Econometrics

Authors and titles for econ.EM in Mar 2024, skipping first 25

[26]  arXiv:2403.12653 [pdf, ps, other]

Title: Composite likelihood estimation of stationary Gaussian processes with a view toward stochastic volatility

Authors: Mikkel Bennedsen, Kim Christensen, Peter Christensen

Subjects: Econometrics (econ.EM); Mathematical Finance (q-fin.MF)

[27]  arXiv:2403.13725 [pdf, other]

Title: Robust Inference in Locally Misspecified Bipartite Networks

Authors: Luis E. Candelaria, Yichong Zhang

Subjects: Econometrics (econ.EM)

[28]  arXiv:2403.13738 [pdf, other]

Title: Policy Relevant Treatment Effects with Multidimensional Unobserved Heterogeneity

Authors: Takuya Ura, Lina Zhang

Subjects: Econometrics (econ.EM)

[29]  arXiv:2403.14036 [pdf, other]

Title: Fused LASSO as Non-Crossing Quantile Regression

Authors: Tibor Szendrei, Arnab Bhattacharjee, Mark E. Schaffer

Comments: 37 pages, 16 figures, 4 tables, 7348 words

Subjects: Econometrics (econ.EM)

[30]  arXiv:2403.14216 [pdf, other]

Title: A Gaussian smooth transition vector autoregressive model: An application to the macroeconomic effects of severe weather shocks

Authors: Markku Lanne, Savi Virolainen

Subjects: Econometrics (econ.EM)

[31]  arXiv:2403.15111 [pdf, other]

Title: Fast TTC Computation

Authors: Irene Aldridge

Subjects: Econometrics (econ.EM)

[32]  arXiv:2403.15220 [pdf, ps, other]

Title: Modelling with Discretized Variables

Authors: Felix Chan, Laszlo Matyas, Agoston Reguly

Comments: 35 pages, 4 tables, 2 figures

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

[33]  arXiv:2403.15258 [pdf, other]

Title: Tests for almost stochastic dominance

Authors: Amparo Baíllo, Javier Cárcamo, Carlos Mora-Corral

Comments: 35 pages, 5 figures, 1 table

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

[34]  arXiv:2403.15910 [pdf, other]

Title: Difference-in-Differences with Unpoolable Data

Authors: Sunny Karim, Matthew D. Webb, Nichole Austin, Erin Strumpf

Subjects: Econometrics (econ.EM)

[35]  arXiv:2403.15934 [pdf, other]

Title: Debiased Machine Learning when Nuisance Parameters Appear in Indicator Functions

Authors: Gyungbae Park

Subjects: Econometrics (econ.EM)

[36]  arXiv:2403.16177 [pdf, ps, other]

Title: The Informativeness of Combined Experimental and Observational Data under Dynamic Selection

Authors: Yechan Park, Yuya Sasaki

Subjects: Econometrics (econ.EM)

[37]  arXiv:2403.16844 [pdf, other]

Title: Resistant Inference in Instrumental Variable Models

Authors: Jens Klooster, Mikhail Zhelonkin

Comments: 39 pages, 4 figures, 3 tables

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

[38]  arXiv:2403.17624 [pdf, other]

Title: The inclusive Synthetic Control Method

Authors: Roberta Di Stefano, Giovanni Mellace

Subjects: Econometrics (econ.EM)

[39]  arXiv:2403.17777 [pdf, other]

Title: Deconvolution from two order statistics

Authors: JoonHwan Cho, Yao Luo, Ruli Xiao

Subjects: Econometrics (econ.EM)

[40]  arXiv:2403.18248 [pdf, other]

Title: Statistical Inference of Optimal Allocations I: Regularities and their Implications

Authors: Kai Feng, Han Hong

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

[41]  arXiv:2403.18503 [pdf, other]

Title: Distributional Treatment Effect with Latent Rank Invariance

Authors: Myungkou Shin

Subjects: Econometrics (econ.EM)

[42]  arXiv:2403.19363 [pdf, other]

Title: Dynamic Correlation of Market Connectivity, Risk Spillover and Abnormal Volatility in Stock Price

Authors: Muzi Chen, Nan Li, Lifen Zheng, Difang Huang, Boyao Wu

Journal-ref: Physica A: Statistical Mechanics and its Applications, 2022, 587: 126506

Subjects: Econometrics (econ.EM)

[43]  arXiv:2403.19439 [pdf, other]

Title: Dynamic Analyses of Contagion Risk and Module Evolution on the SSE A-Shares Market Based on Minimum Information Entropy

Authors: Muzi Chen, Yuhang Wang, Boyao Wu, Difang Huang

Journal-ref: Entropy 2021, 23(4), 434

Subjects: Econometrics (econ.EM)

[44]  arXiv:2403.04328 (cross-list from econ.TH) [pdf, other]

Title: A dual approach to nonparametric characterization for random utility models

Authors: Nobuo Koida, Koji Shirai

Comments: In this revision: typos in the preceding version has been fixed, and other changes are made mainly for readability. Results are unchanged

Subjects: Theoretical Economics (econ.TH); Econometrics (econ.EM)

[45]  arXiv:2403.11333 (cross-list from econ.TH) [pdf, other]

Title: Identification of Information Structures in Bayesian Games

Authors: Masaki Miyashita

Subjects: Theoretical Economics (econ.TH); Econometrics (econ.EM)

[46]  arXiv:2403.01318 (cross-list from stat.ML) [pdf, other]

Title: High-Dimensional Tail Index Regression: with An Application to Text Analyses of Viral Posts in Social Media

Authors: Yuya Sasaki, Jing Tao, Yulong Wang

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

[47]  arXiv:2403.01386 (cross-list from stat.ME) [pdf, other]

Title: Minimax-Regret Sample Selection in Randomized Experiments

Authors: Yuchen Hu, Henry Zhu, Emma Brunskill, Stefan Wager

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

[48]  arXiv:2403.03240 (cross-list from stat.ME) [pdf, ps, other]

Title: Triple/Debiased Lasso for Statistical Inference of Conditional Average Treatment Effects

Authors: Masahiro Kato

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

[49]  arXiv:2403.03299 (cross-list from stat.ME) [pdf, other]

Title: Understanding and avoiding the "weights of regression": Heterogeneous effects, misspecification, and longstanding solutions

Authors: Chad Hazlett, Tanvi Shinkre

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

[50]  arXiv:2403.03589 (cross-list from stat.ME) [pdf, other]

Title: Active Adaptive Experimental Design for Treatment Effect Estimation with Covariate Choices

Authors: Masahiro Kato, Akihiro Oga, Wataru Komatsubara, Ryo Inokuchi

Comments: This paper was submitted to ICML 2024 on February 1st, 2024, and is currently under review

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