Pub Date : 2024-09-02DOI: 10.1080/07474938.2024.2390392
Luya Wang, Jeffrey S. Racine, Qiaoyu Wang
We propose a novel bootstrap procedure for conducting inference for factor model-based average treatment effects estimators. Our method overcomes bias inherent to existing bootstrap procedures and ...
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Pub Date : 2024-09-02DOI: 10.1080/07474938.2024.2370171
Jerome M. Krief, Christopher F. Parmeter
This article considers the model Y=M(X,U) where U is an unobservable continuously distributed scalar and M is monotonic with respect to U. It is assumed there is an observable scalar W satisfying t...
本文考虑的模型是 Y=M(X,U)，其中 U 是不可观测的连续分布标量，M 相对于 U 是单调的。
{"title":"Estimation of random functions proxying for unobservables","authors":"Jerome M. Krief, Christopher F. Parmeter","doi":"10.1080/07474938.2024.2370171","DOIUrl":"https://doi.org/10.1080/07474938.2024.2370171","url":null,"abstract":"This article considers the model Y=M(X,U) where U is an unobservable continuously distributed scalar and M is monotonic with respect to U. It is assumed there is an observable scalar W satisfying t...","PeriodicalId":11438,"journal":{"name":"Econometric Reviews","volume":"44 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142205936","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-08-01DOI: 10.1080/07474938.2024.2373446
John A. List, Ian Muir, Gregory Sun
This study investigates the optimal use of covariates in reducing variance when analyzing experimental data. We show that finding the variance-minimizing strategy for making use of pre-treatment ob...
{"title":"Using machine learning for efficient flexible regression adjustment in economic experiments","authors":"John A. List, Ian Muir, Gregory Sun","doi":"10.1080/07474938.2024.2373446","DOIUrl":"https://doi.org/10.1080/07474938.2024.2373446","url":null,"abstract":"This study investigates the optimal use of covariates in reducing variance when analyzing experimental data. We show that finding the variance-minimizing strategy for making use of pre-treatment ob...","PeriodicalId":11438,"journal":{"name":"Econometric Reviews","volume":"40 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141934339","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-07-12DOI: 10.1080/07474938.2024.2364488
Marco Morales
Estimating the long-run variance (LRV) is crucial for several econometric issues. Constructing reliable heteroskedasticity autocorrelation consistent (HAC) variance-covariance matrices and implemen...
{"title":"Lag order selection for long-run variance estimation in econometrics","authors":"Marco Morales","doi":"10.1080/07474938.2024.2364488","DOIUrl":"https://doi.org/10.1080/07474938.2024.2364488","url":null,"abstract":"Estimating the long-run variance (LRV) is crucial for several econometric issues. Constructing reliable heteroskedasticity autocorrelation consistent (HAC) variance-covariance matrices and implemen...","PeriodicalId":11438,"journal":{"name":"Econometric Reviews","volume":"58 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141611137","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-07-09DOI: 10.1080/07474938.2024.2363237
Mingfeng Zhan, Karen X. Yan
This article considers the estimation of quantile treatment effects under the assumption of unconfoundedness given quasi-experimental data. We propose a semiparametric single-index method to estima...
{"title":"On the estimation of quantile treatment effects using a semiparametric propensity score","authors":"Mingfeng Zhan, Karen X. Yan","doi":"10.1080/07474938.2024.2363237","DOIUrl":"https://doi.org/10.1080/07474938.2024.2363237","url":null,"abstract":"This article considers the estimation of quantile treatment effects under the assumption of unconfoundedness given quasi-experimental data. We propose a semiparametric single-index method to estima...","PeriodicalId":11438,"journal":{"name":"Econometric Reviews","volume":"21 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141611061","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-07-09DOI: 10.1080/07474938.2024.2365795
Maurizio Daniele
We propose a novel method for the estimation of the number of factors in approximate factor models. The model is based on a penalized maximum likelihood approach incorporating an adaptive hierarchi...
{"title":"Selecting the number of factors in approximate factor models using group variable regularization","authors":"Maurizio Daniele","doi":"10.1080/07474938.2024.2365795","DOIUrl":"https://doi.org/10.1080/07474938.2024.2365795","url":null,"abstract":"We propose a novel method for the estimation of the number of factors in approximate factor models. The model is based on a penalized maximum likelihood approach incorporating an adaptive hierarchi...","PeriodicalId":11438,"journal":{"name":"Econometric Reviews","volume":"2019 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141587566","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-07-01DOI: 10.1080/07474938.2024.2357429
Santiago Pereda-Fernández
In this article, I propose a method to estimate the counterfactual distribution of an outcome variable when the treatment is endogenous, continuous, and its effect is heterogeneous. The types of co...
{"title":"Estimation of counterfactual distributions with a continuous endogenous treatment","authors":"Santiago Pereda-Fernández","doi":"10.1080/07474938.2024.2357429","DOIUrl":"https://doi.org/10.1080/07474938.2024.2357429","url":null,"abstract":"In this article, I propose a method to estimate the counterfactual distribution of an outcome variable when the treatment is endogenous, continuous, and its effect is heterogeneous. The types of co...","PeriodicalId":11438,"journal":{"name":"Econometric Reviews","volume":"25 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141587567","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-06-20DOI: 10.1080/07474938.2024.2359475
Huang Xiao
We consider a two-stage estimation method for linear regression. First, it uses the lasso in Tibshirani to screen variables and, second, re-estimates the coefficients using the least-squares boosti...
{"title":"Lassoed boosting and linear prediction in the equities market","authors":"Huang Xiao","doi":"10.1080/07474938.2024.2359475","DOIUrl":"https://doi.org/10.1080/07474938.2024.2359475","url":null,"abstract":"We consider a two-stage estimation method for linear regression. First, it uses the lasso in Tibshirani to screen variables and, second, re-estimates the coefficients using the least-squares boosti...","PeriodicalId":11438,"journal":{"name":"Econometric Reviews","volume":"24 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141504068","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-05-13DOI: 10.1080/07474938.2024.2342217
Jad Beyhum, Jean-Pierre Florens, Elia Lapenta, Ingrid Van Keilegom
The hypothesis of homogeneous treatment effects is central to the instrumental variables literature. This assumption signifies that treatment effects are constant across all subjects. It allows to ...
{"title":"Testing for homogeneous treatment effects in linear and nonparametric instrumental variable models","authors":"Jad Beyhum, Jean-Pierre Florens, Elia Lapenta, Ingrid Van Keilegom","doi":"10.1080/07474938.2024.2342217","DOIUrl":"https://doi.org/10.1080/07474938.2024.2342217","url":null,"abstract":"The hypothesis of homogeneous treatment effects is central to the instrumental variables literature. This assumption signifies that treatment effects are constant across all subjects. It allows to ...","PeriodicalId":11438,"journal":{"name":"Econometric Reviews","volume":"2015 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141153592","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-04-24DOI: 10.1080/07474938.2024.2334166
Dongwoo Kim, Daniel Wilhelm
This article proposes a powerful alternative to the t-test of the null hypothesis that a coefficient in a linear regression is equal to zero when a regressor is mismeasured. We assume there are two...
本文提出了一个强大的替代方法，即在线性回归中的系数等于零的零假设的 t 检验中，当一个回归因子被误测时。我们假设有两个...
{"title":"Powerful t-tests in the presence of nonclassical measurement error","authors":"Dongwoo Kim, Daniel Wilhelm","doi":"10.1080/07474938.2024.2334166","DOIUrl":"https://doi.org/10.1080/07474938.2024.2334166","url":null,"abstract":"This article proposes a powerful alternative to the t-test of the null hypothesis that a coefficient in a linear regression is equal to zero when a regressor is mismeasured. We assume there are two...","PeriodicalId":11438,"journal":{"name":"Econometric Reviews","volume":"60 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140831261","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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