Econometrics

Benchmarks archive 2025-07-28

1 leaderboard table shown for this task, 1 with rows (a “benchmark” on this site is a table with at least one row, as on /sota), ordered by row count. “Best model” is the first row in the archive's own order at snapshot; nothing is re-ranked here and metric direction is not recorded in the archive. PwC's Trend sparklines are not in the archive, so that column is omitted.

Syntology column: samples harvested from the paper's repositories and executed on synthesized fixtures; “ran” is not a correctness claim and does not order the table. A dash means no Syntology record for that paper, not a recorded non-run. Read from the graph 2026-09-24.

Libraries

Not in the archive: the export carries no per-task library table, so there is nothing to show at snapshot 2025-07-28.

Datasets archive 2025-07-28

1 dataset whose archive record lists this task, ordered by the archive's paper count.

Subtasks archive 2025-07-28

No subtask under this task in the archive's task tree.

Most implemented papers archive 2025-07-28

30 shown of 36 papers with code (232 tagged with this task in all), ordered by repositories listed in the archive, not by stars (the archive holds no stars, so PwC's “Social” and “Latest” sorts cannot be reproduced). Papers without a page here are shown as plain text.

• Multi-Paradigm Analysis of Thai Capital Market Linkages: Bivariate/Vine Copulas, Granger Causality, Network Centrality, and Graph Neural Network/Graph Embedding Approaches
  23 Feb 2023 4 repositories listed
  Analytically thorough understanding of causal, probabilistic, and informational linkages amongst modern, highly-interconnected capital markets is fundamental to the promotion of capital-market innovation, efficiency,…
• Scaling Language Models: Methods, Analysis & Insights from Training Gopher
  8 Dec 2021 3 repositories listed
  Language modelling provides a step towards intelligent communication systems by harnessing large repositories of written human knowledge to better predict and understand the world.
• Global Public Sentiment on Decentralized Finance: A Spatiotemporal Analysis of Geo-tagged Tweets from 150 Countries
  1 Sep 2024 2 repositories listed
  Blockchain technology and decentralized finance (DeFi) are reshaping global financial systems.
• Convex Total Least Squares
  1 Jun 2014 2 repositories listed
  The special case when all dependent and independent variables have the same level of uncorrelated Gaussian noise, known as ordinary TLS, can be solved by singular value decomposition (SVD).
• Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure
  9 Apr 2025 1 repository listed
  Financial scenario simulation is essential for risk management and portfolio optimization, yet it remains challenging especially in high-dimensional and small data settings common in finance.
• When can we get away with using the two-way fixed effects regression?
  7 Mar 2025 1 repository listed
  The use of the two-way fixed effects regression in empirical social science was historically motivated by folk wisdom that it uncovers the Average Treatment effect on the Treated (ATT) as in the canonical two-period…
• Calibration and Option Pricing with Stochastic Volatility and Double Exponential Jumps
  19 Feb 2025 1 repository listed
  We provide evidence that this model outperforms challenger models possessing similar features (stochastic volatility and jumps), especially in the fit of the short term implied volatility smile, and that it is…
• A Practical Approach to Causal Inference over Time
  14 Oct 2024 1 repository listed Syntology ran 13 of 15 samples · 2 unverified
  In this paper, we focus on estimating the causal effect of an intervention over time on a dynamical system.
• Robustness Auditing for Linear Regression: To Singularity and Beyond
  10 Oct 2024 1 repository listed Syntology ran 20 of 22 samples · 2 unverified · 22 pointer-only (licence)
  These conclusions are typically based on the results of one or more Ordinary Least Squares (OLS) regressions, raising the question: given a dataset, can we certify the robustness of an OLS fit on this dataset to the…
• Macroscopic properties of equity markets: stylized facts and portfolio performance
  17 Sep 2024 1 repository listed
  Macroscopic properties of equity markets affect the performance of active equity strategies but many are not adequately captured by conventional models of financial mathematics and econometrics.
• The Efficient Tail Hypothesis: An Extreme Value Perspective on Market Efficiency
  13 Aug 2024 1 repository listed
  In econometrics, the Efficient Market Hypothesis posits that asset prices reflect all available information in the market.
• Robust Inference of Dynamic Covariance Using Wishart Processes and Sequential Monte Carlo
  7 Jun 2024 1 repository listed
  Several disciplines, such as econometrics, neuroscience, and computational psychology, study the dynamic interactions between variables over time.
• Causal Estimation of Memorisation Profiles
  6 Jun 2024 1 repository listed Syntology ran 3 of 3 samples · 0 unverified
  Understanding memorisation in language models has practical and societal implications, e.
• Quantitative Tools for Time Series Analysis in Natural Language Processing: A Practitioners Guide
  29 Apr 2024 1 repository listed
  This paper serves as a comprehensive practitioners guide to provide researchers in the social and life sciences as well as the humanities with concise advice on how to implement econometric time series methods to…
• Causal-StoNet: Causal Inference for High-Dimensional Complex Data
  27 Mar 2024 1 repository listed Syntology ran 3 of 4 samples · 1 unverified · 4 pointer-only (licence)
  In such datasets, the data dimension can be extremely high, and the underlying data generation process can be unknown and highly nonlinear.
• Nonparametric Instrumental Variable Regression through Stochastic Approximate Gradients
  8 Feb 2024 1 repository listed Syntology ran 5 of 11 samples · 6 unverified · 11 pointer-only (licence)
  Instrumental variables (IVs) provide a powerful strategy for identifying causal effects in the presence of unobservable confounders.
• Boosted Control Functions: Distribution generalization and invariance in confounded models
  9 Oct 2023 1 repository listed Syntology ran 9 of 10 samples · 1 unverified
  This work addresses this gap by introducing a strong notion of invariance that, unlike existing weaker notions, allows for distribution generalization even in the presence of nonlinear, non-identifiable structural…
• Global Neural Networks and The Data Scaling Effect in Financial Time Series Forecasting
  5 Sep 2023 1 repository listed
  Neural networks have revolutionized many empirical fields, yet their application to financial time series forecasting remains controversial.
• Identifiable causal inference with noisy treatment and no side information
  18 Jun 2023 1 repository listed
  Building on existing results for measurement error models, we prove that our model's causal effect estimates are identifiable, even without side information and knowledge of the measurement error variance.
• Deep Learning Enhanced Realized GARCH
  16 Feb 2023 1 repository listed
  We propose a new approach to volatility modeling by combining deep learning (LSTM) and realized volatility measures.
• The Economics and Econometrics of Gene-Environment Interplay
  1 Mar 2022 1 repository listed
  Economists and social scientists have debated the relative importance of nature (one's genes) and nurture (one's environment) for decades, if not centuries.
• Exploiting Independent Instruments: Identification and Distribution Generalization
  3 Feb 2022 1 repository listed Syntology ran 5 of 5 samples · 0 unverified · 5 pointer-only (licence)
  Most of the existing estimators assume that the error term in the response Y and the hidden confounders are uncorrelated with the instruments Z.
• Causal Imitation Learning under Temporally Correlated Noise
  2 Feb 2022 1 repository listed
  We develop algorithms for imitation learning from policy data that was corrupted by temporally correlated noise in expert actions.
• Deep Learning Macroeconomics
  31 Jan 2022 1 repository listed
  We explore the proposed strategy empirically, showing that data from different but related domains, a type of transfer learning, helps identify the business cycle phases when there is no business cycle dating committee…
• Minimax Analysis for Inverse Risk in Nonparametric Planer Invertible Regression
  1 Dec 2021 1 repository listed
  The derived minimax rate corresponds to that of the non-invertible bi-Lipschitz function, which shows that the invertibility does not reduce the complexity of the estimation problem in terms of the rate.
• Simulating Diffusion Bridges with Score Matching
  14 Nov 2021 1 repository listed
  This is known to be a challenging problem that has received much attention in the last two decades.
• Fast and Robust Online Inference with Stochastic Gradient Descent via Random Scaling
  6 Jun 2021 1 repository listed
  We develop a new method of online inference for a vector of parameters estimated by the Polyak-Ruppert averaging procedure of stochastic gradient descent (SGD) algorithms.
• Standing on the Shoulders of Machine Learning: Can We Improve Hypothesis Testing?
  2 Mar 2021 1 repository listed
  In this paper we have updated the hypothesis testing framework by drawing upon modern computational power and classification models from machine learning.
• Flexible Model Aggregation for Quantile Regression
  26 Feb 2021 1 repository listed
  Quantile regression is a fundamental problem in statistical learning motivated by a need to quantify uncertainty in predictions, or to model a diverse population without being overly reductive.
• Estimation and Applications of Quantiles in Deep Binary Classification
  9 Feb 2021 1 repository listed
  We quantify the uncertainty of the class probabilities in terms of prediction intervals, and develop individualized confidence scores that can be used to decide whether a prediction is reliable or not at scoring time.

Syntology lines on 7 of the papers shown; no Syntology record for the others (a paper without an arXiv id cannot be joined to the graph, and absence from the graph layer is not a recorded non-run). “Ran” means the sample executed on a synthesized fixture, not that the paper's result was reproduced. Read from the graph 2026-09-24.