying Parameters of Various Smoothness in Linear Models via Kernel Regression," Papers 2406.14046, arXiv.org, revised Oct 2024.
• Luofeng Liao & Christian Kroer, 2024. "Statistical Inference and A/B Testing in Fisher Markets and Paced Auctions," Papers 2406.15522, arXiv.org, revised Aug 2024.
• Fantazzini, Dean, 2024. "Adaptive Conformal Inference for computing Market Risk Measures: an Analysis with Four Thousands Crypto-Assets," MPRA Paper 121214, University Library of Munich, Germany.
• Stefan Faridani, 2024. "Testing for Underpowered Literatures," Papers 2406.13122, arXiv.org.
• Mayo, Deborah, 2024. "Error statistics, Bayes-factor Tests and the Fallacy of Non-exhaustive Alternatives," OSF Preprints tmgqd, Center for Open Science.
• Jose Apesteguia & Miguel A. Ballester & Ángelo Gutiérrez-Daza, 2024. "Random Discounted Expected Utility," Working Papers 2024-03, Banco de México.
• Robinson, Thomas & Tax, Niek & Mudd, Richard & Guy, Ido, 2024. "Active learning with biased non-response to label requests," LSE Research Online Documents on Economics 123029, London School of Economics and Political Science, LSE Library.