Econometrics

Authors and titles for econ.EM in Jul 2021

[1]  arXiv:2107.00928 [pdf, other]

Title: Partial Identification and Inference in Duration Models with Endogenous Censoring

Authors: Shosei Sakaguchi

Subjects: Econometrics (econ.EM); Methodology (stat.ME)

[2]  arXiv:2107.02637 [pdf, other]

Title: Difference-in-Differences with a Continuous Treatment

Authors: Brantly Callaway, Andrew Goodman-Bacon, Pedro H.C. Sant'Anna

Subjects: Econometrics (econ.EM)

[3]  arXiv:2107.02739 [pdf, other]

Title: Shapes as Product Differentiation: Neural Network Embedding in the Analysis of Markets for Fonts

Authors: Sukjin Han, Eric H. Schulman, Kristen Grauman, Santhosh Ramakrishnan

Subjects: Econometrics (econ.EM); Computer Vision and Pattern Recognition (cs.CV)

[4]  arXiv:2107.02780 [pdf, other]

Title: Causal Inference with Corrupted Data: Measurement Error, Missing Values, Discretization, and Differential Privacy

Authors: Anish Agarwal, Rahul Singh

Subjects: Econometrics (econ.EM); Machine Learning (cs.LG); Statistics Theory (math.ST); Machine Learning (stat.ML)

[5]  arXiv:2107.03253 [pdf, other]

Title: Dynamic Ordered Panel Logit Models

Authors: Bo E. Honoré, Chris Muris, Martin Weidner

Subjects: Econometrics (econ.EM)

[6]  arXiv:2107.03299 [pdf, other]

Title: Big Data Information and Nowcasting: Consumption and Investment from Bank Transactions in Turkey

Authors: Ali B. Barlas (BBVA Research), Seda Guler Mert (BBVA Research), Berk Orkun Isa (BBVA Research) Alvaro Ortiz (BBVA Research), Tomasa Rodrigo (BBVA Research), Baris Soybilgen (Bilgi University), Ege Yazgan (Bilgi University)

Comments: 31 pages, 7 figures, 9 tables

Subjects: Econometrics (econ.EM); Machine Learning (cs.LG); Statistical Finance (q-fin.ST)

[7]  arXiv:2107.03366 [pdf, other]

Title: Estimation and Inference in Factor Copula Models with Exogenous Covariates

Authors: Alexander Mayer, Dominik Wied

Subjects: Econometrics (econ.EM); Applications (stat.AP)

[8]  arXiv:2107.04851 [pdf, other]

Title: Machine Learning for Financial Forecasting, Planning and Analysis: Recent Developments and Pitfalls

Authors: Helmut Wasserbacher, Martin Spindler

Comments: 31 pages, 3 figures, 4 tables

Subjects: Econometrics (econ.EM); Artificial Intelligence (cs.AI)

[9]  arXiv:2107.04946 [pdf, other]

Title: Inference for the proportional odds cumulative logit model with monotonicity constraints for ordinal predictors and ordinal response

Authors: Javier Espinosa-Brito, Christian Hennig

Subjects: Econometrics (econ.EM); Methodology (stat.ME)

[10]  arXiv:2107.05263 [pdf, ps, other]

Title: A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters

Authors: Giacomo Bormetti, Fulvio Corsi

Comments: 48 pages, 10 figures, 1 table

Subjects: Econometrics (econ.EM); General Economics (econ.GN)

[11]  arXiv:2107.05559 [pdf, ps, other]

Title: Inference on Individual Treatment Effects in Nonseparable Triangular Models

Authors: Jun Ma, Vadim Marmer, Zhengfei Yu

Subjects: Econometrics (econ.EM); Methodology (stat.ME)

[12]  arXiv:2107.05936 [pdf, other]

Title: Testability of Reverse Causality Without Exogenous Variation

Authors: Christoph Breunig, Patrick Burauel

Subjects: Econometrics (econ.EM)

[13]  arXiv:2107.06089 [pdf, other]

Title: MinP Score Tests with an Inequality Constrained Parameter Space

Authors: Giuseppe Cavaliere, Zeng-Hua Lu, Anders Rahbek, Yuhong Yang

Subjects: Econometrics (econ.EM); Methodology (stat.ME)

[14]  arXiv:2107.06141 [pdf, other]

Title: Identification of Average Marginal Effects in Fixed Effects Dynamic Discrete Choice Models

Authors: Victor Aguirregabiria, Jesus M. Carro

Comments: 40 pages, 6 figures

Subjects: Econometrics (econ.EM)

[15]  arXiv:2107.06979 [pdf, other]

Title: Generalized Covariance Estimator

Authors: Christian Gourieroux, Joann Jasiak

Subjects: Econometrics (econ.EM); Methodology (stat.ME)

[16]  arXiv:2107.07804 [pdf, other]

Title: Subspace Shrinkage in Conjugate Bayesian Vector Autoregressions

Authors: Florian Huber, Gary Koop

Subjects: Econometrics (econ.EM); Applications (stat.AP)

[17]  arXiv:2107.07942 [pdf, other]

Title: Flexible Covariate Adjustments in Regression Discontinuity Designs

Authors: Claudia Noack, Tomasz Olma, Christoph Rothe

Subjects: Econometrics (econ.EM); Applications (stat.AP)

[18]  arXiv:2107.08112 [pdf, other]

Title: Hamiltonian Monte Carlo for Regression with High-Dimensional Categorical Data

Authors: Szymon Sacher, Laura Battaglia, Stephen Hansen

Comments: 20 pages 5 figures, 2 tables

Subjects: Econometrics (econ.EM); Methodology (stat.ME)

[19]  arXiv:2107.08498 [pdf, other]

Title: Decoupling Shrinkage and Selection for the Bayesian Quantile Regression

Authors: David Kohns, Tibor Szendrei

Comments: First Draft: 18/07/2021

Subjects: Econometrics (econ.EM); Machine Learning (stat.ML)

[20]  arXiv:2107.09235 [pdf, other]

Title: Nonlinear Approaches to Intergenerational Income Mobility allowing for Measurement Error

Authors: Brantly Callaway, Tong Li, Irina Murtazashvili

Comments: 42 pages, 3 figures

Subjects: Econometrics (econ.EM)

[21]  arXiv:2107.09736 [pdf, ps, other]

Title: Recent Developments in Inference: Practicalities for Applied Economics

Authors: Jeffrey D. Michler, Anna Josephson

Subjects: Econometrics (econ.EM)

[22]  arXiv:2107.11869 [pdf, ps, other]

Title: Adaptive Estimation and Uniform Confidence Bands for Nonparametric Structural Functions and Elasticities

Authors: Xiaohong Chen, Timothy Christensen, Sid Kankanala

Comments: The data-driven choice of sieve dimension in this paper is based on and supersedes Section 3 of the preprint arXiv:1508.03365v1

Subjects: Econometrics (econ.EM); Methodology (stat.ME); Machine Learning (stat.ML)

[23]  arXiv:2107.12494 [pdf, ps, other]

Title: A Unifying Framework for Testing Shape Restrictions

Authors: Zheng Fang

Subjects: Econometrics (econ.EM); Statistics Theory (math.ST); Methodology (stat.ME)

[24]  arXiv:2107.12552 [pdf, other]

Title: Estimating high-dimensional Markov-switching VARs

Authors: Kenwin Maung

Subjects: Econometrics (econ.EM)

[25]  arXiv:2107.13737 [pdf, other]

Title: Design-Robust Two-Way-Fixed-Effects Regression For Panel Data

Authors: Dmitry Arkhangelsky, Guido W. Imbens, Lihua Lei, Xiaoman Luo

Comments: 131 pages; R package available at this https URL; replication files available at this https URL

Subjects: Econometrics (econ.EM); General Economics (econ.GN); Methodology (stat.ME)