Econometrics
The forecast combination puzzle is often found in literature: The equal-weight scheme tends to outperform sophisticated methods of combining individual forecasts. Exploiting this finding, we propose a hedge egalitarian committees algorithm…
This paper demonstrates the potentials of the long short-term memory (LSTM) when applyingwith macroeconomic time series data sampled at different frequencies. We first present how theconventional LSTM model can be adapted to the time series…
The maximum utility estimation proposed by Elliott and Lieli (2013) can be viewed as cost-sensitive binary classification; thus, its in-sample overfitting issue is similar to that of perceptron learning. A utility-maximizing prediction rule…
This paper proposes the development of an index to assess rural development based on a set of 25 demographic, economic, environmental, and social welfare indicators previously selected through a Delphi approach. Three widely accepted…
While a substantial literature on structural break change point analysis exists for univariate time series, research on large panel data models has not been as extensive. In this paper, a novel method for estimating panel models with…
We propose a route choice model in which traveler behavior is represented as a utility maximizing assignment of flow across an entire network under a flow conservation constraint}. Substitution between routes depends on how much they…
Inference and testing in general point process models such as the Hawkes model is predominantly based on asymptotic approximations for likelihood-based estimators and tests. As an alternative, and to improve finite sample performance, this…
This paper develops a uniformly valid and asymptotically nonconservative test based on projection for a class of shape restrictions. The key insight we exploit is that these restrictions form convex cones, a simple and yet elegant structure…
We provide adaptive confidence intervals on a parameter of interest in the presence of nuisance parameters when some of the nuisance parameters have known signs. The confidence intervals are adaptive in the sense that they tend to be short…
This paper provides an introduction to structural estimation methods for matching markets with transferable utility.
We provide a novel inferential framework to estimate the exact affine Stone index (EASI) model, and analyze welfare implications due to price changes caused by taxes. Our inferential framework is based on a non-parametric specification of…
This survey is organized around three main topics: models, econometrics, and empirical applications. Section 2 presents the theoretical framework, introduces the concept of Markov Perfect Nash Equilibrium, discusses existence and…
There is an innate human tendency, one might call it the "league table mentality," to construct rankings. Schools, hospitals, sports teams, movies, and myriad other objects are ranked even though their inherent multi-dimensionality would…
In the stochastic volatility models for multivariate daily stock returns, it has been found that the estimates of parameters become unstable as the dimension of returns increases. To solve this problem, we focus on the factor structure of…
This paper considers the problem of testing whether there exists a non-negative solution to a possibly under-determined system of linear equations with known coefficients. This hypothesis testing problem arises naturally in a number of…
The evaluation of a multifaceted program against extreme poverty in different developing countries gave encouraging results, but with important heterogeneity between countries. This master thesis proposes to study this heterogeneity with a…
Truncated conditional expectation functions are objects of interest in a wide range of economic applications, including income inequality measurement, financial risk management, and impact evaluation. They typically involve truncating the…
Within the national innovation system literature, empirical analyses are severely lacking for developing economies. Particularly, the low- and middle-income countries (LMICs) eligible for the World Bank's International Development…
We provide new identification results for panel data models with peer effects operating through unobserved individual heterogeneity. The results apply for general network structures governing peer interactions and allow for correlated…
The instrumental variable quantile regression (IVQR) model (Chernozhukov and Hansen, 2005) is a popular tool for estimating causal quantile effects with endogenous covariates. However, estimation is complicated by the non-smoothness and…