计量经济学

This paper develops a method to use singles' data in a non-parametric revealed preference setting of collective household choice. We use it to test the controversial assumption of preference stability between singles and couples, without…

Interaction effects are often economically central in environments where structural dynamic estimation becomes computationally infeasible. Under fixed group membership and sparse within-group interaction structure, the Bellman operator…

A fundamental problem with nonlinear models is that maximum likelihood estimates are not guaranteed to exist. Though nonexistence is a well known problem in the binary response model literature, it presents significant challenges for other…

We study estimation of the local average treatment effect on the treated ($LATT$) in instrumented difference-in-differences (IDiD) designs with covariates and staggered instrument exposure. We derive the efficient influence function (EIF)…

Empirical research shows that individuals' responses to treatments vary along latent characteristics, such as innate ability or motivation. Therefore, a policymaker seeking to maximize welfare may consider designing policies based on…

Social scientists are increasingly turning to unstructured datasets to unlock new empirical insights, e.g., estimating descriptive statistics of or causal effects on quantitative measures derived from text, audio, or video data. In many…

Structural estimation in economics often makes use of models formulated in terms of moment conditions. While these moment conditions are generally well-motivated, it is often unknown whether the moment restrictions hold exactly. We consider…

Multivalued treatments are commonplace in applications. We explore the use of discrete-valued instruments to control for selection bias in this setting. Our discussion revolves around the concept of targeting: which instruments target which…

This paper studies sample-size design for finite-population test-and-roll experiments, where a decision-maker first conducts an experiment on $m$ units and then assigns the remaining $N-m$ units to the treatment that performs better in the…

This paper studies a simple dynamic linear panel regression model with interactive fixed effects in which the variable of interest is measured with error. To estimate the dynamic coefficient, we consider the least-squares minimum distance…

This paper proposes an eigenvalue-based small-sample approximation of the celebrated Markov Chain Monte Carlo that delivers an invariant steady-state distribution that is consistent with traditional Monte Carlo methods. The proposed…

This study proposes a framework for estimating demand in differentiated product markets with high dimensional product characteristics, building upon the seminal Berry, Levinsohn, and Pakes (1995) model, using market level data. We allow for…

This paper develops a Hall-Sandpile model of economic instability that combines a Hall-like transversal stress mechanism with sandpile threshold dynamics on a real production-network substrate. In analogy with the physical Hall effect,…

On a 93-actor quarterly panel mixing macro indicators, institutional data, and firm-level investment ratios, global factor augmentation degrades prediction for actor subgroups whose dynamics are misrepresented by the shared basis. A…

Inference for fixed effects estimators is often unreliable due to Nickell- and incidental parameter biases. While these issues are well understood for classical two-dimensional panels, little is known about three-dimensional panel…

Sequential search models provide a powerful framework for studying consumer search using rich data that records the sequence of consumer actions taken during the search process. In existing empirical applications, their implementation often…

We propose a novel method for estimating nonseparable selection models. We show that, for a given selection function, the potential outcome distributions are nonparametrically identified from the selected outcome distributions and can be…

We develop a unified estimation and inference framework for dyadic network formation with individual fixed effects, covering both transferable-utility (TU) and nontransferable-utility (NTU) links under general link functions. Under NTU,…

Estimating network formation models with degree heterogeneity raises two problems in empirical networks. First, agents that send no links, receive no links, or link to all remaining agents can make the fixed-effects MLE fail to exist.…

In this paper we study the least squares (LS) estimator in a linear panel regression model with unknown number of factors appearing as interactive fixed effects. Assuming that the number of factors used in estimation is larger than the true…