计量经济学
Many causal estimands are only partially identifiable since they depend on the unobservable joint distribution between potential outcomes. Stratification on pretreatment covariates can yield sharper bounds; however, unless the covariates…
We develop a generally applicable full-information inference method for heterogeneous agent models, combining aggregate time series data and repeated cross sections of micro data. To handle unobserved aggregate state variables that affect…
Macroeconomists increasingly use external sources of exogenous variation for causal inference. However, unless such external instruments (proxies) capture the underlying shock without measurement error, existing methods are silent on the…
This paper outlines a Bayesian approach to estimate finite mixtures of Tobit models. The method consists of an MCMC approach that combines Gibbs sampling with data augmentation and is simple to implement. I show through simulations that the…
We propose a Machine Learning approach for optimal macroeconomic density forecasting in a high-dimensional setting where the underlying model exhibits a known group structure. Our approach is general enough to encompass specific forecasting…
Statistical inference is often simplified by sample-splitting. This simplification comes at the cost of the introduction of randomness not native to the data. We propose a simple procedure for sequentially aggregating statistics constructed…
Time-varying parameters (TVPs) models are frequently used in economics to capture structural change. I highlight a rather underutilized fact -- that these are actually ridge regressions. Instantly, this makes computations, tuning, and…
By treating intervals as inseparable sets, this paper proposes sparse machine learning regressions for high-dimensional interval-valued time series. With LASSO or adaptive LASSO techniques, we develop a penalized minimum distance…
We introduce the inclusive synthetic control method (iSCM), a modification of synthetic control methods that includes units in the donor pool potentially affected, directly or indirectly, by an intervention. This method is ideal for…
The research and development (R&D) phase is essential for fostering innovation and aligns with long-term strategies in both public and private sectors. This study addresses two primary research questions: (1) assessing the relationship…
Economic models produce moment inequalities, which can be used to form tests of the true parameters. Confidence sets (CS) of the true parameters are derived by inverting these tests. However, they often lack analytical expressions,…
This paper explores the impact of banking fintech on reducing financial risks in the agricultural supply chain, focusing on the secondary allocation of commercial credit. The study constructs a three-player evolutionary game model involving…
Many policy problems involve designing individualized treatment allocation rules to maximize the equilibrium social welfare of interacting agents. Focusing on large-scale simultaneous decision games with strategic complementarities, we…
Beta-sorted portfolios -- portfolios comprised of assets with similar covariation to selected risk factors -- are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little…
We develop a Functional Augmented Vector Autoregression (FunVAR) model to explicitly incorporate firm-level heterogeneity observed in more than one dimension and study its interaction with aggregate macroeconomic fluctuations. Our…
We propose a functional MIDAS model to leverage high-frequency information for forecasting and nowcasting distributions observed at a lower frequency. We approximate the low-frequency distribution using Functional Principal Component…
This study aims to explore the impact of expansion strategies and specific attributes of hotel establishments on the performance of international hotel chains, focusing on four key performance indicators: RevPAR, efficiency, occupancy, and…
This paper aims to partially identify the distributional treatment effects (DTEs) that depend on the unknown joint distribution of treated and untreated potential outcomes. We construct the DTE bounds using panel data and allow individuals…
This study explores the influence of FOMC sentiment on market expectations, focusing on cognitive differences between experts and non-experts. Using sentiment analysis of FOMC minutes, we integrate these insights into a bounded rationality…
We present a simulation-based inference approach for two-stage estimators, focusing on extremum estimators in the second stage. We accommodate a broad range of first-stage estimators, including extremum estimators, high-dimensional…