Related papers: Quantile Random-Coefficient Regression with Intera…
This paper provides a method to construct simultaneous confidence bands for quantile functions and quantile effects in nonlinear network and panel models with unobserved two-way effects, strictly exogenous covariates, and possibly discrete…
Several studies have focused on the Realized Range Volatility, an estimator of the quadratic variation of financial prices, taking into account the impact of microstructure noise and jumps. However, none has considered direct modeling and…
Individuals or companies in a large social or financial network often display rather heterogeneous behaviors for various reasons. In this work, we propose a network vector autoregressive model with a latent group structure to model…
There is an increasing interest in estimating heterogeneity in causal effects in randomized and observational studies. However, little research has been conducted to understand heterogeneity in an instrumental variables study. In this work,…
Several studies of the Job Corps tend to nd more positive earnings effects for males than for females. This effect heterogeneity favouring males contrasts with the results of the majority of other training programmes' evaluations. Applying…
Strong empirical evidence from laboratory experiments, and more recently from population surveys, shows that individuals, when evaluating their situations, pay attention to whether they experience gains or losses, with losses weighing more…
I study peer effects that arise from irreversible decisions in the absence of a standard social equilibrium. I model a latent sequence of decisions in continuous time and obtain a closed-form expression for the likelihood, which allows to…
The fixed-effects model estimates the regressor effects on the mean of the response, which is inadequate to summarize the variable relationships in the presence of heteroscedasticity. In this paper, we adapt the asymmetric least squares…
Individuals do not respond uniformly to treatments, events, or interventions. Sociologists routinely partition samples into subgroups to explore how the effects of treatments vary by covariates like race, gender, and socioeconomic status.…
Distributional effects, captured by quantile frameworks, are well-received for characterizing heterogeneous impacts of economic factors across the unobserved relative ranks. Censored outcome, endogenous regressor and heteroskedastic error…
This paper considers a first-order autoregressive panel data model with individual-specific effects and heterogeneous autoregressive coefficients defined on the interval (-1,1], thus allowing for some of the individual processes to have…
Quantile regression provides a framework for modeling statistical quantities of interest other than the conditional mean. The regression methodology is well developed for linear models, but less so for nonparametric models. We consider…
Flexible estimation of heterogeneous treatment effects lies at the heart of many statistical challenges, such as personalized medicine and optimal resource allocation. In this paper, we develop a general class of two-step algorithms for…
We propose a novel approach for modeling multivariate longitudinal data in the presence of unobserved heterogeneity for the analysis of the Health and Retirement Study (HRS) data. Our proposal can be cast within the framework of linear…
The partial (ceteris paribus) effects of interest in nonlinear and interactive linear models are heterogeneous as they can vary dramatically with the underlying observed or unobserved covariates. Despite the apparent importance of…
This paper studies the unconditional effects of a general policy intervention, which includes location-scale shifts and simultaneous shifts as special cases. The location-scale shift is intended to study a counterfactual policy aimed at…
Fixed effect estimators of nonlinear panel data models suffer from the incidental parameter problem. This leads to two undesirable consequences in applied research: (1) point estimates are subject to large biases, and (2) confidence…
The quantification of treatment effects plays an important role in a wide range of applications, including policy making and bio-pharmaceutical research. In this article, we study the quantile treatment effect (QTE) while addressing two…
We propose a minimum distance estimation approach for quantile panel data models where unit effects may be correlated with covariates. This computationally efficient method involves two stages: first, computing quantile regression within…
This document offers a synthesis of recent economic literature on three interconnected areas of labor markets: informality, the effects of the minimum wage, and monopsony power. Through the consolidation and meta-analysis of findings from…