Econometrics

This paper extends the incomplete model of Haile and Tamer (2003) from static English auctions to sequential English auctions. Because bidders may wait for future opportunities, the static condition that bidders do not let rivals win at…

Regret is the cost of uncertainty in algorithmic decision-making. Quantifying regret typically requires computationally expensive simulation via Sample Average Approximation (SAA), with complexity $\mathcal{O}(Bn^{2}d^{3})$ in the number of…

Boundary discontinuity designs are used to learn about causal treatment effects along a continuous assignment boundary that splits units into control and treatment groups according to a bivariate location score. We analyze location-based…

Designing individualized allocation of treatments so as to maximize the equilibrium welfare of interacting agents has many policy-relevant applications. Focusing on sequential decision games of interacting agents, this paper develops a…

The film industry is characterized by significant financial uncertainty, where large production investments do not always guarantee commercial success. This study analyzes the relationship between release season, production budget, and…

This article introduces a framework for evaluating statistical decisions under both prior ambiguity and likelihood misspecification. We begin with an ambiguity set - a frequentist model that pairs a possibly misspecified likelihood with…

We show that some forms of p-hacking cannot be detected by examining the histogram of t-statistics or their p-values. Even when p-hacking is detectable, standard tests may lack power. We propose a novel test that detects every form of…

We give an order-explicit large deviation bound for the difference between a high-dimensional $U$-statistic and its H\'{a}jek projection. In particular, we show that any $U$-statistic of order $b$ on $n$ observations, with a $d$-dimensional…

We show, using three empirical applications, that linear regression estimates predicated on the assumption of sparsity are fragile in two ways. First, we document that different choices of the regressor matrix which do not impact ordinary…

Estimating a continuous functional $F: \X \to \R$ involves specifying $L_n^d$ nodes on $\X \subset \R^d$ for estimation and uniform inference. While asymptotically valid inference requires $L_n$ to increase with $n$, existing fixed-$L$…

This article develops a significance test for the Difference-in-Differences (DiD) estimator based on dual-margin randomization, in which both the treatment and time indicators are independently permuted to generate an empirical null…

Volatility estimation is a central problem in financial econometrics, but becomes particularly challenging when jump activity is high, a phenomenon observed empirically in highly traded financial securities. In this paper, we revisit the…

Accurate forecasting of exchange rates remains a persistent challenge, particularly for emerging economies such as Brazil, Russia, India, and China (BRIC). These series exhibit long memory and nonlinearity that conventional time series…

We study treatment-effect estimation using panel data. The treatment may be non-binary, non-absorbing, and the outcome may be affected by treatment lags. We make a parallel-trends assumption, and propose event-study estimators of the effect…

We construct moment functions that are Neyman-orthogonal to a chosen order in parametric moment condition models. These moment functions reduce sensitivity to nuisance estimation error and, as such, offer a unified and tractable route to…

Needless to say, linear dynamics are pervasive in economic time series, particularly autoregressive ones. While gradient boosting with trees excels at capturing nonlinearities, it is inefficient in small samples when much of the predictive…

Average forecast accuracy is not the same as forecast reliability. I treat forecast loss differentials relative to a benchmark as a return series. I then evaluate these returns using risk-adjusted performance measures from finance,…

This paper introduces the concept of Engineering Economy as a new paradigm for understanding and managing macroeconomic policy in middle-income countries seeking to escape the middle-income trap. Drawing on Turkiye's post-2001 economic…

This paper assesses whether NASA Black Marble nightlight intensity can serve as an early indicator of annual taxable income at the Italian municipal level, where official data are released with a 12--18 month lag. Using a panel of 7{,}631…

Empirical Bayes methods can improve inference on unobservable individual effects by borrowing strength across units. This paper proposes nonparametric empirical Bayes confidence intervals (NP-EBCIs) for unobservable individual effects in a…