Econometrics
The relationship between democracy and economic growth is of long-standing interest. We revisit the panel data analysis of this relationship by Acemoglu, Naidu, Restrepo and Robinson (forthcoming) using state of the art econometric methods.…
A method for implicit variable selection in mixture of experts frameworks is proposed. We introduce a prior structure where information is taken from a set of independent covariates. Robust class membership predictors are identified using a…
This study investigates the dose-response effects of making music on youth development. Identification is based on the conditional independence assumption and estimation is implemented using a recent double machine learning estimator. The…
This paper introduces a flexible regularization approach that reduces point estimation risk of group means stemming from e.g. categorical regressors, (quasi-)experimental data or panel data models. The loss function is penalized by adding…
International trade research plays an important role to inform trade policy and shed light on wider issues relating to poverty, development, migration, productivity, and economy. With recent advances in information technology, global and…
Geography, including climatic factors, have long been considered potentially important elements in shaping socio-economic activities, alongside other determinants, such as institutions. Here we demonstrate that geography and climate…
We propose simultaneous mean-variance regression for the linear estimation and approximation of conditional mean functions. In the presence of heteroskedasticity of unknown form, our method accounts for varying dispersion in the regression…
Predicting future successful designs and corresponding market opportunity is a fundamental goal of product design firms. There is accordingly a long history of quantitative approaches that aim to capture diverse consumer preferences, and…
In many applications common in testing for convergence the number of cross-sectional units is large and the number of time periods are few. In these situations asymptotic tests based on an omnibus null hypothesis are characterised by a…
There has been considerable interest in the electrification of freight transport, particularly heavy-duty trucks to downscale the greenhouse-gas (GHG) emissions from the transportation sector. However, the economic competitiveness of…
We develop a uniform test for detecting and dating explosive behavior of a strictly stationary GARCH$(r,s)$ (generalized autoregressive conditional heteroskedasticity) process. Namely, we test the null hypothesis of a globally stable GARCH…
We generalize the approach of Carlier (2001) and provide an existence proof for the multidimensional screening problem with general nonlinear preferences. We first formulate the principal's problem as a maximization problem with…
Kitamura and Stoye (2014) develop a nonparametric test for linear inequality constraints, when these are are represented as vertices of a polyhedron instead of its faces. They implement this test for an application to nonparametric tests of…
In this paper we aim to improve existing empirical exchange rate models by accounting for uncertainty with respect to the underlying structural representation. Within a flexible Bayesian non-linear time series framework, our modeling…
We develop a novel continuous-time asymptotic framework for inference on whether the predictive ability of a given forecast model remains stable over time. We formally define forecast instability from the economic forecaster's perspective…
We consider continuous-time models with a large panel of moment conditions, where the structural parameter depends on a set of characteristics, whose effects are of interest. The leading example is the linear factor model in financial…
This paper studies a fixed-design residual bootstrap method for the two-step estimator of Francq and Zako\"ian (2015) associated with the conditional Expected Shortfall. For a general class of volatility models the bootstrap is shown to be…
This paper studies model selection in semiparametric econometric models. It develops a consistent series-based model selection procedure based on a Bayesian Information Criterion (BIC) type criterion to select between several classes of…
This paper develops a new model and estimation procedure for panel data that allows us to identify heterogeneous structural breaks. We model individual heterogeneity using a grouped pattern. For each group, we allow common structural breaks…
Constraining the maximum likelihood density estimator to satisfy a sufficiently strong constraint, $\log-$concavity being a common example, has the effect of restoring consistency without requiring additional parameters. Since many results…