Related papers: Understanding Cross-sectional Dependence in Panel …
To detect changes in the mean of a time series, one may use previsible detection procedures based on nonparametric kernel prediction smoothers which cover various classic detection statistics as special cases. Bandwidth selection,…
When studying treatment effects in multilevel studies, investigators commonly use (semi-)parametric estimators, which make strong parametric assumptions about the outcome, the treatment, and/or the correlation structure between study units…
We consider the problem of testing for long-range dependence in time-varying coefficient regression models, where the covariates and errors are locally stationary, allowing complex temporal dynamics and heteroscedasticity. We develop KPSS,…
Indirect Inference (I-I) estimation of structural parameters $\theta$ {{requires matching observed and simulated statistics, which are most often generated using an auxiliary model that depends on instrumental parameters $\beta$.}} {The…
This article studies the estimation of the causal effect of a time-varying treatment on time-to-an-event or on some other continuously distributed outcome. The paper applies to the situation where treatment is repeatedly adapted to…
This paper considers the estimation of treatment effects in randomized experiments with complex experimental designs, including cases with interference between units. We develop a design-based estimation theory for arbitrary experimental…
The past 20 years have brought fundamental advances in modeling unobserved heterogeneity in panel data. Interactive Fixed Effects (IFE) proved to be a foundational framework, generalizing the standard one-way and two-way fixed effects…
We propose an estimator of the kernel-based conditional mean dependence measure obtained from an appropriate modification of a naive estimator based on usual empirical estimators. We then get asymptotic normality of this estimator both…
This paper introduces a new fixed effects estimator for linear panel data models with clustered time patterns of unobserved heterogeneity. The method avoids non-convex and combinatorial optimization by combining a preliminary consistent…
In this paper, we introduce quantile coherency to measure general dependence structures emerging in the joint distribution in the frequency domain and argue that this type of dependence is natural for economic time series but remains…
Asymptotic properties of statistical estimators play a significant role both in practice and in theory. However, many asymptotic results in statistics rely heavily on the independent and identically distributed (iid) assumption, which is…
In this article, we study the statistical and asymptotic properties of break-point estimators in nonstationary autoregressive and predictive regression models for testing the presence of a single structural break at an unknown location in…
We study nonasymptotic (finite-sample) confidence intervals for treatment effects in randomized experiments. In the existing literature, the effective sample sizes of nonasymptotic confidence intervals tend to be looser than the…
In panel experiments, we randomly assign units to different interventions, measuring their outcomes, and repeating the procedure in several periods. Using the potential outcomes framework, we define finite population dynamic causal effects…
Average partial effects (APEs) are often not point identified in panel models with unrestricted unobserved individual heterogeneity, such as a binary response panel model with fixed effects and logistic errors as a special case. This lack…
Bias correction can often improve the finite sample performance of estimators. We show that the choice of bias correction method has no effect on the higher-order variance of semiparametrically efficient parametric estimators, so long as…
In QM/MM indirect free energy simulation, QM/MM corrections can be obtained from integration of partial derivatives of alchemical Hamiltonians or from perturbation-based estimators including free energy perturbation (FEP) and acceptance…
Penalized estimation principle is fundamental to high-dimensional problems. In the literature, it has been extensively and successfully applied to various models with only structural parameters. As a contrast, in this paper, we apply this…
This paper provides estimation and inference methods for a conditional average treatment effects (CATE) characterized by a high-dimensional parameter in both homogeneous cross-sectional and unit-heterogeneous dynamic panel data settings. In…
We consider a general statistical estimation problem wherein binary labels across different observations are not independent conditioned on their feature vectors, but dependent, capturing settings where e.g. these observations are collected…