计量经济学

In a globalised world, inflation in a given country may be becoming less responsive to domestic economic activity, while being increasingly determined by international conditions. Consequently, understanding the international sources of…

This article introduces a new estimator of average treatment effects under unobserved confounding in modern data-rich environments featuring large numbers of units and outcomes. The proposed estimator is doubly robust, combining outcome…

This study proposes a simple procedure to compute Efficient Pseudo Likelihood (EPL) estimator proposed by Dearing and Blevins (2024) for estimating dynamic discrete games, without computing Jacobians of equilibrium constraints. EPL…

Motivated by studying the effects of marriage prospects on students' college major choices, this paper develops a new econometric test for analyzing the effects of an unobservable factor in a setting where this factor potentially influences…

We show that in the approximate factor model the population normalised principal components converge in mean square (up to sign) under the standard assumptions for $n\to \infty$. Consequently, we have a generic interpretation of what the…

Without a control group, the most widespread methodologies for estimating causal effects cannot be applied. To fill this gap, we propose the Machine Learning Control Method, a new approach for causal panel analysis that estimates causal…

Many problems plague empirical Phillips curves (PCs). Among them is the hurdle that the two key components, inflation expectations and the output gap, are both unobserved. Traditional remedies include proxying for the absentees or…

This paper presents a Bayesian inference framework for a linear index threshold-crossing binary choice model that satisfies a median independence restriction. The key idea is that the model is observationally equivalent to a probit model…

This paper studies the power properties of confidence intervals (CIs) for a partially-identified parameter of interest with an interval identified set. We assume the researcher has bounds estimators to construct the CIs proposed by Stoye…

Contemporary testing problems in statistics are increasingly complex, i.e., high-dimensional. Tests based on the $2$- and $\infty$-norm have received considerable attention in such settings, as they are powerful against dense and sparse…

The risk premia of traded factors are the sum of factor means and a parameter vector we denote by {\phi} which is identified from the cross section regression of alpha of individual securities on the vector of factor loadings. If phi is…

This paper proposes a novel identification strategy relying on quasi-instrumental variables (quasi-IVs). A quasi-IV is a relevant but possibly invalid IV because it is not exogenous or not excluded. We show that a variety of models with…

In a classical model of the first-price sealed-bid auction with independent private values, we develop nonparametric estimators for several policy-relevant targets, such as the bidder's surplus and auctioneer's revenue under counterfactual…

This paper analyzes nonlinearities in the international transmission of financial shocks originating in the US. To do so, we develop a flexible nonlinear multi-country model. Our framework is capable of producing asymmetries in the…

This paper identifies an important bias - termed dynamic bias - in fixed effects panel estimators that arises when dynamic feedback is ignored in the estimating equation. Dynamic feedback occurs if past outcomes impact current outcomes, a…

This paper advances a variable screening approach to enhance conditional quantile forecasts using high-dimensional predictors. We have refined and augmented the quantile partial correlation (QPC)-based variable screening proposed by Ma et…

We introduce a novel GARCH model that integrates two sources of uncertainty to better capture the rich, multi-component dynamics often observed in the volatility of financial assets. This model provides a quasi closed-form representation of…

Christoffersen, Jacobs, Ornthanalai, and Wang (2008) (CJOW) proposed an improved Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model for valuing European options, where the return volatility is comprised of two distinct…

Inferring causal relationships from observational data is often challenging due to endogeneity. This paper provides new identification results for causal effects of discrete, ordered and continuous treatments using multiple binary…

This paper studies the inference about linear functionals of high-dimensional low-rank matrices. While most existing inference methods would require consistent estimation of the true rank, our procedure is robust to rank misspecification,…