Econometrics
The lack of longitudinal studies of the relationship between the built environment and travel behavior has been widely discussed in the literature. This paper discusses how standard propensity score matching estimators can be extended to…
This paper provides a thorough analysis on the dynamic structures and predictability of China's Consumer Price Index (CPI-CN), with a comparison to those of the United States. Despite the differences in the two leading economies, both…
This paper deals with the time-varying high dimensional covariance matrix estimation. We propose two covariance matrix estimators corresponding with a time-varying approximate factor model and a time-varying approximate characteristic-based…
This paper introduces a version of the interdependent value model of Milgrom and Weber (1982), where the signals are given by an index gathering signal shifters observed by the econometrician and private ones specific to each bidders. The…
This paper considers estimation of large dynamic factor models with common and idiosyncratic trends by means of the Expectation Maximization algorithm, implemented jointly with the Kalman smoother. We show that, as the cross-sectional…
Strategic valuation of efficient and well-timed network investments under uncertain electricity market environment has become increasingly challenging, because there generally exist multiple interacting options in these investments, and…
When an individual purchases a home, they simultaneously purchase its structural features, its accessibility to work, and the neighborhood amenities. Some amenities, such as air quality, are measurable while others, such as the prestige or…
This paper studies the identifying content of the instrument monotonicity assumption of Imbens and Angrist (1994) on the distribution of potential outcomes in a model with a binary outcome, a binary treatment and an exogenous binary…
This paper analyzes identifiability properties of structural vector autoregressive moving average (SVARMA) models driven by independent and non-Gaussian shocks. It is well known, that SVARMA models driven by Gaussian errors are not…
International trade policies have recently garnered attention for limiting cross-border exchange of essential goods (e.g. steel, aluminum, soybeans, and beef). Since trade critically affects employment and wages, predicting future patterns…
High dimensional predictive regressions are useful in wide range of applications. However, the theory is mainly developed assuming that the model is stationary with time invariant parameters. This is at odds with the prevalent evidence for…
Triangular systems with nonadditively separable unobserved heterogeneity provide a theoretically appealing framework for the modelling of complex structural relationships. However, they are not commonly used in practice due to the need for…
In many macroeconomic applications, confidence intervals for impulse responses are constructed by estimating VAR models in levels - ignoring cointegration rank uncertainty. We investigate the consequences of ignoring this uncertainty. We…
This chapter covers different approaches to policy evaluation for assessing the causal effect of a treatment or intervention on an outcome of interest. As an introduction to causal inference, the discussion starts with the experimental…
We consider inference on the probability density of valuations in the first-price sealed-bid auctions model within the independent private value paradigm. We show the asymptotic normality of the two-step nonparametric estimator of Guerre,…
Regression quantiles have asymptotic variances that depend on the conditional densities of the response variable given regressors. This paper develops a new estimate of the asymptotic variance of regression quantiles that leads any…
We employ stochastic dynamic microsimulations to analyse and forecast the pension cost dependency ratio for England and Wales from 1991 to 2061, evaluating the impact of the ongoing state pension reforms and changes in international…
Many applications involve a censored dependent variable and an endogenous independent variable. Chernozhukov et al. (2015) introduced a censored quantile instrumental variable estimator (CQIV) for use in those applications, which has been…
This paper proposes several tests of restricted specification in nonparametric instrumental regression. Based on series estimators, test statistics are established that allow for tests of the general model against a parametric or…
The empirical analysis of discrete complete-information games has relied on behavioral restrictions in the form of solution concepts, such as Nash equilibrium. Choosing the right solution concept is crucial not just for identification of…