计量经济学
In this study interest centers on regional differences in the response of housing prices to monetary policy shocks in the US. We address this issue by analyzing monthly home price data for metropolitan regions using a factor-augmented…
In unit root testing, a piecewise locally stationary process is adopted to accommodate nonstationary errors that can have both smooth and abrupt changes in second- or higher-order properties. Under this framework, the limiting null…
In this paper we forecast daily returns of crypto-currencies using a wide variety of different econometric models. To capture salient features commonly observed in financial time series like rapid changes in the conditional variance,…
Consumers are creatures of habit, often periodic, tied to work, shopping and other schedules. We analyzed one month of data from the world's largest bike-sharing company to elicit demand behavioral cycles, initially using models from animal…
This study proposes a mixed logit model with multivariate nonparametric finite mixture distributions. The support of the distribution is specified as a high-dimensional grid over the coefficient space, with equal or unequal intervals…
There is a fast growing literature that set-identifies structural vector autoregressions (SVARs) by imposing sign restrictions on the responses of a subset of the endogenous variables to a particular structural shock (sign-restricted…
We analyze Assessment Voting, a new two-round voting procedure that can be applied to binary decisions in democratic societies. In the first round, a randomly-selected number of citizens cast their vote on one of the two alternatives at…
We develop a new VAR model for structural analysis with mixed-frequency data. The MIDAS-SVAR model allows to identify structural dynamic links exploiting the information contained in variables sampled at different frequencies. It also…
Why women avoid participating in a competition and how can we encourage them to participate in it? In this paper, we investigate how social image concerns affect women's decision to compete. We first construct a theoretical model and show…
We test the existence of a neighborhood based peer effect around participation in an incentive based conservation program called `Water Smart Landscapes' (WSL) in the city of Las Vegas, Nevada. We use 15 years of geo-coded daily records of…
Markov regime switching models have been used in numerous empirical studies in economics and finance. However, the asymptotic distribution of the likelihood ratio test statistic for testing the number of regimes in Markov regime switching…
We define a modification of the standard Kripke model, called the ordered Kripke model, by introducing a linear order on the set of accessible states of each state. We first show this model can be used to describe the lexicographic belief…
We first show (1) the importance of investigating health expenditure process using the order two Markov chain model, rather than the standard order one model, which is widely used in the literature. Markov chain of order two is the minimal…
This paper analyzes consumer choices over lunchtime restaurants using data from a sample of several thousand anonymous mobile phone users in the San Francisco Bay Area. The data is used to identify users' approximate typical morning…
The primary goal of this study is doing a meta-analysis research on two groups of published studies. First, the ones that focus on the evaluation of the United States Department of Agriculture (USDA) forecasts and second, the ones that…
We characterize common assumption of rationality of 2-person games within an incomplete information framework. We use the lexicographic model with incomplete information and show that a belief hierarchy expresses common assumption of…
Dynamic Discrete Choice Models (DDCMs) are important in the structural estimation literature. Since the structural errors are practically always continuous and unbounded in nature, researchers often use the expected value function. The idea…
This article is a prologue to the article "Why Markets are Inefficient: A Gambling 'Theory' of Financial Markets for Practitioners and Theorists." It presents important background for that article --- why gambling is important, even…
Despite its unusual payout structure, the Canadian 6/49 Lotto is one of the few government sponsored lotteries that has the potential for a favorable strategy we call "buying the pot." By buying the pot we mean that a syndicate buys each…
We report a new result on lotteries --- that a well-funded syndicate has a purely mechanical strategy to achieve expected returns of 10\% to 25\% in an equiprobable lottery with no take and no carryover pool. We prove that an optimal…