计量经济学

I introduce a high-dimensional Bayesian vector autoregressive (BVAR) framework designed to estimate the effects of conventional monetary policy shocks. The model captures structural shocks as latent factors, enabling computationally…

We consider estimation and inference for a regression coefficient in panels with interactive fixed effects (i.e., with a factor structure). We demonstrate that existing estimators and confidence intervals (CIs) can be heavily biased and…

Lee (2009) is a common approach to bound the average causal effect in the presence of selection bias, assuming the treatment effect on selection has the same sign for all subjects. This paper generalizes Lee bounds to allow the sign of this…

Integrated autoregressive conditional duration (ACD) models serve as natural counterparts to the well-known integrated GARCH models used for financial returns. However, despite their resemblance, asymptotic theory for ACD is challenging and…

We use cutting-edge mixed integer optimization (MIO) methods to develop a framework for detection and estimation of structural breaks in time series regression models. The framework is constructed based on the least squares problem subject…

We introduce methodology to bridge scenario analysis and model-based risk forecasting, leveraging their respective strengths in policy settings. Our Bayesian framework addresses the fundamental challenge of reconciling judgmental narrative…

This paper provides a unified framework for bounding policy relevant treatment effects using instrumental variables. In this framework, the treatment selection may depend on multidimensional unobserved heterogeneity. We derive bilinear…

The use of machine learning methods for predictive purposes has increased dramatically over the past two decades, but uncertainty quantification for predictive comparisons remains elusive. This paper addresses this gap by extending the…

Sharp, multidimensional changepoints-abrupt shifts in a regression surface whose locations and magnitudes are unknown-arise in settings as varied as gene-expression profiling, financial covariance breaks, climate-regime detection, and urban…

One of the exciting developments in the stated preference literature is the use of probabilistic stated preference experiments to estimate semi-parametric population distributions of ex ante returns and willingness-to-pay (WTP) for a choice…

Specification tests, such as Integrated Conditional Moment (ICM) and Kernel Conditional Moment (KCM) tests, are crucial for model validation but often lack power in finite samples. This paper proposes a novel framework to enhance…

This paper considers the problem of design-based inference for the average treatment effect in finely stratified experiments. Here, by "design-based'' we mean that the only source of uncertainty stems from the randomness in treatment…

This study examines the relationship between the concept of serious leisure and user innovation. We adopted the characteristics of innovative consumers identified by Luthje (2004)-product use experience, information exchange, and new…

Inspired by Jang et al. (2022), we propose a Granger causality-in-the-mean test for bivariate $k-$Markov stationary processes based on a recently introduced class of non-linear models, i.e., vine copula models. By means of a simulation…

This paper introduces an econometric framework for analyzing cross-sectional dependence in the idiosyncratic volatilities of assets using high frequency data. We first consider the estimation of standard measures of dependence in the…

This paper proposes a novel framework of aggregated intersection of regression functions, where the target parameter is obtained by averaging the minimum (or maximum) of a collection of regression functions over the covariate space. Such…

We explore tree-based macroeconomic regime-switching in the context of the dynamic Nelson-Siegel (DNS) yield-curve model. In particular, we customize the tree-growing algorithm to partition macroeconomic variables based on the DNS model's…

We set up a formal framework to characterize encompassing of nonparametric models through the L2 distance. We contrast it to previous literature on the comparison of nonparametric regression models. We then develop testing procedures for…

We provide the first systematic assessment of data leakage issues in the use of machine learning on panel data. Our organizing framework clarifies why neglecting the cross-sectional and longitudinal structure of these data leads to…

For binary outcome models, an endogeneity correction based on nonlinear rank-based transformations is proposed. Identification without external instruments is achieved under one of two assumptions: either the endogenous regressor is a…