Econometrics

This paper presents a new perspective on the identification at infinity for the intercept of the sample selection model as identification at the boundary via a transformation of the selection index. This perspective suggests generalizations…

We develop an efficient sampling approach for handling complex missing data patterns and a large number of missing observations in conditionally Gaussian state space models. Two important examples are dynamic factor models with unbalanced…

In settings with few treated units, Difference-in-Differences (DID) estimators are not consistent, and are not generally asymptotically normal. This poses relevant challenges for inference. While there are inference methods that are valid…

I introduce a simple permutation procedure to test conventional (non-sharp) hypotheses about the effect of a binary treatment in the presence of a finite number of large, heterogeneous clusters when the treatment effect is identified by…

We extend the theory from Fan and Li (2001) on penalized likelihood-based estimation and model-selection to statistical and econometric models which allow for non-negativity constraints on some or all of the parameters, as well as…

This Appendix (dated: July 2021) includes supplementary derivations related to the main limit results of the econometric framework for structural break testing in predictive regression models based on the OLS-Wald and IVX-Wald test…

We propose two types of equal predictive ability (EPA) tests with panels to compare the predictions made by two forecasters. The first type, namely $S$-statistics, focuses on the overall EPA hypothesis which states that the EPA holds on…

This document presents an overview of the bayesmixedlogit and bayesmixedlogitwtp Stata packages. It mirrors closely the helpfile obtainable in Stata (i.e., through help bayesmixedlogit or help bayesmixedlogitwtp). Further background for the…

When agents' information is imperfect and dispersed, existing measures of macroeconomic uncertainty based on the forecast error variance have two distinct drivers: the variance of the economic shock and the variance of the information…

Kitazawa (2013, 2016) showed that the common parameters in the panel logit AR(1) model with strictly exogenous covariates and fixed effects are estimable at the root-n rate using the Generalized Method of Moments. Honor\'e and Weidner…

This paper studies a semiparametric quantile regression model with endogenous variables and random right censoring. The endogeneity issue is solved using instrumental variables. It is assumed that the structural quantile of the logarithm of…

This paper is about two things: (i) Charles Sanders Peirce (1837-1914) -- an iconoclastic philosopher and polymath who is among the greatest of American minds. (ii) Abductive inference -- a term coined by C. S. Peirce, which he defined as…

In this study, we constitute an adaptive hedging method based on empirical mode decomposition (EMD) method to extract the adaptive hedging horizon and build a time series cross-validation method for robust hedging performance estimation.…

Thousands of papers have reported two-way cluster-robust (TWCR) standard errors. However, the recent econometrics literature points out the potential non-gaussianity of two-way cluster sample means, and thus invalidity of the inference…

This paper extends the canonical model of epidemiology, the SIRD model, to allow for time-varying parameters for real-time measurement and prediction of the trajectory of the Covid-19 pandemic. Time variation in model parameters is captured…

The prediction of financial markets is a challenging yet important task. In modern electronically-driven markets, traditional time-series econometric methods often appear incapable of capturing the true complexity of the multi-level…

In this paper we propose a semi-parametric Bayesian Generalized Least Squares estimator. In a generic setting where each error is a vector, the parametric Generalized Least Square estimator maintains the assumption that each error vector…

This paper introduces a maximum likelihood estimator of the value of job amenities and labor productivity in a single matching market based on the observation of equilibrium matches and wages. The estimation procedure simultaneously fits…

This paper generalises dynamic factor models for multidimensional dependent data. In doing so, it develops an interpretable technique to study complex information sources ranging from repeated surveys with a varying number of respondents to…

Despite the widespread use of graphs in empirical research, little is known about readers' ability to process the statistical information they are meant to convey ("visual inference"). We study visual inference within the context of…