计量经济学

The synthetic controls (SC) methodology is a prominent tool for policy evaluation in panel data applications. Researchers commonly justify the SC framework with a low-rank matrix factor model that assumes the potential outcomes are…

This paper studies a cluster robust variance estimator proposed by Chiang, Hansen and Sasaki (2024) for linear panels. First, we show algebraically that this variance estimator (CHS estimator, hereafter) is a linear combination of three…

This paper revisits the identification and estimation of a class of semiparametric (distribution-free) panel data binary choice models with lagged dependent variables, exogenous covariates, and entity fixed effects. We provide a novel…

Empirical economic studies often involve multiple propositions or hypotheses, with researchers aiming to assess both the collective and individual evidence against these propositions or hypotheses. To rigorously assess this evidence,…

Growth-at-Risk has recently become a key measure of macroeconomic tail-risk, which has seen it be researched extensively. Surprisingly, the same cannot be said for Inflation-at-Risk where both tails, deflation and high inflation, are of key…

Randomized controlled trials (RCTs) have long been the gold standard for causal inference across various fields, including business analysis, economic studies, sociology, clinical research, and network learning. The primary advantage of…

We introduce a sequential estimator for continuous time dynamic discrete choice models (single-agent models and games) by adapting the nested pseudo likelihood (NPL) estimator of Aguirregabiria and Mira (2002, 2007), developed for discrete…

We propose a new sequential Efficient Pseudo-Likelihood (k-EPL) estimator for dynamic discrete choice games of incomplete information. k-EPL considers the joint behavior of multiple players simultaneously, as opposed to individual responses…

Corporate social responsibility encourages companies to integrate social and environmental concerns into their activities and their relations with stakeholders. It encompasses all actions aimed at the social good, above and beyond corporate…

We highlight that match fixed effects, represented by the coefficients of interaction terms involving dummy variables for two elements, lack identification without specific restrictions on parameters. Consequently, the coefficients…

A large degree of overidentification causes severe bias in TSLS. A conventional heuristic rule used to motivate new estimators in this context is approximate bias. This paper formalizes the definition of approximate bias and expands the…

High-dimensional covariates often admit linear factor structure. To effectively screen correlated covariates in high-dimension, we propose a conditional variable screening test based on non-parametric regression using neural networks due to…

We study the gradient wild bootstrap-based inference for instrumental variable quantile regressions in the framework of a small number of large clusters in which the number of clusters is viewed as fixed, and the number of observations for…

This paper studies the finite sample performance of the flexible estimation approach of Farrell, Liang, and Misra (2021a), who propose to use deep learning for the estimation of heterogeneous parameters in economic models, in the context of…

This review discusses methods of testing for a panel unit root. Modern approaches to testing in cross-sectionally correlated panels are discussed, preceding the analysis with an analysis of independent panels. In addition, methods for…

This paper extends quantile factor analysis to a probabilistic variant that incorporates regularization and computationally efficient variational approximations. We establish through synthetic and real data experiments that the proposed…

The literature on dynamic discrete games often assumes that the conditional choice probabilities and the state transition probabilities are homogeneous across markets and over time. We refer to this as the "homogeneity assumption" in…

The issue of missing network links in partially observed networks is frequently neglected in empirical studies. This paper addresses this issue when investigating the spillovers of program benefits in the presence of network interactions.…

Preferences for mixing can reveal ambiguity perception and attitude on a single event. The validity of the approach is discussed for multiple preference classes including maxmin, maxmax, variational, and smooth second-order preferences. An…

Recent years have seen a resurgence in interest in marketing mix models (MMMs), which are aggregate-level models of marketing effectiveness. Often these models incorporate nonlinear effects, and either implicitly or explicitly assume that…