计量经济学

Modern empirical work in Regression Discontinuity (RD) designs often employs local polynomial estimation and inference with a mean square error (MSE) optimal bandwidth choice. This bandwidth yields an MSE-optimal RD treatment effect…

The policy relevant treatment effect (PRTE) measures the average effect of switching from a status-quo policy to a counterfactual policy. Estimation of the PRTE involves estimation of multiple preliminary parameters, including propensity…

Standard inference about a scalar parameter estimated via GMM amounts to applying a t-test to a particular set of observations. If the number of observations is not very large, then moderately heavy tails can lead to poor behavior of the…

We propose a modification of the classical Black-Derman-Toy (BDT) interest rate tree model, which includes the possibility of a jump with small probability at each step to a practically zero interest rate. The corresponding BDT algorithms…

We study the foundations of empirical equilibrium, a refinement of Nash equilibrium that is based on a non-parametric characterization of empirical distributions of behavior in games (Velez and Brown,2020b arXiv:1907.12408). The refinement…

In this paper, we model the trajectory of the cumulative confirmed cases and deaths of COVID-19 (in log scale) via a piecewise linear trend model. The model naturally captures the phase transitions of the epidemic growth rate via…

This paper develops an empirical balancing approach for the estimation of treatment effects under two-sided noncompliance using a binary conditionally independent instrumental variable. The method weighs both treatment and outcome…

In this paper, we test the contribution of foreign management on firms' competitiveness. We use a novel dataset on the careers of 165,084 managers employed by 13,106 companies in the United Kingdom in the period 2009-2017. We find that…

This paper presents a novel estimator of orthogonal GARCH models, which combines (eigenvalue and -vector) targeting estimation with stepwise (univariate) estimation. We denote this the spectral targeting estimator. This two-step estimator…

We study identification and estimation in the Regression Discontinuity Design (RDD) with a multivalued treatment variable. We also allow for the inclusion of covariates. We show that without additional information, treatment effects are not…

Partial identification approaches are a flexible and robust alternative to standard point-identification approaches in general instrumental variable models. However, this flexibility comes at the cost of a ``curse of cardinality'': the…

In economic development, there are often regions that share similar economic characteristics, and economic models on such regions tend to have similar covariate effects. In this paper, we propose a Bayesian clustered regression for…

Instrumental variables (IV) regression is a popular method for the estimation of the endogenous treatment effects. Conventional IV methods require all the instruments are relevant and valid. However, this is impractical especially in…

This paper addresses inference in large panel data models in the presence of both cross-sectional and temporal dependence of unknown form. We are interested in making inferences that do not rely on the choice of any smoothing parameter as…

Becker (1973) presents a bilateral matching model in which scalar types describe agents. For this framework, he establishes the conditions under which positive sorting between agents' attributes is the unique market outcome. Becker's…

We provide evidence that many narrative shocks used by prominent literature are persistent. We show that the two leading methods to estimate impulse responses to an independently identified shock (local projections and distributed lag…

An asset pricing model using long-run capital share growth risk has recently been found to successfully explain U.S. stock returns. Our paper adopts a recursive preference utility framework to derive an heterogeneous asset pricing model…

In this paper, we study the trending behaviour of COVID-19 data at country level, and draw attention to some existing econometric tools which are potentially helpful to understand the trend better in future studies. In our empirical study,…

Over the last couple of decades in the lending industry, financial disintermediation has occurred on a global scale. Traditionally, even for small supply of funds, banks would act as the conduit between the funds and the borrowers. It has…

A novel IV estimation method, that we term Locally Trimmed LS (LTLS), is developed which yields estimators with (mixed) Gaussian limit distributions in situations where the data may be weakly or strongly persistent. In particular, we allow…