Related papers: Wild inference for wild SVARs with application to …

Reliable inference for spatial regression remains challenging because it requires the correct specification of the spatial dependence structure, the mean trend, and the error distribution. Existing parametric testing methods rely on…

We rigorously extend the widely used wild bootstrap resampling technique to the multivariate Nelson-Aalen estimator under Aalen's multiplicative intensity model. Aalen's model covers general Markovian multistate models including competing…

This paper focuses on the bootstrap for network dependent processes under the conditional $\psi$-weak dependence. Such processes are distinct from other forms of random fields studied in the statistics and econometrics literature so that…

We incorporate heteroskedasticity into Bayesian Additive Regression Trees (BART) by modeling the log of the error variance parameter as a linear function of prespecified covariates. Under this scheme, the Gibbs sampling procedure for the…

I introduce a high-dimensional Bayesian vector autoregressive (BVAR) framework designed to estimate the effects of conventional monetary policy shocks. The model captures structural shocks as latent factors, enabling computationally…

Stochastic variational inference makes it possible to approximate posterior distributions induced by large datasets quickly using stochastic optimization. The algorithm relies on the use of fully factorized variational distributions.…

Instrumental variable (IV) methods are widely used to infer treatment effects in the presence of unmeasured confounding. In this paper, we study nonparametric inference with an IV under a separable binary treatment choice model, which…

We introduce a nonparametric nonlinear VAR prewhitened long-run variance (LRV) estimator for the construction of standard errors robust to autocorrelation and heteroskedasticity that can be used for hypothesis testing in a variety of…

Heteroskedastic errors can lead to inaccurate statistical conclusions if they are not properly handled. We introduce a test for heteroskedasticity for the nonparametric regression model with multiple covariates. It is based on a suitable…

This paper proposes methods for likelihood-based inference in multivariate linear regressions when the correlation matrix of the responses is separable; that is, it has a Kronecker product structure, but the variances are unrestricted. The…

We propose a difference-based nonparametric methodology for the estimation and inference of the time-varying auto-covariance functions of a locally stationary time series when it is contaminated by a complex trend with both abrupt and…

This paper presents an efficient variational inference framework for deriving a family of structured gaussian process regression network (SGPRN) models. The key idea is to incorporate auxiliary inducing variables in latent functions and…

For the over-identified linear instrumental variables model, researchers commonly report the 2SLS estimate along with the robust standard error and seek to conduct inference with these quantities. If errors are homoskedastic, one can…

We consider the double functional nonparametric regression model $Y=r(X)+\epsilon$, where the response variable $Y$ is Hilbert space-valued and the covariate $X$ takes values in a pseudometric space. The data satisfy an ergodicity criterion…

When in proxy-SVARs the covariance matrix of VAR disturbances is subject to exogenous, permanent breaks that cause IRFs to change across volatility regimes, even strong, exogenous external instruments yield inconsistent estimates of the…

We provide computationally attractive methods to obtain jackknife-based cluster-robust variance matrix estimators (CRVEs) for linear regression models estimated by least squares. We also propose several new variants of the wild cluster…

We propose a regularized factor-augmented vector autoregressive (FAVAR) model that allows for sparsity in the factor loadings. In this framework, factors may only load on a subset of variables which simplifies the factor identification and…

This paper introduces a novel process for both factor and idiosyncratic volatility matrices whose eigenvalues follow the vector auto-regressive (VAR) model. We call it the factor and idiosyncratic VAR (FIVAR) model. The FIVAR model accounts…

We reconcile the two worlds of dense and sparse modeling by exploiting the positive aspects of both. We employ a factor model and assume {the dynamic of the factors is non-pervasive while} the idiosyncratic term follows a sparse vector…

Objective: Our aim is to determine if data collected with inertial measurement units (IMUs) during steady-state running could be used to estimate ground reaction forces (GRFs) and to derive biomechanical variables (e.g., contact time,…