计量经济学

In over-identified models, misspecification -- the norm rather than exception -- fundamentally changes what estimators estimate. Different estimators imply different estimands rather than different efficiency for the same target. A review…

This study addresses the computational challenges of forecasting volatility in high-dimensional commodity markets. Building on the Network log-ARCH framework, we introduce a novel class of network topologies from GARCH-informed correlation…

In the value-added literature, it is often claimed that regressing on empirical Bayes shrinkage estimates corrects for the measurement error problem in linear regression. We clarify the conditions needed; we argue that these conditions are…

Economists are often interested in the mechanisms by which a treatment affects an outcome. We develop tests for the "sharp null of full mediation" that a treatment $D$ affects an outcome $Y$ only through a particular mechanism (or set of…

This paper studies analytic inference along two dimensions of clustering. In such setups, the commonly used approach has two drawbacks. First, the corresponding variance estimator is not necessarily positive. Second, inference is invalid in…

To analyze unstructured data (text, images, audio, video), economists typically first extract low-dimensional structured features with a neural network. Neural networks do not make generically unbiased predictions, and biases will propagate…

We propose a new factor analysis framework and estimators of the factors and loadings that are robust to certain weak factors in a large $N$ and large $T$ setting. Our framework, by simultaneously considering all quantile levels of the…

We develop new changes-in-changes (CIC) and distributional synthetic controls (DSC) types of methods when there exists group-level heterogeneity. For CIC, we allow individuals to belong to heterogeneous groups, extending Athey and Imbens…

This paper studies the Model Selection Confidence Set (MSCS) methodology for univariate time series models involving autoregressive and moving average components, and applies it to study model selection uncertainty in the Italian…

Many policy evaluations involve vectors of category-specific quantities, either categorical outcomes (e.g., employment type, major choice) or compositional measures (e.g., GDP by sector, votes by party, electricity generation by source). In…

We propose logit-based IV and augmented logit-based IV estimators that serve as alternatives to the traditionally used 2SLS estimator in the model where both the endogenous treatment variable and the corresponding instrument are binary. Our…

This paper develops a novel nonparametric significance test based on a tailored nonparametric-type projected weighting function that exhibits appealing theoretical and numerical properties. We derive the asymptotic properties of the…

This paper studies inference for quadratic forms of linear regression coefficients with clustered data and many covariates. Our framework covers three important special cases: instrumental variables regression with many instruments and…

The stable unit treatment value (SUTVA) is a crucial assumption in the Difference-in-Differences (DiD) research design. It rules out hidden versions of treatment and any sort of interference and spillover effects across units. Even if this…

I study peer effects that arise from irreversible decisions in the absence of a standard social equilibrium. I model a latent sequence of decisions in continuous time and obtain a closed-form expression for the likelihood, which allows to…

In many consumer electronics and appliance markets, manufacturers sell products through competing retailers while simultaneously relying on take-back programs to recover used items for remanufacturing. Designing such programs is challenging…

Forecasting presents a complex estimation challenge, as it involves balancing multiple, often conflicting, priorities and objectives. Conventional forecast optimization methods typically emphasize a single metric--such as minimizing the…

When estimating treatment effects with two-way fixed effects (2WFE) models, researchers often use matching as a pre-processing step when the parallel trends assumption is thought to hold conditionally on covariates. Specifically, in a first…

Algorithms for computing equilibria, optima, and fixed points in nonconvex problems often depend sensitively on practitioner-chosen initial conditions. When uniqueness of a solution is of interest, a common heuristic is to run such…

Every year, over one million EU students choose a secondary school track based on teacher recommendations, yet little evidence shows this yields optimal assignments. Using Dutch data, we examine whether access to standardized test scores…