Econometrics
In this paper, we investigate seemingly unrelated regression (SUR) models that allow the number of equations (N) to be large, and to be comparable to the number of the observations in each equation (T). It is well known in the literature…
We study the impact of oil price shocks on the U.S. stock market volatility. We jointly analyze three different structural oil market shocks (i.e., aggregate demand, oil supply, and oil-specific demand shocks) and stock market volatility…
The major perspective of this paper is to provide more evidence regarding how "quickly", in different macroeconomic states, companies adjust their capital structure to their leverage targets. This study extends the empirical research on the…
Finite mixture models are useful in applied econometrics. They can be used to model unobserved heterogeneity, which plays major roles in labor economics, industrial organization and other fields. Mixtures are also convenient in dealing with…
We develop a new statistical procedure to test whether the dependence structure is identical between two groups. Rather than relying on a single index such as Pearson's correlation coefficient or Kendall's Tau, we consider the entire…
Dynamic discrete choice models often discretize the state vector and restrict its dimension in order to achieve valid inference. I propose a novel two-stage estimator for the set-identified structural parameter that incorporates a…
Partial mean with generated regressors arises in several econometric problems, such as the distribution of potential outcomes with continuous treatments and the quantile structural function in a nonseparable triangular model. This paper…
Let Y be an outcome of interest, X a vector of treatment measures, and W a vector of pre-treatment control variables. Here X may include (combinations of) continuous, discrete, and/or non-mutually exclusive "treatments". Consider the linear…
In this paper, we study estimation of nonlinear models with cross sectional data using two-step generalized estimating equations (GEE) in the quasi-maximum likelihood estimation (QMLE) framework. In the interest of improving efficiency, we…
There is generally a need to deal with quality change and new goods in the consumer price index due to the underlying dynamic item universe. Traditionally axiomatic tests are defined for a fixed universe. We propose five tests explicitly…
The intention of this paper is to discuss the mathematical model of causality introduced by C.W.J. Granger in 1969. The Granger's model of causality has become well-known and often used in various econometric models describing causal…
This paper presents a new estimator of the intercept of a linear regression model in cases where the outcome varaible is observed subject to a selection rule. The intercept is often in this context of inherent interest; for example, in a…
Central to many inferential situations is the estimation of rational functions of parameters. The mainstream in statistics and econometrics estimates these quantities based on the plug-in approach without consideration of the main objective…
This article deals with asimple issue: if we have grouped data with a binary dependent variable and want to include fixed effects (group specific intercepts) in the specification, is Ordinary Least Squares (OLS) in any way superior to a…
The ongoing net neutrality debate has generated a lot of heated discussions on whether or not monetary interactions should be regulated between content and access providers. Among the several topics discussed, `differential pricing' has…
Time averaging has been the traditional approach to handle mixed sampling frequencies. However, it ignores information possibly embedded in high frequency. Mixed data sampling (MIDAS) regression models provide a concise way to utilize the…
Due to the increasing availability of high-dimensional empirical applications in many research disciplines, valid simultaneous inference becomes more and more important. For instance, high-dimensional settings might arise in economic…
The bootstrap is a method for estimating the distribution of an estimator or test statistic by re-sampling the data or a model estimated from the data. Under conditions that hold in a wide variety of econometric applications, the bootstrap…
Urban house prices are strongly associated with local socioeconomic factors. In literature, house price modeling is based on socioeconomic variables from traditional census, which is not real-time, dynamic and comprehensive. Inspired by the…
This paper presents a simple method for carrying out inference in a wide variety of possibly nonlinear IV models under weak assumptions. The method is non-asymptotic in the sense that it provides a finite sample bound on the difference…