计量经济学
Estimation of causal effects using machine learning methods has become an active research field in econometrics. In this paper, we study the finite sample performance of meta-learners for estimation of heterogeneous treatment effects under…
We propose a test for a covariance matrix to have Kronecker Product Structure (KPS). KPS implies a reduced rank restriction on a certain transformation of the covariance matrix and the new procedure is an adaptation of the Kleibergen and…
The maximum-likelihood estimator of nonlinear panel data models with fixed effects is consistent but asymptotically-biased under rectangular-array asymptotics. The literature has thus far concentrated its effort on devising methods to…
We analyze the role of selection bias in generating the changes in the observed distribution of female hourly wages in the United States using CPS data for the years 1975 to 2020. We account for the selection bias from the employment…
We propose a robust method for constructing conditionally valid prediction intervals based on models for conditional distributions such as quantile and distribution regression. Our approach can be applied to important prediction problems…
We introduce new inference procedures for counterfactual and synthetic control methods for policy evaluation. We recast the causal inference problem as a counterfactual prediction and a structural breaks testing problem. This allows us to…
We propose a new class of financial volatility models, called the REcurrent Conditional Heteroskedastic (RECH) models, to improve both in-sample analysis and out-ofsample forecasting of the traditional conditional heteroskedastic models. In…
The Stochastic Volatility (SV) model and its variants are widely used in the financial sector while recurrent neural network (RNN) models are successfully used in many large-scale industrial applications of Deep Learning. Our article…
Integrated assessment models have become the primary tools for comparing climate policies that seek to reduce greenhouse gas emissions. Policy comparisons have often been performed by considering a planner who seeks to make optimal…
Suppose a researcher observes individuals within a county within a state. Given concerns about correlation across individuals, it is common to group observations into clusters and conduct inference treating observations across clusters as…
We provide general formulation of weak identification in semiparametric models and an efficiency concept. Weak identification occurs when a parameter is weakly regular, i.e., when it is locally homogeneous of degree zero. When this happens,…
Nonparametric random coefficient (RC)-density estimation has mostly been considered in the marginal density case under strict independence of RCs and covariates. This paper deals with the estimation of RC-densities conditional on a…
Price discrimination is a practice where firms utilize varying sensitivities to prices among consumers to increase profits. The welfare effects of price discrimination are not agreed on among economists, but identification of such actions…
We propose a simple dynamic model for estimating the relative contagiousness of two virus variants. Maximum likelihood estimation and inference is conveniently invariant to variation in the total number of cases over the sample period and…
I study identification, estimation and inference for spillover effects in experiments where units' outcomes may depend on the treatment assignments of other units within a group. I show that the commonly-used reduced-form linear-in-means…
In the paper, we propose two models of Artificial Intelligence (AI) patents in European Union (EU) countries addressing spatial and temporal behaviour. In particular, the models can quantitatively describe the interaction between countries…
Many economic variables feature changes in their conditional mean and volatility, and Time Varying Vector Autoregressive Models are often used to handle such complexity in the data. Unfortunately, when the number of series grows, they…
In this paper, we introduce a flexible and widely applicable nonparametric entropy-based testing procedure that can be used to assess the validity of simple hypotheses about a specific parametric population distribution. The testing…
This paper studies nonparametric identification in market level demand models for differentiated products with heterogeneous consumers. We consider a general class of models that allows for the individual specific coefficients to vary…
We propose a method for reporting how program evaluations reduce gaps between groups, such as the gender or Black-white gap. We first show that the reduction in disparities between groups can be written as the difference in conditional…