计量经济学

We combine high-dimensional factor models with fractional integration methods and derive models where nonstationary, potentially cointegrated data of different persistence is modelled as a function of common fractionally integrated factors.…

As we reach the apex of the COVID-19 pandemic, the most pressing question facing us is: can we even partially reopen the economy without risking a second wave? We first need to understand if shutting down the economy helped. And if it did,…

We provide a finite sample inference method for the structural parameters of a semiparametric binary response model under a conditional median restriction originally studied by Manski (1975, 1985). Our inference method is valid for any…

We propose a new semiparametric approach for modelling nonlinear univariate diffusions, where the observed process is a nonparametric transformation of an underlying parametric diffusion (UPD). This modelling strategy yields a general class…

This article proposes doubly robust estimators for the average treatment effect on the treated (ATT) in difference-in-differences (DID) research designs. In contrast to alternative DID estimators, the proposed estimators are consistent if…

Assessing the trend of the COVID-19 pandemic and policy effectiveness is essential for both policymakers and stock investors, but challenging because the crisis has unfolded with extreme speed and the previous index was not suitable for…

Causal mediation analysis aims at disentangling a treatment effect into an indirect mechanism operating through an intermediate outcome or mediator, as well as the direct effect of the treatment on the outcome of interest. However, the…

Can uncertainty about credit availability trigger a slowdown in real activity? This question is answered by using a novel method to identify shocks to uncertainty in access to credit. Time-variation in uncertainty about credit availability…

Datasets that are terabytes in size are increasingly common, but computer bottlenecks often frustrate a complete analysis of the data. While more data are better than less, diminishing returns suggest that we may not need terabytes of data…

In this paper we investigate potential changes which may have occurred over the last two decades in the probability mass of the right tail of the wage distribution, through the analysis of the corresponding tail index. In specific, a…

This chapter reviews the microeconometrics literature on partial identification, focusing on the developments of the last thirty years. The topics presented illustrate that the available data combined with credible maintained assumptions…

The article reviews the history of well-being to gauge how subjective question surveys can improve our understanding of well-being in Mexico. The research uses data at the level of the 32 federal entities or States, taking advantage of the…

As a consequence of missing data on tests for infection and imperfect accuracy of tests, reported rates of population infection by the SARS CoV-2 virus are lower than actual rates of infection. Hence, reported rates of severe illness…

The Economy Watcher Survey, which is a market survey published by the Japanese government, contains \emph{assessments of current and future economic conditions} by people from various fields. Although this survey provides insights regarding…

We simulate a simplified version of the price process including bubbles and crashes proposed in Kreuser and Sornette (2018). The price process is defined as a geometric random walk combined with jumps modelled by separate, discrete…

The United Nations' ambitions to combat climate change and prosper human development are manifested in the Paris Agreement and the Sustainable Development Goals (SDGs), respectively. These are inherently inter-linked as progress towards…

This paper proposes a new family of multi-frequency-band (MFB) tests for the white noise hypothesis by using the maximum overlap discrete wavelet packet transform (MODWPT). The MODWPT allows the variance of a process to be decomposed into…

Economic Scenario Generators (ESGs) simulate economic and financial variables forward in time for risk management and asset allocation purposes. It is often not feasible to calibrate the dynamics of all variables within the ESG to…

We propose an estimation procedure for discrete choice models of differentiated products with possibly high-dimensional product attributes. In our model, high-dimensional attributes can be determinants of both mean and variance of the…

This study attempts to investigate into the structure and features of global equity markets from a time-frequency perspective. An analysis grounded on this framework allows one to capture information from a different dimension, as opposed…