Econometrics

This paper develops a new toolbox for multiple structural break detection in panel data models with interactive effects. The toolbox includes tests for the presence of structural breaks, a break date estimator, and a break date confidence…

During the early part of the Covid-19 pandemic, national and local governments introduced a number of policies to combat the spread of Covid-19. In this paper, we propose a new approach to bound the effects of such early-pandemic policies…

The processes of ecological interactions, dispersal and mutations shape the dynamics of biological communities, and analogous eco-evolutionary processes acting upon economic entities have been proposed to explain economic change. This…

We propose a hypothesis test that allows for many tested restrictions in a heteroskedastic linear regression model. The test compares the conventional F statistic to a critical value that corrects for many restrictions and conditional…

This paper studies computationally and theoretically attractive estimators called the Laplace type estimators (LTE), which include means and quantiles of Quasi-posterior distributions defined as transformations of general…

Many problems ask a question that can be formulated as a causal question: "what would have happened if...?" For example, "would the person have had surgery if he or she had been Black?" To address this kind of questions, calculating an…

In this paper, I try to tame "Basu's elephants" (data with extreme selection on observables). I propose new practical large-sample and finite-sample methods for estimating and inferring heterogeneous causal effects (under unconfoundedness)…

This paper proposes a Sieve Simulated Method of Moments (Sieve-SMM) estimator for the parameters and the distribution of the shocks in nonlinear dynamic models where the likelihood and the moments are not tractable. An important concern…

The spatial dependence in mean has been well studied by plenty of models in a large strand of literature, however, the investigation of spatial dependence in variance is lagging significantly behind. The existing models for the spatial…

Robust M-estimation uses loss functions, such as least absolute deviation (LAD), quantile loss and Huber's loss, to construct its objective function, in order to for example eschew the impact of outliers, whereas the difficulty in analysing…

Plausible identification of conditional average treatment effects (CATEs) may rely on controlling for a large number of variables to account for confounding factors. In these high-dimensional settings, estimation of the CATE requires…

This paper investigates the transmission of funding liquidity shocks, credit risk shocks and unconventional monetary policy within the Euro area. To this aim, we estimate a financial GVAR model for Germany, France, Italy and Spain on…

Although the recursive logit (RL) model has been recently popular and has led to many applications and extensions, an important numerical issue with respect to the computation of value functions remains unsolved. This issue is particularly…

It is customary to estimate error-in-variables models using higher-order moments of observables. This moments-based estimator is consistent only when the coefficient of the latent regressor is assumed to be non-zero. We develop a new…

We study a continuous treatment effect model in the presence of treatment spillovers through social networks. We assume that one's outcome is affected not only by his/her own treatment but also by a (weighted) average of his/her neighbors'…

We offer retrospective and prospective assessments of the Diebold-Yilmaz connectedness research program, combined with personal recollections of its development. Its centerpiece in many respects is Diebold and Yilmaz (2014), around which…

Weak consistency and asymptotic normality of the ordinary least-squares estimator in a linear regression with adaptive learning is derived when the crucial, so-called, `gain' parameter is estimated in a first step by nonlinear least squares…

This paper synthesizes recent advances in the econometrics of difference-in-differences (DiD) and provides concrete recommendations for practitioners. We begin by articulating a simple set of ``canonical'' assumptions under which the…

Non-causal processes have been drawing attention recently in Macroeconomics and Finance for their ability to display nonlinear behaviors such as asymmetric dynamics, clustering volatility, and local explosiveness. In this paper, we…

Climate change is a non-uniform phenomenon. This paper proposes a new quantitative methodology to characterize, measure, and test the existence of climate change heterogeneity. It consists of three steps. First, we introduce a new testable…