计量经济学

An input-output table is an important data for analyzing the economic situation of a region. Generally, the input-output table for each region (regional input-output table) in Japan is not always publicly available, so it is necessary to…

Estimates in judge designs run the risk of being biased due to the many judge identities that are implicitly or explicitly used as instrumental variables. The usual method to analyse judge designs, via a leave-out mean instrument,…

This paper proposes a novel dynamic forecasting method using a new supervised Principal Component Analysis (PCA) when a large number of predictors are available. The new supervised PCA provides an effective way to bridge the gap between…

This paper proves a new central limit theorem for a sample that exhibits two-way dependence and heterogeneity across clusters. Statistical inference for situations with both two-way dependence and cluster heterogeneity has thus far been an…

Word of mouth is a process by which consumers transmit positive or negative sentiment to other consumers about a business. While this process has long been recognized as a type of promotion for businesses, the value of word of mouth is…

This paper proposes an empirical model of dynamic discrete choice to allow for non-separable time preferences, generalizing the well-known Rust (1987) model. Under weak conditions, we show the existence of value functions and hence…

Recognizing that traditional forecasting models often rely solely on historical demand, this work investigates the potential of data-driven techniques to automatically select and integrate market indicators for improving customer demand…

Claim reserving primarily relies on macro-level models, with the Chain-Ladder method being the most widely adopted. These methods were heuristically developed without minimal statistical foundations, relying on oversimplified data…

We introduce a novel multivariate GARCH model with flexible convolution-t distributions that is applicable in high-dimensional systems. The model is called Cluster GARCH because it can accommodate cluster structures in the conditional…

Machine learning methods, particularly the double machine learning (DML) estimator (Chernozhukov et al., 2018), are increasingly popular for the estimation of the average treatment effect (ATE). However, datasets often exhibit unbalanced…

In studies of educational production functions or intergenerational mobility, it is common to transform the key variables into percentile ranks. Yet, it remains unclear what the regression coefficient estimates with ranks of the outcome or…

In P\"otscher and Preinerstorfer (2022) and in the abridged version P\"otscher and Preinerstorfer (2024, published in Econometrica) we have tried to clear up the confusion introduced in Hansen (2022a) and in the earlier versions Hansen…

We develop a Bayesian framework for cointegrated structural VAR models identified by two-state Markovian breaks in conditional covariances. The resulting structural VEC specification with Markov-switching heteroskedasticity (SVEC-MSH) is…

Surpassing the two large emission sectors of transportation and industry, the building sector accounted for 34% and 37% of global energy consumption and carbon emissions in 2021, respectively. The building sector, the final piece to be…

Can temporary subsidies to bundles induce long-run changes in demand due to learning about the quality of one of the constituent goods? This paper provides theoretical support and empirical evidence on this mechanism. Theoretically, we…

Local opposition to the installation of renewable energy sources is a potential threat to the energy transition. Local communities tend to oppose the construction of energy plants due to the associated negative externalities (the so-called…

The console gaming industry, a dominant force in the global entertainment sector, has witnessed a wave of consolidation in recent years, epitomized by Microsoft's high-profile acquisitions of Activision Blizzard and Zenimax. This study…

Decision-making plays a pivotal role in shaping outcomes in various disciplines, such as medicine, economics, and business. This paper provides guidance to practitioners on how to implement a decision tree designed to address treatment…

This paper proposes a sequential test procedure for determining the number of regimes in nonlinear multivariate autoregressive models. The procedure relies on linearity and no additional nonlinearity tests for both multivariate smooth…

The Neyman Allocation is used in many papers on experimental design, which typically assume that researchers have access to large pilot studies. This may be unrealistic. To understand the properties of the Neyman Allocation with small…