计量经济学
Researchers increasingly wish to estimate time-varying parameter (TVP) regressions which involve a large number of explanatory variables. Including prior information to mitigate over-parameterization concerns has led to many using Bayesian…
This paper considers estimation and inference about tail features when the observations beyond some threshold are censored. We first show that ignoring such tail censoring could lead to substantial bias and size distortion, even if the…
This paper compares different implementations of monetary policy in a new-Keynesian setting. We can show that a shift from Ramsey optimal policy under short-term commitment (based on a negative feedback mechanism) to a Taylor rule (based on…
In this paper we consider estimation of unobserved components in state space models using a dynamic factor approach to incorporate auxiliary information from high-dimensional data sources. We apply the methodology to unemployment estimation…
We construct long-term prediction intervals for time-aggregated future values of univariate economic time series. We propose computational adjustments of the existing methods to improve coverage probability under a small sample constraint.…
In the regression discontinuity design (RDD), it is common practice to assess the credibility of the design by testing the continuity of the density of the running variable at the cut-off, e.g., McCrary (2008). In this paper we propose an…
This paper analyses the number of free parameters and solutions of the structural difference equation obtained from a linear multivariate rational expectations model. First, it is shown that the number of free parameters depends on the…
We propose a sequential monitoring scheme to find structural breaks in real estate markets. The changes in the real estate prices are modeled by a combination of linear and autoregressive terms. The monitoring scheme is based on a detector…
Nonlinear panel data models with fixed individual effects provide an important set of tools for describing microeconometric data. In a large class of such models (including probit, proportional hazard and quantile regression to name just a…
This paper studies the identification and estimation of the optimal linear approximation of a structural regression function. The parameter in the linear approximation is called the Optimal Linear Instrumental Variables Approximation…
Choosing the technique that is the best at forecasting your data, is a problem that arises in any forecasting application. Decades of research have resulted into an enormous amount of forecasting methods that stem from statistics,…
By recasting indirect inference estimation as a prediction rather than a minimization and by using regularized regressions, we can bypass the three major problems of estimation: selecting the summary statistics, defining the distance…
This paper analyses the use of bootstrap methods to test for parameter change in linear models estimated via Two Stage Least Squares (2SLS). Two types of test are considered: one where the null hypothesis is of no change and the alternative…
A recent literature in econometrics models unobserved cross-sectional heterogeneity in panel data by assigning each cross-sectional unit a one-dimensional, discrete latent type. Such models have been shown to allow estimation and inference…
This paper shows how to shrink extremum estimators towards inequality constraints motivated by economic theory. We propose an Inequality Constrained Shrinkage Estimator (ICSE) which takes the form of a weighted average between the…
The Internet plays a key role in society and is vital to economic development. Due to the pressure of competition, most technology companies, including Internet finance companies, continue to explore new markets and new business. Funding…
This article develops a Bayesian approach for estimating panel quantile regression with binary outcomes in the presence of correlated random effects. We construct a working likelihood using an asymmetric Laplace (AL) error distribution and…
In multinomial response models, idiosyncratic variations in the indirect utility are generally modeled using Gumbel or normal distributions. This study makes a strong case to substitute these thin-tailed distributions with a t-distribution.…
Social network data can be expensive to collect. Breza et al. (2017) propose aggregated relational data (ARD) as a low-cost substitute that can be used to recover the structure of a latent social network when it is generated by a specific…
We develop a Stata command xthenreg to implement the first-differenced GMM estimation of the dynamic panel threshold model, which Seo and Shin (2016, Journal of Econometrics 195: 169-186) have proposed. Furthermore, We derive the asymptotic…