Econometrics
Statistical methods for economic data, causal inference, and forecasting.
econ.EM ยท 119 papersDoubly Robust Instrumented Difference-in-Differences
This paper introduces doubly robust estimators for the local average treatment effect on the treated (LATT) in instrumented difference-in-differences (IDiD) designs.
Estimating peer effects in noisy, low-rank networks via network smoothing
This paper proposes a network smoothing method to estimate peer effects in noisy, low-rank networks, addressing measurement error.
Prior-Free Sample Size Design for Test-and-Roll Experiments
This paper proposes the Worst-case Marginal Benefit (WMB) rule for test-and-roll experiments, yielding an optimal sample size of N/3.
Analysis of interactive fixed effects dynamic linear panel regression with measurement error
This paper analyzes and proposes the LS-MD method for dynamic linear panel regression with interactive fixed effects and measurement error.
Fast Monte-Carlo
This paper introduces an eigenvalue-based Monte Carlo approximation that significantly reduces sample paths while maintaining accuracy and robustness.
Sharp regret-Hellinger bounds for Gaussian empirical Bayes via polynomial approximation
This paper introduces a novel polynomial approximation technique for Gaussian empirical Bayes, yielding sharper regret-Hellinger bounds directly.
Estimation and Inference for the $ฯ$-Quantile of Individual Heterogeneous Coefficient
This paper proposes a two-step quantile estimation framework for analyzing the distribution of individual heterogeneous coefficients in panel data.
Hall-Like Transversal Stress and Sandpile Criticality on Real Production Networks
This paper introduces a Hall-Sandpile model to analyze economic instability on real production networks, revealing how transversal stress activates structural fragility.
The Partial Testimony of Logs: Evaluation of Language Model Generation under Confounded Model Choice
A new three-source method (OBS, EXP, SIM) debiases language model evaluation from confounded logs, using EXP/SIM for causal recovery.
Penalized Likelihood for Dyadic Network Formation Models with Degree Heterogeneity
This paper introduces a penalized likelihood method to robustly estimate dyadic network formation models, addressing existence and bias issues from degree heterogeneity.
Bootstrap Inference under General Two-way Clustering with Serially and Spatially Dependent Common Effects
This paper introduces new bootstrap methods for robust inference in linear regressions with two-way clustered data and complex serial/spatial dependencies.
Linear Regression for Panel With Unknown Number of Factors as Interactive Fixed Effects
This paper shows the limiting distribution of the LS estimator in panel regression with unknown factors is independent of the estimated factor count if not underestimated.
Dynamic Linear Panel Regression Models with Interactive Fixed Effects
This paper analyzes and bias-corrects LS estimators and test statistics for dynamic linear panel regression with interactive fixed effects.
Estimation of random coefficients logit demand models with interactive fixed effects
This paper extends the BLP demand model by incorporating interactive fixed effects to address endogeneity and persistence in market shares.
Information Leakage at Population Scale: An Evaluation of the Polymarket Insider-Relevant Subpopulation, 2020-2026
This paper evaluates information leakage on Polymarket using the ILS-dl framework, finding its effective domain is narrower than expected due to resolution semantics, not computation.
Subsampling Under Two-way Clustering with Serial Correlation
This paper validates subsampling for inference in two-way clustered panels with serial correlation, introducing methods for non-Gaussian limits.
Treatment-effect heterogeneity and interactive fixed effects: Can we control for too much?
Interactive fixed effects (IFE) can fail to estimate average treatment effects when heterogeneity has a linear factor structure, due to a "bad-control" problem.
Doubly robust local projections difference-in-differences
DRLPDID is a new doubly robust local-projections difference-in-differences estimator for staggered treatments, offering consistent estimation and robust inference.
Bootstrap Inference in Nonlinear Panel Data Models with Interactive Fixed Effects
This paper demonstrates that parametric bootstrap provides valid inference and improved finite-sample performance for nonlinear panel data models with interactive fixed effects.
Do News and Social Media Tell the Same Story? Constructing and Comparing Sentiment Spillover Networks
This study compares news and social media sentiment spillover networks in tech companies, finding different information transmission patterns.
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