Econometrics

In this paper we propose two simple methods to estimate models of matching with transferable and separable utility introduced in Galichon and Salani\'e (2022). The first method is a minimum distance estimator that relies on the generalized…

Where do firms innovate? Mapping their locations and directions in technological space is challenging due to its high dimensionality. We propose a new method to characterize firms' inventive activities via topological data analysis (TDA)…

Artificial intelligence (AI) has achieved superhuman performance in a growing number of tasks, but understanding and explaining AI remain challenging. This paper clarifies the connections between machine-learning algorithms to develop AIs…

While causal models are robust in that they are prediction optimal under arbitrarily strong interventions, they may not be optimal when the interventions are bounded. We prove that the classical K-class estimator satisfies such optimality…

We define a class of pure exchange Edgeworth trading processes that under minimal assumptions converge to a stable set in the space of allocations, and characterise the Pareto set of these processes. Choosing a specific process belonging to…

We study the informational content of factor structures in discrete triangular systems. Factor structures have been employed in a variety of settings in cross sectional and panel data models, and in this paper we formally quantify their…

In linear econometric models with proportional selection on unobservables, omitted variable bias in estimated treatment effects are real roots of a cubic equation involving estimated parameters from a short and intermediate regression. The…

Identification of multinomial choice models is often established by using special covariates that have full support. This paper shows how these identification results can be extended to a large class of multinomial choice models when all…

Mixed-frequency Vector AutoRegressions (MF-VAR) model the dynamics between variables recorded at different frequencies. However, as the number of series and high-frequency observations per low-frequency period grow, MF-VARs suffer from the…

Subsidies are commonly used to encourage behaviors that can lead to short- or long-term benefits. Typical examples include subsidized job training programs and provisions of preventive health products, in which both behavioral responses and…

This paper introduces a Threshold Asymmetric Conditional Autoregressive Range (TACARR) formulation for modeling the daily price ranges of financial assets. It is assumed that the process generating the conditional expected ranges at each…

This paper provides a user's guide to the general theory of approximate randomization tests developed in Canay, Romano, and Shaikh (2017) when specialized to linear regressions with clustered data. An important feature of the methodology is…

To further develop the statistical inference problem for heterogeneous treatment effects, this paper builds on Breiman's (2001) random forest tree (RFT)and Wager et al.'s (2018) causal tree to parameterize the nonparametric problem using…

This paper studies the identification, estimation, and hypothesis testing problem in complete and incomplete economic models with testable assumptions. Testable assumptions ($A$) give strong and interpretable empirical content to the models…

In many longitudinal settings, economic theory does not guide practitioners on the type of restrictions that must be imposed to solve the rotational indeterminacy of factor-augmented linear models. We study this problem and offer several…

In this paper, we introduce the weighted-average quantile regression framework, $\int_0^1 q_{Y|X}(u)\psi(u)du = X'\beta$, where $Y$ is a dependent variable, $X$ is a vector of covariates, $q_{Y|X}$ is the quantile function of the…

Many panel data sets used for pseudo-poisson estimation of three-way gravity models are implicitly unbalanced because uninformative observations are redundant for the estimation. We show with real data as well as simulations that this…

I present a new estimation procedure for production functions with latent group structures. I consider production functions that are heterogeneous across groups but time-homogeneous within groups, and where the group membership of the firms…

Gross domestic product (GDP) is an important economic indicator that aggregates useful information to assist economic agents and policymakers in their decision-making process. In this context, GDP forecasting becomes a powerful decision…

We derive a risk lower bound in estimating the threshold parameter without knowing whether the threshold regression model is continuous or not. The bound goes to zero as the sample size $ n $ grows only at the cube root rate. Motivated by…