计量经济学

We propose a novel approach to estimate high-dimensional global bank network connectedness in both the time and frequency domains. By employing a factor model with sparse VAR idiosyncratic components, we decompose system-wide connectedness…

I consider a class of statistical decision problems in which the policymaker must decide between two policies to maximize social welfare (e.g., the population mean of an outcome) based on a finite sample. The framework introduced in this…

This study utilizes a simulated dataset to establish Python code for Double Machine Learning (DML) using Anaconda's Jupyter Notebook and the DML software package from GitHub. The research focuses on causal inference experiments for both…

We propose a novel Bayesian heteroskedastic Markov-switching structural vector autoregression with data-driven time-varying identification. The model selects among alternative patterns of exclusion restrictions to identify structural shocks…

Since LaLonde's (1986) seminal paper, there has been ongoing interest in estimating treatment effects using pre- and post-intervention data. Scholars have traditionally used experimental benchmarks to evaluate the accuracy of alternative…

Many identification results in instrumental variables (IV) models hold without requiring any restrictions on the distribution of potential outcomes, or how those outcomes are correlated with selection behavior. This enables IV models to…

There are two approaches to time series approximate factor models: the static factor model, where the factors are loaded contemporaneously by the common component, and the Generalised Dynamic Factor Model, where the factors are loaded with…

Vector autogressions (VARs) are widely applied when it comes to modeling and forecasting macroeconomic variables. In high dimensions, however, they are prone to overfitting. Bayesian methods, more concretely shrinkage priors, have shown to…

We propose a minimum distance estimation approach for quantile panel data models where unit effects may be correlated with covariates. This computationally efficient method involves two stages: first, computing quantile regression within…

Hypothesis tests and confidence intervals are ubiquitous in empirical research, yet their connection to subsequent decision-making is often unclear. We develop a theory of certified decisions that pairs recommended decisions with…

We propose a double robust Bayesian inference procedure on the average treatment effect (ATE) under unconfoundedness. For our new Bayesian approach, we first adjust the prior distributions of the conditional mean functions, and then correct…

This paper introduces a straightforward sieve-based approach for estimating and conducting inference on regression parameters in panel data models with interactive fixed effects. The method's key assumption is that factor loadings can be…

We propose a novel approximate factor model tailored for analyzing time-dependent curve data. Our model decomposes such data into two distinct components: a low-dimensional predictable factor component and an unpredictable error term. These…

The centrality in a network is often used to measure nodes' importance and model network effects on a certain outcome. Empirical studies widely adopt a two-stage procedure, which first estimates the centrality from the observed noisy…

In the context of scientific policy and science management, this study examines the system of nonuniform wage distribution for researchers. A nonlinear mathematical model of optimal remuneration for scientific workers has been developed,…

This paper presents a novel semiparametric method to study the effects of extreme events on binary outcomes and subsequently forecast future outcomes. Our approach, based on Bayes' theorem and regularly varying (RV) functions, facilitates a…

Regression Discontinuity (RD) designs rely on the continuity of potential outcome means at the cutoff, but this assumption often fails when other treatments or policies are implemented at this cutoff. We characterize the bias in sharp and…

We develop asymptotic approximations that can be applied to sequential estimation and inference problems, adaptive randomized controlled trials, and related settings. In batched adaptive settings where the decision at one stage can affect…

We propose a class of sieve-based efficient estimators for structural models (SEES), which approximate the solution using a linear combination of basis functions and impose equilibrium conditions as a penalty to determine the best-fitting…

Factor-based forecasting using Principal Component Analysis (PCA) is an effective machine learning tool for dimension reduction with many applications in statistics, economics, and finance. This paper introduces a Supervised Screening and…