Report NEP-ECM-2024-05-13

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:

• Jiatong Li & Hongqiang Yan, 2024. "Uniform Inference in High-Dimensional Threshold Regression Models," Papers 2404.08105, arXiv.org, revised Aug 2024.
• Dmitry Arkhangelsky & Aleksei Samkov, 2024. "Sequential Synthetic Difference in Differences," Papers 2404.00164, arXiv.org.
• Vogelsang, Timothy J. & Wagner, Martin, 2024. "Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Multivariate Polynomial Regressions," IHS Working Paper Series 53, Institute for Advanced Studies.
• Bai, Jushan & Wang, Peng, 2024. "Causal inference using factor models," MPRA Paper 120585, University Library of Munich, Germany.
• Lena S. Bjerkander & Jonas Dovern & Hans Manner, 2024. "Testing with Vectors of Statistics: Revisiting Combined Hypothesis Tests with an Application to Specification Testing," CESifo Working Paper Series 11027, CESifo.
• Matteo Mogliani & Anna Simoni, 2024. "Bayesian Bi-level Sparse Group Regressions for Macroeconomic Density Forecasting," Papers 2404.02671, arXiv.org, revised Nov 2024.
• Nir Billfeld & Moshe Kim, 2024. "Context-dependent Causality (the Non-Nonotonic Case)," Papers 2404.05021, arXiv.org.
• James A. Duffy & Sophocles Mavroeidis, 2024. "Common Trends and Long-Run Identification in Nonlinear Structural VARs," Papers 2404.05349, arXiv.org, revised Sep 2024.
• Anirban Mukherjee & Hannah Hanwen Chang, 2024. "CAVIAR: Categorical-Variable Embeddings for Accurate and Robust Inference," Papers 2404.04979, arXiv.org, revised Apr 2024.
• Artem Kraevskiy & Artem Prokhorov & Evgeniy Sokolovskiy, 2024. "Early warning systems for financial markets of emerging economies," Papers 2404.03319, arXiv.org.
• Peter Reinhard Hansen & Chen Tong, 2024. "Convolution-t Distributions," Papers 2404.00864, arXiv.org.
• Eric Auerbach & Yong Cai & Ahnaf Rafi, 2024. "Regression Discontinuity Design with Spillovers," Papers 2404.06471, arXiv.org.
• Cisil Sarisoy & Bas J.M. Werker, 2024. "Linear Factor Models and the Estimation of Expected Returns," Finance and Economics Discussion Series 2024-014, Board of Governors of the Federal Reserve System (U.S.).
• Christopher P. Chambers & Christopher Turansick, 2024. "The Limits of Identification in Discrete Choice," Papers 2403.13773, arXiv.org, revised Dec 2024.
• Eric Luxenberg & Stephen Boyd, 2024. "Exponentially Weighted Moving Models," Papers 2404.08136, arXiv.org, revised Apr 2024.
• Willem P Sijp & Anastasios Panagiotelis, 2024. "Estimating granular house price distributions in the Australian market using Gaussian mixtures," Papers 2404.05178, arXiv.org.