计量经济学

This paper examines and proposes several attribution modeling methods that quantify how revenue should be attributed to online advertising inputs. We adopt and further develop relative importance method, which is based on regression models…

In this paper, a unified approach is proposed to derive the exact local asymptotic power for panel unit root tests, which is one of the most important issues in nonstationary panel data literature. Two most widely used panel unit root tests…

Dynamic contracts with multiple agents is a classical decentralized decision-making problem with asymmetric information. In this paper, we extend the single-agent dynamic incentive contract model in continuous-time to a multi-agent scheme…

Gale, Kuhn and Tucker (1950) introduced two ways to reduce a zero-sum game by packaging some strategies with respect to a probability distribution on them. In terms of value, they gave conditions for a desirable reduction. We show that a…

Gaussian graphical models are recently used in economics to obtain networks of dependence among agents. A widely-used estimator is the Graphical Lasso (GLASSO), which amounts to a maximum likelihood estimation regularized using the…

This paper considers the problem of forecasting a collection of short time series using cross sectional information in panel data. We construct point predictors using Tweedie's formula for the posterior mean of heterogeneous coefficients…

The uncertainty and robustness of Computable General Equilibrium models can be assessed by conducting a Systematic Sensitivity Analysis. Different methods have been used in the literature for SSA of CGE models such as Gaussian Quadrature…

This paper establishes a general equivalence between discrete choice and rational inattention models. Matejka and McKay (2015, AER) showed that when information costs are modelled using the Shannon entropy function, the resulting choice…

We propose an inference procedure for estimators defined by mathematical programming problems, focusing on the important special cases of linear programming (LP) and quadratic programming (QP). In these settings, the coefficients in both…

This paper considers the identification of treatment effects on conditional transition probabilities. We show that even under random assignment only the instantaneous average treatment effect is point identified. Since treated and control…