Econometrics
To help systematically lower anthropogenic Greenhouse gas (GHG) emissions, accurate and precise GHG emission prediction models have become a key focus of the climate research. The appeal is that the predictive models will inform…
Linear regressions with period and group fixed effects are widely used to estimate policies' effects: 26 of the 100 most cited papers published by the American Economic Review from 2015 to 2019 estimate such regressions. It has recently…
This paper develops estimation and inference methods for conditional quantile factor models. We first introduce a simple sieve estimation, and establish asymptotic properties of the estimators under large $N$. We then provide a bootstrap…
We propose a new variational approximation of the joint posterior distribution of the log-volatility in the context of large Bayesian VARs. In contrast to existing approaches that are based on local approximations, the new proposal provides…
We develop an asymptotic theory of adversarial estimators ('A-estimators'). They generalize maximum-likelihood-type estimators ('M-estimators') as their average objective is maximized by some parameters and minimized by others. This class…
Time-varying parameter VARs with stochastic volatility are routinely used for structural analysis and forecasting in settings involving a few endogenous variables. Applying these models to high-dimensional datasets has proved to be…
In randomized controlled trials (RCTs), treatment is often assigned by stratified randomization. I show that among all stratified randomization schemes which treat all units with probability one half, a certain matched-pair design achieves…
Debiased machine learning (DML) offers an attractive way to estimate treatment effects in observational settings, where identification of causal parameters requires a conditional independence or unconfoundedness assumption, since it allows…
In this paper, we survey recent econometric contributions to measure the relationship between economic activity and climate change. Due to the critical relevance of these effects for the well-being of future generations, there is an…
A comprehensive methodology for inference in vector autoregressions (VARs) using sign and other structural restrictions is developed. The reduced-form VAR disturbances are driven by a few common factors and structural identification…
In this article, we present a method to forecast the Portuguese gross domestic product (GDP) in each current quarter (nowcasting). It combines bridge equations of the real GDP on readily available monthly data like the Economic Sentiment…
In this work, we propose a novel framework for density forecast combination by constructing time-varying weights based on time series features, which is called Feature-based Bayesian Forecasting Model Averaging (FEBAMA). Our framework…
The ex-ante evaluation of policies using structural econometric models is based on estimated parameters as a stand-in for the true parameters. This practice ignores uncertainty in the counterfactual policy predictions of the model. We…
Matching has become the mainstream in counterfactual inference, with which selection bias between sample groups can be significantly eliminated. However in practice, when estimating average treatment effect on the treated (ATT) via…
We address challenges in variable selection with highly correlated data that are frequently present in finance, economics, but also in complex natural systems as e.g. weather. We develop a robustified version of the knockoff framework,…
This paper examines the relationship between the price of the Dubai crude oil and the price of the US natural gas using an updated monthly dataset from 1992 to 2018, incorporating the latter events in the energy markets. After employing a…
Ordered probit and logit models have been frequently used to estimate the mean ranking of happiness outcomes (and other ordinal data) across groups. However, it has been recently highlighted that such ranking may not be identified in most…
As of May 2022, the coronavirus disease 2019 (COVID-19) still has a severe global impact on people's lives. Previous studies have reported that COVID-19 decreased the electricity demand in early 2020. However, our study found that the…
This paper studies nonparametric identification and counterfactual bounds for heterogeneous firms that can be ranked in terms of productivity. Our approach works when quantities and prices are latent, rendering standard approaches…
We study identifiability of the parameters in autoregressions defined on a network. Most identification conditions that are available for these models either rely on the network being observed repeatedly, are only sufficient, or require…