计量经济学

We develop inference for a two-sided matching model where the characteristics of agents on one side of the market are endogenous due to pre-matching investments. The model can be used to measure the impact of frictions in labour markets…

This paper presents the asymptotic behavior of a linear instrumental variables (IV) estimator that uses a ridge regression penalty. The regularization tuning parameter is selected empirically by splitting the observed data into training and…

Dyadic data, where outcomes reflecting pairwise interaction among sampled units are of primary interest, arise frequently in social science research. Regression analyses with such data feature prominently in many research literatures (e.g.,…

This paper considers the practically important case of nonparametrically estimating heterogeneous average treatment effects that vary with a limited number of discrete and continuous covariates in a selection-on-observables framework where…

This paper studies high-dimensional regression models with lasso when data is sampled under multi-way clustering. First, we establish convergence rates for the lasso and post-lasso estimators. Second, we propose a novel inference method…

We develop a cross-sectional research design to identify causal effects in the presence of unobservable heterogeneity without instruments. When units are dense in physical space, it may be sufficient to regress the "spatial first…

A family of models of individual discrete choice are constructed by means of statistical averaging of choices made by a subject in a reinforcement learning process, where the subject has short, k-term memory span. The choice probabilities…

Establishing that a demand mapping is injective is core first step for a variety of methodologies. When a version of the law of demand holds, global injectivity can be checked by seeing whether the demand mapping is constant over any line…

We propose to smooth the entire objective function, rather than only the check function, in a linear quantile regression context. Not only does the resulting smoothed quantile regression estimator yield a lower mean squared error and a more…

Empirical economic research frequently applies maximum likelihood estimation in cases where the likelihood function is analytically intractable. Most of the theoretical literature focuses on maximum simulated likelihood (MSL) estimators,…

The fundamental purpose of the present research article is to introduce the basic principles of Dimensional Analysis in the context of the neoclassical economic theory, in order to apply such principles to the fundamental relations that…

This paper proposes a new method to identify leaders and followers in a network. Prior works use spatial autoregression models (SARs) which implicitly assume that each individual in the network has the same peer effects on others.…

We propose a method of estimating the linear-in-means model of peer effects in which the peer group, defined by a social network, is endogenous in the outcome equation for peer effects. Endogeneity is due to unobservable individual…

This study conducts a benchmarking study, comparing 23 different statistical and machine learning methods in a credit scoring application. In order to do so, the models' performance is evaluated over four different data sets in combination…

This paper provides a necessary and sufficient instruments condition assuring two-step generalized method of moments (GMM) based on the forward orthogonal deviations transformation is numerically equivalent to two-step GMM based on the…

Travel decisions tend to exhibit sensitivity to uncertainty and information processing constraints. These behavioural conditions can be characterized by a generative learning process. We propose a data-driven generative model version of…

In their IZA Discussion Paper 10247, Johansson and Lee claim that the main result (Proposition 3) in Abbring and Van den Berg (2003b) does not hold. We show that their claim is incorrect. At a certain point within their line of reasoning,…

Despite its critical importance, the famous X-model elaborated by Ziel and Steinert (2016) has neither bin been widely studied nor further developed. And yet, the possibilities to improve the model are as numerous as the fields it can be…

Several methods have been developed for the simulation of the Hawkes process. The oldest approach is the inverse sampling transform (ITS) suggested in \citep{ozaki1979maximum}, but rapidly abandoned in favor of more efficient alternatives.…

We consider off-policy evaluation and optimization with continuous action spaces. We focus on observational data where the data collection policy is unknown and needs to be estimated. We take a semi-parametric approach where the value…