计量经济学
We propose a setup for fractionally cointegrated time series which is formulated in terms of latent integrated and short-memory components. It accommodates nonstationary processes with different fractional orders and cointegration of…
The Kalman Filter has been called one of the greatest inventions in statistics during the 20th century. Its purpose is to measure the state of a system by processing the noisy data received from different electronic sensors. In comparison,…
To quantify uncertainty around point estimates of conditional objects such as conditional means or variances, parameter uncertainty has to be taken into account. Attempts to incorporate parameter uncertainty are typically based on the…
In this paper, we study the dynamic assortment optimization problem under a finite selling season of length $T$. At each time period, the seller offers an arriving customer an assortment of substitutable products under a cardinality…
This paper studies inference in randomized controlled trials with covariate-adaptive randomization when there are multiple treatments. More specifically, we study inference about the average effect of one or more treatments relative to…
This article introduces lassopack, a suite of programs for regularized regression in Stata. lassopack implements lasso, square-root lasso, elastic net, ridge regression, adaptive lasso and post-estimation OLS. The methods are suitable for…
This paper presents a unified second order asymptotic framework for conducting inference on parameters of the form $\phi(\theta_0)$, where $\theta_0$ is unknown but can be estimated by $\hat\theta_n$, and $\phi$ is a known map that admits…
This paper develops a nonparametric model that represents how sequences of outcomes and treatment choices influence one another in a dynamic manner. In this setting, we are interested in identifying the average outcome for individuals in…
This paper proposes a model-free approach to analyze panel data with heterogeneous dynamic structures across observational units. We first compute the sample mean, autocovariances, and autocorrelations for each unit, and then estimate the…
The relationship between democracy and economic growth is of long-standing interest. We revisit the panel data analysis of this relationship by Acemoglu, Naidu, Restrepo and Robinson (forthcoming) using state of the art econometric methods.…
A method for implicit variable selection in mixture of experts frameworks is proposed. We introduce a prior structure where information is taken from a set of independent covariates. Robust class membership predictors are identified using a…
This study investigates the dose-response effects of making music on youth development. Identification is based on the conditional independence assumption and estimation is implemented using a recent double machine learning estimator. The…
This paper introduces a flexible regularization approach that reduces point estimation risk of group means stemming from e.g. categorical regressors, (quasi-)experimental data or panel data models. The loss function is penalized by adding…
International trade research plays an important role to inform trade policy and shed light on wider issues relating to poverty, development, migration, productivity, and economy. With recent advances in information technology, global and…
Geography, including climatic factors, have long been considered potentially important elements in shaping socio-economic activities, alongside other determinants, such as institutions. Here we demonstrate that geography and climate…
We propose simultaneous mean-variance regression for the linear estimation and approximation of conditional mean functions. In the presence of heteroskedasticity of unknown form, our method accounts for varying dispersion in the regression…
Predicting future successful designs and corresponding market opportunity is a fundamental goal of product design firms. There is accordingly a long history of quantitative approaches that aim to capture diverse consumer preferences, and…
In many applications common in testing for convergence the number of cross-sectional units is large and the number of time periods are few. In these situations asymptotic tests based on an omnibus null hypothesis are characterised by a…
There has been considerable interest in the electrification of freight transport, particularly heavy-duty trucks to downscale the greenhouse-gas (GHG) emissions from the transportation sector. However, the economic competitiveness of…
We develop a uniform test for detecting and dating explosive behavior of a strictly stationary GARCH$(r,s)$ (generalized autoregressive conditional heteroskedasticity) process. Namely, we test the null hypothesis of a globally stable GARCH…