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We review the "production approach" to estimating markups, the ratio of price to marginal cost. The approach is uniquely scalable: it requires no model of consumer demand or market structure and applies broadly across firms, industries, and…

In this study, the prevalent methodology for design of the industrial policy in developing countries was critically assessed, and it was shown that the mechanism and content of classical method is fundamentally contradictory to the goals…

There is growing empirical evidence that firm heterogeneity is technologically non-neutral. This paper extends Gandhi et al.'s (2020) proxy variable framework for structurally identifying production functions to a more general case when…

Economists often rely on estimates of linear fixed effects models produced by other teams of researchers. Assessing the uncertainty in these estimates can be challenging. I propose a form of sample splitting for networks that partitions the…

In Hopenhayn's (1992) entry-exit model productivity is bounded, implying that the predicted firm size distribution cannot match the power law tail observable in the data. In this paper we remove the boundedness assumption and, in this more…

Financial market forecasting remains a formidable challenge despite the surge in computational capabilities and machine learning advancements. While numerous studies have underscored the precision of computer-generated market predictions,…

Whether or not stocks are predictable has been a topic of concern for decades.The efficient market hypothesis (EMH) says that it is difficult for investors to make extra profits by predicting stock prices, but this may not be true,…

This paper studies sensitivity analysis of Stochastic Frontier Models. We elaborate relaxations of the baseline assumptions in the Stochastic Frontier Models and characterize the identified set under this relaxations. Furthermore, we derive…

This paper defines theoretical lower bounds of uncertainty of observations of macroeconomic variables that depend on statistical moments and correlations of random values and volumes of market trades. Any econometric assessments of…

The expansion of global production networks has raised many important questions about the interdependence among countries and how future changes in the world economy are likely to affect the countries' positioning in global value chains. We…

Modern macroeconomic theories were unable to foresee the last Great Recession and could neither predict its prolonged duration nor the recovery rate. They are based on supply-demand equilibria that do not exist during recessionary shocks.…

Decision-making pipelines are generally characterized by tradeoffs among various risk functions. It is often desirable to manage such tradeoffs in a data-adaptive manner. As we demonstrate, if this is done naively, state-of-the art…

We address a dynamic pricing problem for airlines aiming to maximize expected revenue from selling cargo space on a single-leg flight. The cargo shipments' weight and volume are uncertain and their precise values remain unavailable at the…

We develop a general framework for estimating function-valued parameters under equality or inequality constraints in infinite-dimensional statistical models. Such constrained learning problems are common across many areas of statistics and…

Capturing the changing trade pattern is critical in customs fraud detection. As new goods are imported and novel frauds arise, a drift-aware fraud detection system is needed to detect both known frauds and unknown frauds within a limited…

Continuous time financial market models are often motivated as scaling limits of discrete time models. The objective of this paper is to establish such a connection for a robust framework. More specifically, we consider discrete time models…

This paper proposes a correlated random coefficient linear panel data model, where regressors can be correlated with time-varying and individual-specific random coefficients through both a fixed effect and a time-varying random shock. I…

Accurately extracting structured data from structure diagrams in financial announcements is of great practical importance for building financial knowledge graphs and further improving the efficiency of various financial applications. First,…

The bubble is a controversial and important issue. Many methods which based on the rational expectation have been proposed to detect the bubble. However, for some developing countries, epically China, the asset markets are so young that for…

International taxation rules are outdated, allowing multinationals to shift profits to tax havens. This paper examines how tax reforms affect profit shifting and cross-country welfare. We propose a model that separates real economic profits…