计量经济学

This paper studies the principal component (PC) method-based estimation of weak factor models with sparse loadings. We uncover an intrinsic near-sparsity preservation property for the PC estimators of loadings, which comes from the…

We propose a new adaptive hypothesis test for inequality (e.g., monotonicity, convexity) and equality (e.g., parametric, semiparametric) restrictions on a structural function in a nonparametric instrumental variables (NPIV) model. Our test…

We introduce a new identification strategy for uncertainty shocks to explain macroeconomic volatility in financial markets. The Chicago Board Options Exchange Volatility Index (VIX) measures market expectations of future volatility, but…

We examine the challenges in ranking multiple treatments based on their estimated effects when using linear regression or its popular double-machine-learning variant, the Partially Linear Model (PLM), in the presence of treatment effect…

We propose a quantile random-coefficient regression with interactive fixed effects to study the effects of group-level policies that are heterogeneous across individuals. Our approach is the first to use a latent factor structure to handle…

This paper studies the properties of debiased machine learning (DML) estimators under a novel asymptotic framework, offering insights for improving the performance of these estimators in applications. DML is an estimation method suited to…

This paper generalizes the changes-in-changes (CIC) model to handle discrete treatments with more than two categories, extending the binary case of Athey and Imbens (2006). While the original CIC model is well-suited for binary treatments,…

We analyze demand settings where heterogeneous consumers maximize utility for product attributes subject to a nonlinear budget constraint. We develop nonparametric methods for welfare-analysis of interventions that change the constraint.…

Political stability is crucial for the socioeconomic development of nations, particularly in geopolitically sensitive regions such as the Gulf Cooperation Council Countries, Saudi Arabia, UAE, Kuwait, Qatar, Oman, and Bahrain. This study…

The Gulf Cooperation Council countries -- Oman, Bahrain, Kuwait, UAE, Qatar, and Saudi Arabia -- holds strategic significance due to its large oil reserves. However, these nations face considerable challenges in shifting from oil-dependent…

This paper introduces a novel theory-coherent shrinkage prior for Time-Varying Parameter VARs (TVP-VARs). The prior centers the time-varying parameters on a path implied a priori by an underlying economic theory, chosen to describe the…

This paper considers nonparametric estimation and inference in first-order autoregressive (AR(1)) models with deterministically time-varying parameters. A key feature of the proposed approach is to allow for time-varying stationarity in…

I propose an event study extension of Synthetic Difference-in-Differences (SDID) estimators. I show that, in simple and staggered adoption designs, estimators from Arkhangelsky et al. (2021) can be disaggregated into dynamic treatment…

Reverse Unrestricted MIxed DAta Sampling (RU-MIDAS) regressions are used to model high-frequency responses by means of low-frequency variables. However, due to the periodic structure of RU-MIDAS regressions, the dimensionality grows quickly…

This paper considers a semiparametric model of dyadic network formation under nontransferable utilities (NTU). NTU arises frequently in real-world social interactions that require bilateral consent, but by its nature induces additive…

Models with Conditional Moment Restrictions (CMRs) are popular in economics. These models involve finite and infinite dimensional parameters. The infinite dimensional components include conditional expectations, conditional choice…

The potential impact of non-sampling errors on election polls is well known, but measurement has focused on the margin of sampling error. Survey statisticians have long recommended measurement of total survey error by mean square error…

We study identification of dynamic discrete choice models with hyperbolic discounting. We show that the standard discount factor, present bias factor, and instantaneous utility functions for the sophisticated agent are point-identified from…

Many economic panel and dynamic models, such as rational behavior and Euler equations, imply that the parameters of interest are identified by conditional moment restrictions. We introduce a novel inference method without any prior…

I consider inference in a partially linear regression model under stationary $\beta$-mixing data after first stage deep neural network (DNN) estimation. Using the DNN results of Brown (2024), I show that the estimator for the finite…