Related papers: Specification testing with grouped fixed effects
The participants in randomized trials and other studies used for causal inference are often not representative of the populations seen by clinical decision-makers. To account for differences between populations, researchers may consider…
We incorporate a version of a spike and slab prior, comprising a pointmass at zero ("spike") and a Normal distribution around zero ("slab") into a dynamic panel data framework to model coefficient heterogeneity. In addition to homogeneity…
We want to reconstruct a signal based on inhomogeneous data (the amount of data can vary strongly), using the model of regression with a random design. Our aim is to understand the consequences of inhomogeneity on the accuracy of estimation…
We study the application of the grouped fixed effects approach to binary choice models for panel data in presence of severe complete separation. Through data loss, complete separation may lead to biased estimates of Average Partial Effects…
We introduce a two-parameter ensemble of random discrete-time Markov models that simultaneously captures critical slowing down and broken detailed balance. Extending a previously studied heterogeneous Markov ensemble, we incorporate…
In this paper, we study change-point testing for high-dimensional linear models, an important problem that has not been well explored in the literature. Specifically, we propose a quadratic-form cumulative sum (CUSUM) statistic to test the…
Statistical inference for stochastic processes with time-varying spectral characteristics has received considerable attention in recent decades. We develop a nonparametric test for stationarity against the alternative of a smoothly…
We derive fixed effects estimators of parameters and average partial effects in (possibly dynamic) nonlinear panel data models with individual and time effects. They cover logit, probit, ordered probit, Poisson and Tobit models that are…
We provide uniform convergence rates for kernel averages on $[0,1]$ under equally-spaced fixed design points of the form $x_{t,T}=t/T,\ t\in\{1,\dotsc, T\},\ T\in\mathbb{N}$. The rates of weak and strong uniform consistency are derived…
This paper studies a class of linear panel models with random coefficients. We do not restrict the joint distribution of the time-invariant unobserved heterogeneity and the covariates. We investigate identification of the average partial…
This paper considers two-sided tests for the parameter of an endogenous variable in an instrumental variable (IV) model with heteroskedastic and autocorrelated errors. We develop the finite-sample theory of weighted-average power (WAP)…
We provide new results for nonparametric identification, estimation, and inference of causal effects using `proxy controls': observables that are noisy but informative proxies for unobserved confounding factors. Our analysis applies to…
A sensitivity analysis in an observational study tests whether the qualitative conclusions of an analysis would change if we were to allow for the possibility of limited bias due to confounding. The design sensitivity of a hypothesis test…
We study the effect of small-scale inhomogeneities for Einstein clusters. We construct a spherically symmetric stationary spacetime with small-scale radial inhomogeneities and propose the Gedankenexperiment. An hypothetical observer at the…
We study two-way-fixed-effects regressions (TWFE) with several treatment variables. Under a parallel trends assumption, we show that the coefficient on each treatment identifies a weighted sum of that treatment's effect, with possibly…
We study the problem of testing for the presence of random effects in mixed models with high-dimensional fixed effects. To this end, we propose a rank-based graph-theoretic approach to test whether a collection of random effects is zero.…
This paper proposes a method for estimating multiple change points in panel data models with unobserved individual effects via ordinary least-squares (OLS). Typically, in this setting, the OLS slope estimators are inconsistent due to the…
One size fits all approaches to medicine have become a thing of the past as the understanding of individual differences grows. The paper introduces a test for the presence of heterogeneity in treatment effects in a clinical trial.…
Products manufactured from the same batch or utilized in the same region often exhibit correlated lifetime observations due to the latent heterogeneity caused by the influence of shared but unobserved covariates. The unavailable…
To estimate the dynamic effects of an absorbing treatment, researchers often use two-way fixed effects regressions that include leads and lags of the treatment. We show that in settings with variation in treatment timing across units, the…