计量经济学

This paper considers the identification of dynamic treatment effects with panel data, in complex designs where the treatment may not be binary and may not be absorbing. We first show that under no-anticipation and parallel-trends…

This paper introduces the Non-Additive Difference-in-Differences (NA-DiD) framework, which extends classical DiD by incorporating non-additive measures the Choquet integral for effect aggregation. It serves as a novel econometric tool for…

Panel data allows for the modeling of unobserved heterogeneity, significantly raising the number of nuisance parameters and making high dimensionality a practical issue. Meanwhile, temporal and cross-sectional dependence in panel data…

We study a class of binary treatment choice problems with partial identification through the lens of robust (multiple prior) Bayesian analysis. We use a convenient set of prior distributions to derive ex-ante and ex-post robust Bayes…

In spite of the omnibus property of Integrated Conditional Moment (ICM) specification tests, they are not commonly used in empirical practice owing to features such as the non-pivotality of the test and the high computational cost of…

Many popular estimation methods in panel data rely on the assumption that the covariates of interest are strictly exogenous. However, this assumption is empirically restrictive in a wide range of settings. In this paper I argue that…

Leaving posterior sensitivity concerns aside, non-identifiability of the parameters does not raise a difficulty for Bayesian inference as far as the posterior is proper, but multi-modality or flat regions of the posterior induced by the…

This paper develops a real-time forecasting framework for the monthly real prices of four key industrial metals -- aluminum, copper, nickel, and zinc -- whose demand is rising due to their widespread use in manufacturing and low-carbon…

The double machine learning (DML) method combines the predictive power of machine learning with statistical estimation to conduct inference about the structural parameter of interest. This paper presents the R package `xtdml`, which…

Time series prediction algorithms are increasingly central to decision-making in high-stakes domains such as healthcare, energy management, and economic planning. Yet, these systems often inherit and amplify biases embedded in historical…

Network connections, both across and within markets, are central in countless economic contexts. In recent decades, a large literature has developed and applied flexible methods for measuring network connectedness and its evolution, based…

We derive asymptotically optimal statistical decision rules for discrete choice problems when payoffs depend on a partially-identified parameter $\theta$ and the decision maker can use a point-identified parameter $\mu$ to deduce…

In this paper we investigate the causal impact of the European Union Emissions Trading System, a cap-and-trade scheme limiting greenhouse gas emissions of firms, on their environmental performance. Although previous studies have focused…

The plausibility of the ``parallel trends assumption'' in Difference-in-Differences estimation is usually assessed by a test of the null hypothesis that the difference between the average outcomes of both groups is constant over time before…

Empirical Welfare Maximization (EWM) is a framework that can be used to select welfare program eligibility policies based on data. This paper extends EWM by allowing for uncertainty in estimating the budget needed to implement the selected…

This paper considers the estimation of binary choice models when survey responses are possibly misclassified but one of the response category can be validated. Partial validation may occur when survey questions about participation include…

This paper studies the identification and estimation of heterogeneous effects of an endogenous treatment under interference and spillovers in a large single-network setting. We model endogenous treatment selection as an equilibrium outcome…

Randomization-based inference commonly relies on grid search methods to construct confidence intervals by inverting hypothesis tests over a range of parameter values. While straightforward, this approach is computationally intensive and can…

Fractionally integrated time series, exhibiting long memory with slowly decaying autocorrelations, are frequently encountered in economics, finance, and related fields. Since the seminal work of Robinson (1995), a variety of semiparametric…

In cluster randomized controlled trials (CRCT) with a finite populations, the exact design-based variance of the Horvitz-Thompson (HT) estimator for the average treatment effect (ATE) depends on the joint distribution of unobserved…