计量经济学

We generalize the approach of Carlier (2001) and provide an existence proof for the multidimensional screening problem with general nonlinear preferences. We first formulate the principal's problem as a maximization problem with…

Kitamura and Stoye (2014) develop a nonparametric test for linear inequality constraints, when these are are represented as vertices of a polyhedron instead of its faces. They implement this test for an application to nonparametric tests of…

In this paper we aim to improve existing empirical exchange rate models by accounting for uncertainty with respect to the underlying structural representation. Within a flexible Bayesian non-linear time series framework, our modeling…

We develop a novel continuous-time asymptotic framework for inference on whether the predictive ability of a given forecast model remains stable over time. We formally define forecast instability from the economic forecaster's perspective…

We consider continuous-time models with a large panel of moment conditions, where the structural parameter depends on a set of characteristics, whose effects are of interest. The leading example is the linear factor model in financial…

This paper studies a fixed-design residual bootstrap method for the two-step estimator of Francq and Zako\"ian (2015) associated with the conditional Expected Shortfall. For a general class of volatility models the bootstrap is shown to be…

This paper studies model selection in semiparametric econometric models. It develops a consistent series-based model selection procedure based on a Bayesian Information Criterion (BIC) type criterion to select between several classes of…

This paper develops a new model and estimation procedure for panel data that allows us to identify heterogeneous structural breaks. We model individual heterogeneity using a grouped pattern. For each group, we allow common structural breaks…

Constraining the maximum likelihood density estimator to satisfy a sufficiently strong constraint, $\log-$concavity being a common example, has the effect of restoring consistency without requiring additional parameters. Since many results…

In this paper, we investigate seemingly unrelated regression (SUR) models that allow the number of equations (N) to be large, and to be comparable to the number of the observations in each equation (T). It is well known in the literature…

We study the impact of oil price shocks on the U.S. stock market volatility. We jointly analyze three different structural oil market shocks (i.e., aggregate demand, oil supply, and oil-specific demand shocks) and stock market volatility…

The major perspective of this paper is to provide more evidence regarding how "quickly", in different macroeconomic states, companies adjust their capital structure to their leverage targets. This study extends the empirical research on the…

Finite mixture models are useful in applied econometrics. They can be used to model unobserved heterogeneity, which plays major roles in labor economics, industrial organization and other fields. Mixtures are also convenient in dealing with…

We develop a new statistical procedure to test whether the dependence structure is identical between two groups. Rather than relying on a single index such as Pearson's correlation coefficient or Kendall's Tau, we consider the entire…

Dynamic discrete choice models often discretize the state vector and restrict its dimension in order to achieve valid inference. I propose a novel two-stage estimator for the set-identified structural parameter that incorporates a…

Partial mean with generated regressors arises in several econometric problems, such as the distribution of potential outcomes with continuous treatments and the quantile structural function in a nonseparable triangular model. This paper…

Let Y be an outcome of interest, X a vector of treatment measures, and W a vector of pre-treatment control variables. Here X may include (combinations of) continuous, discrete, and/or non-mutually exclusive "treatments". Consider the linear…

In this paper, we study estimation of nonlinear models with cross sectional data using two-step generalized estimating equations (GEE) in the quasi-maximum likelihood estimation (QMLE) framework. In the interest of improving efficiency, we…

There is generally a need to deal with quality change and new goods in the consumer price index due to the underlying dynamic item universe. Traditionally axiomatic tests are defined for a fixed universe. We propose five tests explicitly…

The intention of this paper is to discuss the mathematical model of causality introduced by C.W.J. Granger in 1969. The Granger's model of causality has become well-known and often used in various econometric models describing causal…