Econometrics
This paper explores the estimation of a panel data model with cross-sectional interaction that is flexible both in its approach to specifying the network of connections between cross-sectional units, and in controlling for unobserved…
This paper studies sequential search models that (1) incorporate unobserved product quality, which can be correlated with endogenous observable characteristics (such as price) and endogenous search cost variables (such as product rankings…
It is widely accepted that women are underrepresented in academia in general and economics in particular. This paper introduces a test to detect an under-researched form of hiring bias: implicit quotas. I derive a test under the Null of…
We examine the impact of annual hours worked on annual earnings by decomposing changes in the real annual earnings distribution into composition, structural and hours effects. We do so via a nonseparable simultaneous model of hours, wages…
In this paper, we investigate binary response models for heterogeneous panel data with interactive fixed effects by allowing both the cross-sectional dimension and the temporal dimension to diverge. From a practical point of view, the…
This paper extends Becker (1957)'s outcome test of discrimination to settings where a (human or algorithmic) decision-maker produces a ranked list of candidates. Ranked lists are particularly relevant in the context of online platforms that…
We propose a dynamic network quantile regression model to investigate the quantile connectedness using a predetermined network information. We extend the existing network quantile autoregression model of Zhu et al. (2019b) by explicitly…
Many popular specifications for Vector Autoregressions (VARs) with multivariate stochastic volatility are not invariant to the way the variables are ordered due to the use of a Cholesky decomposition for the error covariance matrix. We show…
Large Bayesian VARs are now widely used in empirical macroeconomics. One popular shrinkage prior in this setting is the natural conjugate prior as it facilitates posterior simulation and leads to a range of useful analytical results. This…
This paper is devoted to testing for the explosive bubble under time-varying non-stationary volatility. Because the limiting distribution of the seminal Phillips et al. (2011) test depends on the variance function and usually requires a…
We obtain a canonical representation for block matrices. The representation facilitates simple computation of the determinant, the matrix inverse, and other powers of a block matrix, as well as the matrix logarithm and the matrix…
A recent econometric literature has critiqued the use of regression discontinuities where administrative borders serves as the 'cutoff'. Identification in this context is difficult since multiple treatments can change at the cutoff and…
We propose pair copula constructed point-optimal sign tests in the context of linear and nonlinear predictive regressions with endogenous, persistent regressors, and disturbances exhibiting serial (nonlinear) dependence. The proposed…
This paper introduces a novel Ito diffusion process to model high-frequency financial data, which can accommodate low-frequency volatility dynamics by embedding the discrete-time non-linear exponential GARCH structure with log-integrated…
In many fields where the main goal is to produce sequential forecasts for decision making problems, the good understanding of the contemporaneous relations among different series is crucial for the estimation of the covariance matrix. In…
We describe a (nonparametric) prediction algorithm for spatial data, based on a canonical factorization of the spectral density function. We provide theoretical results showing that the predictor has desirable asymptotic properties. Finite…
This paper develops bootstrap methods for practical statistical inference in panel data quantile regression models with fixed effects. We consider random-weighted bootstrap resampling and formally establish its validity for asymptotic…
Lack of skills is arguably one of the most important determinants of high levels of unemployment and poverty. In response, policymakers often initiate vocational training programs in effort to enhance skill formation among the youth. Using…
Precipitated by rapid globalization, rising inequality, population growth, and longevity gains, social protection programs have been on the rise in low- and middle-income countries (LMICs) in the last three decades. However, the…
Dealing with structural breaks is an important step in most, if not all, empirical economic research. This is particularly true in panel data comprised of many cross-sectional units, such as individuals, firms or countries, which are all…