计量经济学

Conventional heteroskedasticity diagnostics ask whether the conditional variance of the regression disturbance varies with covariates. This paper asks a different question: when does that variation matter for inference on the estimand of…

Empirical studies often observe outcomes only for selected units, and treatment may change who is observed. This paper studies prediction in randomized studies with one-sided selection. Standard prediction intervals can fail because treated…

I develop the asymptotic theory of instrument strength for Granular Instrumental Variables (GIV) in large panels with both $N$ and $T$ growing. The strength of the GIV depends on the presence of dominant units. I formalise what dominance…

Measuring the long-term opportunity cost of interventions remains a critical challenge in e-commerce A/B testing. While strategic levers (such as dynamic pricing, ranking algorithms, and promotional campaigns) trigger shifts in consumer…

This article introduces an empirical condition for the nonparametric point-identification of multivariate instrumental variable models with continuous endogenous variables using binary instruments. Verifying this condition can confirm…

We estimate Kyle's (1985) price-impact coefficient $\lambda$ directly from daily equity order flow and test its ability to forecast the cross-section of subsequent stock returns. Using CRSP data from 2020 to 2025, we construct firm-month…

Researchers often use the density of connections between groups of agents, such as communities, blocs, or markets, to characterize the structure of a social or economic network. In many cases, these groups are selected using the network…

We consider inference for parameters of the form $\theta_0 = E[F_Y^{-1}\circ F_Z(X)]$ for some variables $X$, $Y$ and $Z$. Such parameters appear, in particular, in the ``changes-in-changes'' model of \cite{AtheyImbens2006}. We first…

AI agents increasingly operate inside digital accounts by exercising privileges that users already hold, raising a new control question: whether an existing account entitlement must be exercised manually or may be exercised through a…

We develop the Quasi-Bayesian Hierarchical Model (QBHM) for grouped GMM settings. The framework combines Bayesian hierarchical modelling with Laplace-type estimation: it preserves each group-specific objective function, while introducing a…

This paper studies inference for time-series GMM when uncertainty comes from shock assignment within a realized historical episode. Rather than treating the data as one random draw from a population of hypothetical economies, the framework…

Macroeconomic expectations are usually observed through point forecasts or through asset prices whose mapping into beliefs is model-dependent. This paper uses prediction-market prices to recover high-frequency distributions of short-run…

This paper develops misspecification-robust sensitivity and informativeness diagnostics for GMM estimators, evaluated at pseudo-true values. The sensitivity matrix nests that of Andrews, Gentzkow, and Shapiro (2017) under correct…

Effective congestion management strategies require a detailed understanding of how travellers respond to different pricing interventions. This paper presents an in-depth analysis of traveller behaviour under congestion pricing scenarios,…

We develop a factor-model framework for causal inference in panels with policy interventions. Treatment effects are represented as structural changes in treated units' exposure to latent common shocks and, in extensions, changes in the…

Travel behavior and demand modeling seeks to understand the factors that motivate transportation decisions. At the same time, the field is increasingly adopting algorithmic and artificial intelligence (AI) tools that improve predictive…

This article reconstructs the economic and social history of Bolivian neoliberalism and evaluates whether economic liberalization reduced or increased poverty and inequality in Bolivia. The historical argument is that the Bolivian…

We study estimation of the mean slope in heterogeneous panels that combine cross-sectional dependence from unobserved common factors with unit-specific structural breaks occurring at different dates. We organize the available…

We show that net demand for liquidity by algo strategies is identifiable from its trade and price history alone, with no knowledge of its signal or optimization problem. An exact multi-period regret decomposition implies that the sign of…

Consider an analyst interested in predicting the size of an effect. She has identified a set of prior published studies of similar effects. We provide a toolkit for (i) summarizing the prior literature, (ii) making predictions of effects in…