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Estimation of average treatment effects using panel data when treatment effec...
This paper proposes a new panel data approach to identify and estimate the time-varying average treatment effect (ATE). The approach allows for treatment effect heterogeneity... -
Mixed causal–noncausal autoregressions with exogenous regressors (replication...
Mixed causal-noncausal autoregressive (MAR) models have been proposed to model time series exhibiting nonlinear dynamics. Possible exogenous regressors are typically substituted... -
Common correlated effects estimation of heterogeneous dynamic panel quantile ...
This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and interactive effects. The paper adopts the Common... -
Comovements in the real activity of developed and emerging economies: A test ...
Although globalization has shaped the world economy in recent decades, emerging economies have experienced impressive growth compared to developed economies, suggesting specific... -
Assessing international commonality in macroeconomic uncertainty and its effe...
This paper uses a large vector autoregression to measure international macroeconomic uncertainty and its effects on major economies. We provide evidence of significant...
