Econometrics
In this paper, we are interested in testing if the volatility process is constant or not during a given time span by using high-frequency data with the presence of jumps and microstructure noise. Based on estimators of integrated volatility…
This note discusses two recent studies on identification of individualized treatment rules using instrumental variables---Cui and Tchetgen Tchetgen (2020) and Qiu et al. (2020). It also proposes identifying assumptions that are alternative…
In the single IV model, current practice relies on the first-stage F exceeding some threshold (e.g., 10) as a criterion for trusting t-ratio inferences, even though this yields an anti-conservative test. We show that a true 5 percent test…
We consider the problem of regression with selectively observed covariates in a nonparametric framework. Our approach relies on instrumental variables that explain variation in the latent covariates but have no direct effect on selection.…
We study the identification of channels of policy reforms with multiple treatments and different types of selection for each treatment. We disentangle reform effects into policy effects, selection effects, and time effects under the…
Contribution of this paper lies in the formulation and estimation of a generalized model for stochastic frontier analysis (SFA) that nests virtually all forms used and includes some that have not been considered so far. The model is based…
We propose a novel approach for causal mediation analysis based on changes-in-changes assumptions restricting unobserved heterogeneity over time. This allows disentangling the causal effect of a binary treatment on a continuous outcome into…
Several studies of the Job Corps tend to nd more positive earnings effects for males than for females. This effect heterogeneity favouring males contrasts with the results of the majority of other training programmes' evaluations. Applying…
We systematically investigate the effect heterogeneity of job search programmes for unemployed workers. To investigate possibly heterogeneous employment effects, we combine non-experimental causal empirical models with Lasso-type…
Consider a bipartite network where $N$ consumers choose to buy or not to buy $M$ different products. This paper considers the properties of the logistic regression of the $N\times M$ array of i-buys-j purchase decisions,…
I introduce a generic method for inference about a scalar parameter in research designs with a finite number of heterogeneous clusters where only a single cluster received treatment. This situation is commonplace in…
We investigate the nature and extent of reallocation occurring within the Indian income distribution, with a particular focus on the dynamics of the bottom of the distribution. Specifically, we use a stochastic model of Geometric Brownian…
Although stochastic volatility and GARCH (generalized autoregressive conditional heteroscedasticity) models have successfully described the volatility dynamics of univariate asset returns, extending them to the multivariate models with…
This comment points out a serious flaw in the article "Gouri\'eroux, Monfort, Renne (2019): Identification and Estimation in Non-Fundamental Structural VARMA Models" with regard to mirroring complex-valued roots with Blaschke polynomial…
Multivariate dynamic time series models are widely encountered in practical studies, e.g., modelling policy transmission mechanism and measuring connectedness between economic agents. To better capture the dynamics, this paper proposes a…
In this paper, we estimate and leverage latent constant group structure to generate the point, set, and density forecasts for short dynamic panel data. We implement a nonparametric Bayesian approach to simultaneously identify coefficients…
An important goal of empirical demand analysis is choice and welfare prediction on counterfactual budget sets arising from potential policy-interventions. Such predictions are more credible when made without arbitrary…
This paper considers how the effect of job displacement varies across different individuals. In particular, our interest centers on features of the distribution of the individual-level effect of job displacement. Identifying features of…
We consider identification and estimation of nonseparable sample selection models with censored selection rules. We employ a control function approach and discuss different objects of interest based on (1) local effects conditional on the…
By exploiting McFadden (1974)'s results on conditional logit estimation, we show that there exists a one-to-one mapping between existence and uniqueness of conditional maximum likelihood estimates of the binary logit model with fixed…