Econometrics

This paper considers panel data models where the conditional quantiles of the dependent variables are additively separable as unknown functions of the regressors and the individual effects. We propose two estimators of the quantile partial…

Discrete Choice Experiments (DCE) have been widely used in health economics, environmental valuation, and other disciplines. However, there is a lack of resources disclosing the whole procedure of carrying out a DCE. This document aims to…

Quantile Factor Models (QFM) represent a new class of factor models for high-dimensional panel data. Unlike Approximate Factor Models (AFM), where only location-shifting factors can be extracted, QFM also allow to recover unobserved factors…

The paper proposes a quantile-regression inference framework for first-price auctions with symmetric risk-neutral bidders under the independent private-value paradigm. It is first shown that a private-value quantile regression generates a…

To estimate the dynamic effects of an absorbing treatment, researchers often use two-way fixed effects regressions that include leads and lags of the treatment. We show that in settings with variation in treatment timing across units, the…

This paper makes a selective survey on the recent development of the factor model and its application on statistical learnings. We focus on the perspective of the low-rank structure of factor models, and particularly draws attentions to…

Proper scoring rules are used to assess the out-of-sample accuracy of probabilistic forecasts, with different scoring rules rewarding distinct aspects of forecast performance. Herein, we re-investigate the practice of using proper scoring…

The paper proposes a parsimonious and flexible semiparametric quantile regression specification for asymmetric bidders within the independent private value framework. Asymmetry is parameterized using powers of a parent private value…

A long-standing question about consumer behavior is whether individuals' observed purchase decisions satisfy the revealed preference (RP) axioms of the utility maximization theory (UMT). Researchers using survey or experimental panel data…

We address the issue of semiparametric efficiency in the bivariate regression problem with a highly persistent predictor, where the joint distribution of the innovations is regarded an infinite-dimensional nuisance parameter. Using a…

This paper studies the semi-parametric identification and estimation of a rational inattention model with Bayesian persuasion. The identification requires the observation of a cross-section of market-level outcomes. The empirical content of…

This paper investigates asset allocation problems when returns are predictable. We introduce a market-timing Bayesian hierarchical (BH) approach that adopts heterogeneous time-varying coefficients driven by lagged fundamental…

We propose a new class of unit root tests that exploits invariance properties in the Locally Asymptotically Brownian Functional limit experiment associated to the unit root model. The invariance structures naturally suggest tests that are…

We propose forecast encompassing tests for the Expected Shortfall (ES) jointly with the Value at Risk (VaR) based on flexible link (or combination) functions. Our setup allows testing encompassing for convex forecast combinations and for…

This paper derives identification, estimation, and inference results using spatial differencing in sample selection models with unobserved heterogeneity. We show that under the assumption of smooth changes across space of the unobserved…

In line with the recent policy discussion on the use of macroprudential measures to respond to cross-border risks arising from capital flows, this paper tries to quantify to what extent macroprudential policies (MPPs) have been able to…

Assessing sampling uncertainty in extremum estimation can be challenging when the asymptotic variance is not analytically tractable. Bootstrap inference offers a feasible solution but can be computationally costly especially when the model…

A unit root test is proposed for time series with a general nonlinear deterministic trend component. It is shown that asymptotically the pooled OLS estimator of overlapping blocks filters out any trend component that satisfies some…

This paper proposes a Bayesian approach to perform inference regarding the size of hidden populations at analytical region using reported statistics. To do so, we propose a specification taking into account one-sided error components and…

Understanding disaggregate channels in the transmission of monetary policy is of crucial importance for effectively implementing policy measures. We extend the empirical econometric literature on the role of production networks in the…