计量经济学

Matrix completion is the study of recovering an underlying matrix from a sparse subset of noisy observations. Traditionally, it is assumed that the entries of the matrix are "missing completely at random" (MCAR), i.e., each entry is…

This paper extends the identification results in Nevo and Rosen (2012) to nonparametric models. We derive nonparametric bounds on the average treatment effect when an imperfect instrument is available. As in Nevo and Rosen (2012), we assume…

In this paper, we write the time-varying parameter (TVP) regression model involving K explanatory variables and T observations as a constant coefficient regression model with KT explanatory variables. In contrast with much of the existing…

Ineffective fundraising lowers the resources charities can use to provide goods. We combine a field experiment and a causal machine-learning approach to increase a charity's fundraising effectiveness. The approach optimally targets a…

The forecast combination puzzle is often found in literature: The equal-weight scheme tends to outperform sophisticated methods of combining individual forecasts. Exploiting this finding, we propose a hedge egalitarian committees algorithm…

This paper demonstrates the potentials of the long short-term memory (LSTM) when applyingwith macroeconomic time series data sampled at different frequencies. We first present how theconventional LSTM model can be adapted to the time series…

The maximum utility estimation proposed by Elliott and Lieli (2013) can be viewed as cost-sensitive binary classification; thus, its in-sample overfitting issue is similar to that of perceptron learning. A utility-maximizing prediction rule…

This paper proposes the development of an index to assess rural development based on a set of 25 demographic, economic, environmental, and social welfare indicators previously selected through a Delphi approach. Three widely accepted…

While a substantial literature on structural break change point analysis exists for univariate time series, research on large panel data models has not been as extensive. In this paper, a novel method for estimating panel models with…

We propose a route choice model in which traveler behavior is represented as a utility maximizing assignment of flow across an entire network under a flow conservation constraint}. Substitution between routes depends on how much they…

Inference and testing in general point process models such as the Hawkes model is predominantly based on asymptotic approximations for likelihood-based estimators and tests. As an alternative, and to improve finite sample performance, this…

This paper develops a uniformly valid and asymptotically nonconservative test based on projection for a class of shape restrictions. The key insight we exploit is that these restrictions form convex cones, a simple and yet elegant structure…

We provide adaptive confidence intervals on a parameter of interest in the presence of nuisance parameters when some of the nuisance parameters have known signs. The confidence intervals are adaptive in the sense that they tend to be short…

This paper provides an introduction to structural estimation methods for matching markets with transferable utility.

We provide a novel inferential framework to estimate the exact affine Stone index (EASI) model, and analyze welfare implications due to price changes caused by taxes. Our inferential framework is based on a non-parametric specification of…

This survey is organized around three main topics: models, econometrics, and empirical applications. Section 2 presents the theoretical framework, introduces the concept of Markov Perfect Nash Equilibrium, discusses existence and…

There is an innate human tendency, one might call it the "league table mentality," to construct rankings. Schools, hospitals, sports teams, movies, and myriad other objects are ranked even though their inherent multi-dimensionality would…

In the stochastic volatility models for multivariate daily stock returns, it has been found that the estimates of parameters become unstable as the dimension of returns increases. To solve this problem, we focus on the factor structure of…

This paper considers the problem of testing whether there exists a non-negative solution to a possibly under-determined system of linear equations with known coefficients. This hypothesis testing problem arises naturally in a number of…

The evaluation of a multifaceted program against extreme poverty in different developing countries gave encouraging results, but with important heterogeneity between countries. This master thesis proposes to study this heterogeneity with a…