计量经济学

Policy-relevant treatment effect estimation in a marketplace setting requires taking into account both the direct benefit of the treatment and any spillovers induced by changes to the market equilibrium. The standard way to address these…

This paper develops a Mean Group Instrumental Variables (MGIV) estimator for spatial dynamic panel data models with interactive effects, under large N and T asymptotics. Unlike existing approaches that typically impose slope-parameter…

A growing number of empirical models exhibit set-valued predictions. This paper develops a tractable inference method with finite-sample validity for such models. The proposed procedure uses a robust version of the universal inference…

This article develops nonparametric cointegrating regression models with endogeneity and semi-long memory. We assume that semi-long memory is produced in the regressor process by tempering of random shock coefficients. The fundamental…

We observe nominal price rigidity in tobacco markets across China. The monopolistic seller responds by adjusting product assortments, which remain unobserved by the analyst. We develop and estimate a logit demand model that incorporates…

In many scenarios, such as the evaluation of place-based policies, potential outcomes are not only dependent upon the unit's own treatment but also its neighbors' treatment. Despite this, "difference-in-differences" (DID) type estimators…

The R package bsvarSIGNs implements state-of-the-art algorithms for the Bayesian analysis of Structural Vector Autoregressions identified by sign, zero, and narrative restrictions. It offers fast and efficient estimation thanks to the…

This paper studies the design of cluster experiments to estimate the global treatment effect in the presence of network spillovers. We provide a framework to choose the clustering that minimizes the worst-case mean-squared error of the…

Survey questions often ask respondents to select from ordered scales where the meanings of the categories are subjective, leaving each individual free to apply their own definitions in answering. This paper studies the use of these…

This study presents the Adaptive Minimum-Variance Portfolio (AMVP) framework and the Adaptive Minimum-Risk Rate (AMRR) metric, innovative tools designed to optimize portfolios dynamically in volatile and nonstationary financial markets.…

This paper defines a general class of relaxations of the unconfoundedness assumption. This class includes several previous approaches as special cases, including the marginal sensitivity model of Tan (2006). This class therefore allows us…

Stable and efficient food markets are crucial for global food security, yet international staple food markets are increasingly exposed to complex risks, including intensified risk contagion and escalating external uncertainties. This paper…

This note introduces a doubly robust (DR) estimator for regression discontinuity (RD) designs. RD designs provide a quasi-experimental framework for estimating treatment effects, where treatment assignment depends on whether a running…

Counterfactual predictions are challenging when the policy variable goes beyond its pre-policy support. However, in many cases, information about the policy of interest is available from different ("source") regions where a similar policy…

In many situations, researchers are interested in identifying dynamic effects of an irreversible treatment with a time-invariant binary instrumental variable (IV). For example, in evaluations of dynamic effects of training programs with a…

The conventional cluster-robust (CR) standard errors may not be robust. They are vulnerable to data that contain a small number of large clusters. When a researcher uses the 51 states in the U.S. as clusters, the largest cluster…

Multidimensional heterogeneity and endogeneity are important features of a wide class of econometric models. With control variables to correct for endogeneity, nonparametric identification of treatment effects requires strong support…

This research studies the relation between money and prices and its practical implications analyzing quarterly data from United States (1959-2022), Canada (1961-2022), United Kingdom (1986-2022), and Brazil (1996-2022). The historical,…

In this paper, we formalize a triple instrumented difference-in-differences (DID-IV). In this design, a triple Wald-DID estimand, which divides the difference-in-difference-in-differences (DDD) estimand of the outcome by the DDD estimand of…

This paper proposes a Matrix Error Correction Model to identify cointegration relations in matrix-valued time series. We hereby allow separate cointegrating relations along the rows and columns of the matrix-valued time series and use…