计量经济学

In this paper, we estimate the time-varying COVID-19 contact rate of a Susceptible-Infected-Recovered (SIR) model. Our measurement of the contact rate is constructed using data on actively infected, recovered and deceased cases. We propose…

We propose a novel conditional quantile prediction method based on complete subset averaging (CSA) for quantile regressions. All models under consideration are potentially misspecified and the dimension of regressors goes to infinity as the…

We propose a novel two-regime regression model where regime switching is driven by a vector of possibly unobservable factors. When the factors are latent, we estimate them by the principal component analysis of a panel data set. We show…

The effects of treatments are often heterogeneous, depending on the observable characteristics, and it is necessary to exploit such heterogeneity to devise individualized treatment rules (ITRs). Existing estimation methods of such ITRs…

Synchronization is a phenomenon in which a pair of fluctuations adjust their rhythms when interacting with each other. We measure the degree of synchronization between the U.S. dollar (USD) and euro exchange rates and between the USD and…

This paper studies identification and estimation of the average treatment effect on the treated (ATT) in difference-in-difference (DID) designs when the variable that classifies individuals into treatment and control groups (treatment…

This paper is concerned with the findings related to the robust first-stage F-statistic in the Monte Carlo analysis of Andrews (2018), who found in a heteroskedastic grouped-data design that even for very large values of the robust…

We develop a Bayesian approach to estimate weight matrices in spatial autoregressive (or spatial lag) models. Datasets in regional economic literature are typically characterized by a limited number of time periods T relative to spatial…

We develop a penalized two-pass regression with time-varying factor loadings. The penalization in the first pass enforces sparsity for the time-variation drivers while also maintaining compatibility with the no-arbitrage restrictions by…

Difference-in-differences is one of the most used identification strategies in empirical work in economics. This chapter reviews a number of important, recent developments related to difference-in-differences. First, this chapter reviews…

This article contains new tools for studying the shape of the stationary distribution of sizes in a dynamic economic system in which units experience random multiplicative shocks and are occasionally reset. Each unit has a Markov-switching…

We study partial identification of the preference parameters in the one-to-one matching model with perfectly transferable utilities. We do so without imposing parametric distributional assumptions on the unobserved heterogeneity and with…

In this paper, we forecast euro area inflation and its main components using an econometric model which exploits a massive number of time series on survey expectations for the European Commission's Business and Consumer Survey. To make…

In this chapter, we review variance selection for time-varying parameter (TVP) models for univariate and multivariate time series within a Bayesian framework. We show how both continuous as well as discrete spike-and-slab shrinkage priors…

This paper proposes methods to investigate whether the bubble patterns observed in individual series are common to various series. We detect the non-linear dynamics using the recent mixed causal and noncausal models. Both a likelihood ratio…

This paper uses predictive densities obtained via mixed causal-noncausal autoregressive models to evaluate the statistical sustainability of Brazilian inflation targeting system with the tolerance bounds. The probabilities give an…

This paper considers (partial) identification of a variety of counterfactual parameters in binary response models with possibly endogenous regressors. Our framework allows for nonseparable index functions with multi-dimensional latent…

In this paper we present ppmlhdfe, a new Stata command for estimation of (pseudo) Poisson regression models with multiple high-dimensional fixed effects (HDFE). Estimation is implemented using a modified version of the iteratively…

In this paper we propose a new time-varying econometric model, called Time-Varying Poisson AutoRegressive with eXogenous covariates (TV-PARX), suited to model and forecast time series of counts. {We show that the score-driven framework is…

We show by simulation that the test for an unknown threshold in models with endogenous regressors - proposed in Caner and Hansen (2004) - can exhibit severe size distortions both in small and in moderately large samples, pertinent to…