计量经济学
Existing identification and estimation methods for semiparametric sample selection models rely heavily on exclusion restrictions. However, it is difficult in practice to find a credible excluded variable that has a correlation with…
This article introduces an iterative distributed computing estimator for the multinomial logistic regression model with large choice sets. Compared to the maximum likelihood estimator, the proposed iterative distributed estimator achieves…
With the development of the economy, fresh food e-commerce has experienced rapid growth. One of the core competitive advantages of fresh food e-commerce platforms lies in selecting an appropriate logistics distribution model. This study…
This study employs a Bayesian Probit model to empirically analyze peer effects and herd behavior among consumers during the "Double 11" shopping festival, using data collected through a questionnaire survey. The results demonstrate that…
In theory, two-stage least squares (TSLS) identifies a weighted average of covariate-specific local average treatment effects (LATEs) from a saturated specification, without making parametric assumptions on how available covariates enter…
This paper introduces the method of composite quantile factor model for factor analysis in high-dimensional panel data. We propose to estimate the factors and factor loadings across multiple quantiles of the data, allowing the estimates to…
Protecting against cyber-threats is vital for every organization and can be done by investing in cybersecurity controls and purchasing cyber insurance. However, these are interlinked since insurance premiums could be reduced by investing…
We use a FAVAR model with proxy variables and sign restrictions to investigate the role of the euro area's common output and inflation cycles in the transmission of monetary policy shocks. Our findings indicate that common cycles explain…
In this study, we introduced various statistical performance metrics, based on the pinball loss and the empirical coverage, for the ranking of probabilistic forecasting models. We tested the ability of the proposed metrics to determine the…
This article analyses the structural and institutional barriers hindering the development of scientific systems in transition economies, such as Kazakhstan. The main focus is on the concept of the "middle science trap," which is…
Structural vector autoregressions are used to compute impulse response functions (IRF) for persistent data. Existing multiple-parameter inference requires cumbersome pretesting for unit roots, cointegration, and trends with subsequent…
Dynamic decisions are pivotal to economic policy making. We show how existing evidence from randomized control trials can be utilized to guide personalized decisions in challenging dynamic environments with budget and capacity constraints.…
We introduce a novel framework for individual-level welfare analysis. It builds on a parametric model for continuous demand with a quasilinear utility function, allowing for heterogeneous coefficients and unobserved individual-good-level…
We show how clustering standard errors in one or more dimensions can be justified in M-estimation when there is sampling or assignment uncertainty. Since existing procedures for variance estimation are either conservative or invalid, we…
In this paper we consider the simulation-based Bayesian analysis of stochastic volatility in mean (SVM) models. Extending the highly efficient Markov chain Monte Carlo mixture sampler for the SV model proposed in Kim et al. (1998) and Omori…
When using dyadic data (i.e., data indexed by pairs of units), researchers typically assume a linear model, estimate it using Ordinary Least Squares and conduct inference using ``dyadic-robust" variance estimators. The latter assumes that…
This paper considers linear rational expectations models in the frequency domain. The paper characterizes existence and uniqueness of solutions to particular as well as generic systems. The set of all solutions to a given system is shown to…
The chronological hierarchy and classification of psychological types of individuals are examined. The anomalous nature of psychological activity in individuals involved in scientific work is highlighted. Certain aspects of the introverted…
Efforts are needed to identify and measure both communities' exposure to climate hazards and the social vulnerabilities that interact with these hazards, but the science of validating hazard vulnerability indicators is still in its infancy.…
This study examines the impact of monetary factors on the conversion of farmland to renewable energy generation, specifically solar and wind, in the context of expanding U.S. energy production. We propose a new econometric method that…