Report NEP-ECM-2024-09-02

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:

• Tatsushi Oka & Shota Yasui & Yuta Hayakawa & Undral Byambadalai, 2024. "Regression Adjustment for Estimating Distributional Treatment Effects in Randomized Controlled Trials," Papers 2407.14074, arXiv.org.
• Shosei Sakaguchi & Hayato Tagawa, 2024. "Identification and Inference for Synthetic Control Methods with Spillover Effects: Estimating the Economic Cost of the Sudan Split," Papers 2408.00291, arXiv.org, revised Oct 2024.
• Andrea Ciaccio, 2024. "Distributional Difference-in-Differences Models with Multiple Time Periods: A Monte Carlo Analysis," Papers 2408.01208, arXiv.org.
• Richard Luger, 2024. "Regularizing stock return covariance matrices via multiple testing of correlations," Papers 2407.09696, arXiv.org.
• Alain Hecq & Ivan Ricardo & Ines Wilms, 2024. "Reduced-Rank Matrix Autoregressive Models: A Medium $N$ Approach," Papers 2407.07973, arXiv.org.
• Laurent Davezies & Guillaume Hollard & Pedro Vergara Merino, 2024. "Revisiting Randomization with the Cube Method," Papers 2407.13613, arXiv.org.
• Patrick Rehill, 2024. "Distilling interpretable causal trees from causal forests," Papers 2408.01023, arXiv.org.
• Zhaoxing Gao, 2024. "Sparse Asymptotic PCA: Identifying Sparse Latent Factors Across Time Horizon," Papers 2407.09738, arXiv.org.
• Lim Hao Shen Keith, 2024. "Covariance Matrix Analysis for Optimal Portfolio Selection," Papers 2407.08748, arXiv.org.
• Tassos Magdalinos & Katerina Petrova, 2024. "OLS Limit Theory for Drifting Sequences of Parameters on the Explosive Side of Unity," Staff Reports 1113, Federal Reserve Bank of New York.
• Jos'e E. Figueroa-L'opez & Jincheng Pang & Bei Wu, 2024. "Estimation of Integrated Volatility Functionals with Kernel Spot Volatility Estimators," Papers 2407.09759, arXiv.org.
• Carsten H. Chong & Viktor Todorov, 2024. "A nonparametric test for rough volatility," Papers 2407.10659, arXiv.org.
• Fabrizio Lillo & Giorgio Rizzini, 2024. "Modelling shock propagation and resilience in financial temporal networks," Papers 2407.09340, arXiv.org.
• Benedikt Holtgen & Robert C. Williamson, 2024. "Causal modelling without introducing counterfactuals or abstract distributions," Papers 2407.17385, arXiv.org, revised Aug 2024.
• Xavier Brouty & Matthieu Garcin & Hugo Roccaro, 2024. "Estimation of bid-ask spreads in the presence of serial dependence," Papers 2407.17401, arXiv.org.
• Diego Ciccia, 2024. "A Short Note on Event-Study Synthetic Difference-in-Differences Estimators," Papers 2407.09565, arXiv.org, revised Nov 2024.
• Marc Burri & Daniel Kaufmann, 2024. "Multi-dimensional monetary policy shocks based on heteroscedasticity," IRENE Working Papers 24-03, IRENE Institute of Economic Research.
• Simon Hirsch & Jonathan Berrisch & Florian Ziel, 2024. "Online Distributional Regression," Papers 2407.08750, arXiv.org, revised Aug 2024.
• Neil Christy & A. E. Kowalski, 2024. "Starting Small: Prioritizing Safety over Efficacy in Randomized Experiments Using the Exact Finite Sample Likelihood," Papers 2407.18206, arXiv.org.
• Òscar Jordà & Alan M. Taylor, 2024. "Local Projections," Working Paper Series 2024-24, Federal Reserve Bank of San Francisco.
• Yuri Matsumura & Suguru Otani, 2024. "Conduct Parameter Estimation in Homogeneous Goods Markets with Equilibrium Existence and Uniqueness Conditions: The Case of Log-linear Specification," Papers 2407.12422, arXiv.org.
• Bruno Fava, 2024. "Predicting the Distribution of Treatment Effects: A Covariate-Adjustment Approach," Papers 2407.14635, arXiv.org, revised Oct 2024.
• Martin Huber, 2024. "An Introduction to Causal Discovery," Papers 2407.08602, arXiv.org.
• Matteo Barigozzi & Marc Hallin, 2024. "The Dynamic, the Static, and the Weak factor models and the analysis of high-dimensional time series," Papers 2407.10653, arXiv.org.
• Melissa Dell, 2024. "Deep Learning for Economists," Papers 2407.15339, arXiv.org, revised Nov 2024.
• Todd E. Clark & Gergely Ganics & Elmar Mertens, 2024. "Constructing Fan Charts from the Ragged Edge of SPF Forecasts," Working Papers 22-36R, Federal Reserve Bank of Cleveland.