计量经济学
We propose a dynamic factor model (DFM) where the latent factors are linked to observed variables with unknown and potentially nonlinear functions. The key novelty and source of flexibility of our approach is a nonparametric observation…
The Vasicek model is a commonly used interest rate model, and there exist many extensions and generalizations of it. However, most generalizations of the model are either univariate or assume the noise process to be Gaussian, or both. In…
This study introduces a novel approach for inferring social network structures using Aggregate Relational Data (ARD), addressing the challenge of limited detailed network data availability. By integrating ARD with variational approximation…
Instrumental variables (IV) are often used to identify causal effects in observational settings and experiments subject to non-compliance. Under canonical assumptions, IVs allow us to identify a so-called local average treatment effect…
The "design phase" refers to a stage in observational studies, during which a researcher constructs a subsample that achieves a better balance in covariate distributions between the treated and untreated units. In this paper, we study the…
The recursive logit (RL) model has become a widely used framework for route choice modeling, but it suffers from a key limitation: it assigns nonzero probabilities to all paths in the network, including those that are unrealistic, such as…
In this paper, we revisit parameter estimation for multinomial logit (MNL), nested logit (NL), and tree-nested logit (TNL) models through the framework of convex conic optimization. Traditional approaches typically solve the maximum…
We show that Poisson regression, though often recommended over log-linear regression for modeling count and other non-negative variables in finance and economics, can be far from optimal when heteroskedasticity and sparsity -- two common…
The main aim of this paper is to review recent advances in the multivariate autoregressive index model [MAI], originally proposed by Reinsel (1983), and their applications to economic and financial time series. MAI has recently gained…
We investigate how to learn treatment effects away from the cutoff in multiple-cutoff regression discontinuity designs. Using a microeconomic model, we demonstrate that the parallel-trend type assumption proposed in the literature is…
We empirically examine the intraday return- and volatility-forecasting power of on-chain flow data for Bitcoin(BTC), Ethereum(ETH), and Tether(USDT). We find ETH net inflows to strongly predict ETH returns and volatility in the 2017-2023…
Standard empirical tools for merger analysis assume price data, which are often unavailable. I characterize sufficient conditions for identifying the unilateral effects of mergers without price data using the first-order approach and merger…
We propose a Hausman test for the correct specification of unobserved heterogeneity in both linear and nonlinear fixed-effects panel data models. The null hypothesis is that heterogeneity is either time-invariant or, symmetrically,…
Econometricians have usefully separated study of estimation into identification and statistical components. Identification analysis, which assumes knowledge of the probability distribution generating observable data, places an upper bound…
We propose a new approach to the semiparametric analysis of panel data binary choice models with fixed effects and dynamics (lagged dependent variables). The model we consider has the same random utility framework as in Honore and…
An important class of structural models studies the determinants of skill formation and the optimal timing of interventions. In this paper, I provide new identification results for these models and investigate the effects of seemingly…
In this paper we first propose a root-n-consistent Conditional Maximum Likelihood (CML) estimator for all the common parameters in the panel logit AR(p) model with strictly exogenous covariates and fixed effects. Our CML estimator (CMLE)…
This paper develops a framework for identifying treatment effects when a policy simultaneously alters both the incentive to participate and the outcome of interest -- such as hiring decisions and wages in response to employment subsidies;…
We present a decision-theoretic justification for viewing the question of how to best choose where to experiment in order to optimize external validity as a $k$-median problem, a popular problem in computer science and operations research.…
Different proxy variables used in fiscal policy SVARs lead to contradicting conclusions regarding the size of fiscal multipliers. Our analysis suggests that the conflicting results may stem from violations of the proxy exogeneity…