Econometrics

Factor extraction from systems of variables with a large cross-sectional dimension, $N$, is often based on either Principal Components (PC)-based procedures, or Kalman filter (KF)-based procedures. Measuring the uncertainty of the extracted…

This paper proposes a formal framework for reverse stress testing geopolitical risk in corporate credit portfolios. A joint macro-financial scenario vector, augmented with an explicit geopolitical risk factor, is mapped into stressed…

This paper derives limit properties of nonparametric kernel regression estimators without requiring existence of density for regressors in $\mathbb{R}^{q}.$ In functional regression limit properties are established for multivariate…

Students from different socioeconomic backgrounds exhibit persistent gaps in test scores, gaps that can translate into unequal educational and labor-market outcomes later in life. In many assessments, performance reflects not only what…

Consider a setup in which a decision maker is informed about the population by a finite sample and based on that sample has to decide whether or not to apply a certain treatment. We work out finite sample minimax regret treatment rules…

We propose a new method to estimate structural parameters in multi-way networks while controlling for rich structures of fixed effects. The method is based on a series of classification tasks and is agnostic to both the number and structure…

In this paper, we study causal inference when the treatment variable is an aggregation of multiple sub-treatment variables. Researchers often report marginal causal effects for the aggregated treatment, implicitly assuming that the target…

In many applications, the parameter of interest involves a simplex-valued weight which is identified as a solution to an optimization problem. Examples include synthetic control methods with group-level weights and various methods of model…

Local polynomial density (LPD) estimators are widely used for inference on boundary features of the density function. Contrary to conventional wisdom, we show that kernel choice substantially affects efficiency. Theory, simulations, and…

Panel local projection (LP) with fixed-effects (FE) is widely adopted for evaluating the economic consequences of financial crises across countries. This paper highlights a fundamental methodological issue: the presence of the Nickell bias…

In a recent paper Juodis and Reese (2022) (JR) show that the application of the CD test proposed by Pesaran (2004) to residuals from panels with latent factors results in over-rejection. They propose a randomized test statistic to correct…

Text-based causal inference increasingly employs textual data as proxies for unobserved confounders, yet this approach introduces a previously undertheorized source of bias: treatment leakage. Treatment leakage occurs when text intended to…

We consider a generalized method of moments framework in which a part of the data vector is missing for some units in a completely unrestricted, potentially endogenous way. In this setup, the parameters of interest are usually only…

This paper proposes a framework to analyze the effects of counterfactual policies on the unconditional quantiles of an outcome variable. For a given counterfactual policy, we obtain identified sets for the effect of both marginal and global…

We devise a difference-in-difference study design to assess the impact of fare-free bus service in Alexandria, located in the Washington, DC metro area. Our surveys show modest to no effect, with at most 6% more residents in Alexandria…

Dynamic discrete choice (DDC) models have found widespread application in marketing. However, estimating these becomes challenging in "big data" settings with high-dimensional state-action spaces. To address this challenge, this paper…

The 2023 U.S. banking crisis propagated not through direct financial linkages but through a high-frequency, information-based contagion channel. This paper moves beyond exploration analysis to test the "too-similar-to-fail" hypothesis,…

This paper studies state-dependent local projections (LPs). First, I establish a general characterization of their estimand: under minimal assumptions, state-dependent LPs recover weighted averages of causal effects. This holds for…

Normal care units (NCU) placement affects health outcomes. NCUs in a hospital have different specialisations. There are patients that can potentially stay in multiple different NCUs. On a given day the NCUs are on different utilisation…

This paper introduces a Bayesian inference framework for incomplete structural models, termed distribution-matching posterior inference (DMPI). Extending the minimal econometric interpretation (MEI), DMPI constructs a divergence-based…