Related papers: Impulse response estimation via flexible local pro…
In this study, we focus on a generalized nonparametric scalar-on-function regression model for heterogeneously distributed and strongly mixing data. We provide almost complete convergence rates for the local linear estimator of the…
Tracking the build-up of financial vulnerabilities is a key component of financial stability policy. Due to the complexity of the financial system, this task is daunting, and there have been several proposals on how to manage this goal. One…
Demographic and health indicators may exhibit short or large short-term shocks; for example, armed conflicts, epidemics, or famines may cause shocks in period measures of life expectancy. Statistical models for estimating historical trends…
We calculate the back-reaction of long wavelength cosmological perturbations on a general relativistic measure of the local expansion rate of the Universe. Specifically, we consider a cosmological model in which matter is described by two…
Bayesian additive regression trees (BART) is a regression technique developed by Chipman et al. (2008). Its usefulness in standard regression settings has been clearly demonstrated, but it has not been applied to time series analysis as…
This paper studies a linear model for multidimensional panel data of three or more dimensions with unobserved interactive fixed-effects. The main estimator uses a Neyman-orthogonal approach, and requires two preliminary steps. First, the…
In tasks aiming for long-term returns, planning becomes essential. We study generative modeling for planning with datasets repurposed from offline reinforcement learning. Specifically, we identify temporal consistency in the absence of…
Do firm dynamics matter for the transmission of monetary policy? Empirically, the startup rate declines following a monetary contraction, while the exit rate increases, both of which reduce aggregate employment. I present a model that…
Bayesian regression trees are flexible non-parametric models that are well suited to many modern statistical regression problems. Many such tree models have been proposed, from the simple single- tree model to more complex tree ensembles.…
We introduce an offline nonparametric estimator for concave multi-asset propagator models based on a dataset of correlated price trajectories and metaorders. Compared to parametric models, our framework avoids parameter explosion in the…
The self-interaction force of dislocation curves in metals depends on the local arrangement of the atoms and on the nonlocal interaction between dislocation curve segments. While these nonlocal segment-segment interactions can be accurately…
We propose a computationally straightforward test for the linearity of a spatial interaction function. Such functions arise commonly, either as practitioner imposed specifications or due to optimizing behaviour by agents. Our conditional…
Dynamic logit models are popular tools in economics to measure state dependence. This paper introduces a new method to derive moment restrictions in a large class of such models with strictly exogenous regressors and fixed effects. We…
Standard models of asset price dynamics, such as geometric Brownian motion (see, for example, Osborne, 1959, Samuelson, 2016), do not formally incorporate investor inertia. This paper presents a two-stage framework for modelling this…
We consider a universe in which inflation commences because of a positive cosmological constant, the effect of which is progressively screened by the interaction between virtual gravitons that become trapped in the expansion of spacetime.…
When drawing causal inferences about the effects of multiple treatments on clustered survival outcomes using observational data, we need to address implications of the multilevel data structure, multiple treatments, censoring and unmeasured…
Trajectory estimation of maneuvering objects is applied in numerous tasks like navigation, path planning and visual tracking. Many previous works get impressive results in the strictly controlled condition with accurate prior statistics and…
This paper investigates how the cost of public debt shapes fiscal policy and its effect on the economy. Using U.S. historical data, I show that when servicing the debt creates a fiscal burden, the government responds to spending shocks by…
One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and financial variables, which has been shown to lead to significant improvements for forecasting, for example, by the…
I examine global dynamics in a monetary model with overlapping generations of finite-horizon agents and a binding lower bound on nominal interest rates. Debt targeting rules exacerbate the possibility of self-fulfilling liquidity traps, for…