Econometrics
We study the impact of weak identification in discrete choice models, and provide insights into the determinants of identification strength in these models. Using these insights, we propose a novel test that can consistently detect weak…
We study deep neural networks and their use in semiparametric inference. We establish novel rates of convergence for deep feedforward neural nets. Our new rates are sufficiently fast (in some cases minimax optimal) to allow us to establish…
This study decomposes the bilateral trade flows using a three-dimensional panel data model. Under the scenario that all three dimensions diverge to infinity, we propose an estimation approach to identify the number of global shocks and…
UK GDP data is published with a lag time of more than a month and it is often adjusted for prior periods. This paper contemplates breaking away from the historic GDP measure to a more dynamic method using Bank Account, Cheque and Credit…
Recent advances in the literature have demonstrated that standard supervised learning algorithms are ill-suited for problems with endogenous explanatory variables. To correct for the endogeneity bias, many variants of nonparameteric…
We consider inference in models defined by approximate moment conditions. We show that near-optimal confidence intervals (CIs) can be formed by taking a generalized method of moments (GMM) estimator, and adding and subtracting the standard…
We analyze the properties of the Synthetic Control (SC) and related estimators when the pre-treatment fit is imperfect. In this framework, we show that these estimators are generally biased if treatment assignment is correlated with…
In this paper we investigate how the bootstrap can be applied to time series regressions when the volatility of the innovations is random and non-stationary. The volatility of many economic and financial time series displays persistent…
This paper provides tests for detecting sample selection in nonparametric conditional quantile functions. The first test is an omitted predictor test with the propensity score as the omitted variable. As with any omnibus test, in the case…
This paper is concerned with learning decision makers' preferences using data on observed choices from a finite set of risky alternatives. We propose a discrete choice model with unobserved heterogeneity in consideration sets and in…
Numerous empirical studies employ regression discontinuity designs with multiple cutoffs and heterogeneous treatments. A common practice is to normalize all the cutoffs to zero and estimate one effect. This procedure identifies the average…
Many schools in large urban districts have more applicants than seats. Centralized school assignment algorithms ration seats at over-subscribed schools using randomly assigned lottery numbers, non-lottery tie-breakers like test scores, or…
Network models represent a useful tool to describe the complex set of financial relationships among heterogeneous firms in the system. In this paper, we propose a new semiparametric model for temporal multilayer causal networks with both…
We introduce two models of non-parametric random utility for demand systems: the stochastic absolute risk aversion (SARA) model, and the stochastic safety-first (SSF) model. In each model, individual-level heterogeneity is characterized by…
Against the background of explosive growth in data volume, velocity, and variety, I investigate the origins of the term "Big Data". Its origins are a bit murky and hence intriguing, involving both academics and industry, statistics and…
This paper provides a set of methods for quantifying the robustness of treatment effects estimated using the unconfoundedness assumption (also known as selection on observables or conditional independence). Specifically, we estimate and do…
This paper examines the impact of climate shocks on 13 European economies analysing jointly business and financial cycles, in different phases and disentangling the effects for different sector channels. A Bayesian Panel Markov-switching…
This paper revisits the simple, but empirically salient, problem of inference on a real-valued parameter that is partially identified through upper and lower bounds with asymptotically normal estimators. A simple confidence interval is…
This paper constructs internationally consistent measures of macroeconomic uncertainty. Our econometric framework extracts uncertainty from revisions in data obtained from standardized national accounts. Applying our model to post-WWII…
Many studies use shift-share (or ``Bartik'') instruments, which average a set of shocks with exposure share weights. We provide a new econometric framework for shift-share instrumental variable (SSIV) regressions in which identification…