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Estimating the effects of the minimum wage in a developing country: A density...
This paper proposes a framework to identify the effects of the minimum wage on the joint distribution of sector and wage in a developing country. I show how the discontinuity of... -
Estimating the distribution of welfare effects using quantiles (replication d...
This paper proposes a framework to model welfare effects that are associated with a price change in a population of heterogeneous consumers. The framework is similar to that of... -
Estimating global bank network connectedness (replication data)
We use LASSO methods to shrink, select, and estimate the high-dimensional network linking the publicly traded subset of the world's top 150 banks, 2003-2014. We characterize... -
Weak-instrument robust inference for two-sample instrumental variables regres...
Instrumental variable (IV) methods for regression are well established. More recently, methods have been developed for statistical inference when the instruments are weakly... -
Sequentially testing polynomial model hypotheses using power transforms of re...
We provide a methodology for testing a polynomial model hypothesis by generalizing the approach and results of Baek, Cho, and Phillips (Journal of Econometrics, 2015, 187,... -
Difference-in-differences when the treatment status is observed in only one p...
This paper considers the difference-in-differences (DID) method when the data come from repeated cross-sections and the treatment status is observed either before or after the... -
A sequential Monte Carlo approach to inference in multiple‐equation Markov‐sw...
Vector autoregressions with Markov-switching parameters (MS-VARs) offer substantial gains in data fit over VARs with constant parameters. However, Bayesian inference for MS-VARs... -
Combining density forecasts using focused scoring rules (replication data)
We investigate the added value of combining density forecasts focused on a specific region of support. We develop forecast combination schemes that assign weights to individual... -
Economies of diversification in the US credit union sector (replication data)
Significant scale economies have been recently cited to rationalize a dramatic growth in the US retail credit union sector over the past few decades. In this paper, we explore... -
Unobserved selection heterogeneity and the gender wage gap (replication data)
Selection correction methods usually make assumptions about selection itself. In the case of gender wage gap estimation, those assumptions are especially tenuous because of high... -
Doubly robust uniform confidence band for the conditional average treatment e...
In this paper, we propose a doubly robust method to estimate the heterogeneity of the average treatment effect with respect to observed covariates of interest. We consider a... -
Loss functions for predicted click-through rates in auctions for online adver...
We characterize the optimal loss functions for predicted click-through rates in auctions for online advertising. Whereas standard loss functions such as mean squared error or... -
An endogenously clustered factor approach to international business cycles (r...
Factor models have become useful tools for studying international business cycles. Block factor models can be especially useful as the zero restrictions on the loadings of some... -
Nonparametric methods and local-time-based estimation for dynamic power law d...
This paper introduces nonparametric econometric methods that characterize general power law distributions under basic stability conditions. These methods extend the literature... -
Efficient estimation of Bayesian VARMAs with time‐varying coefficients (repli...
Empirical work in macroeconometrics has been mostly restricted to using vector autoregressions (VARs), even though there are strong theoretical reasons to consider general... -
A discrete-choice model for large heterogeneous panels with interactive fixed...
What is the effect of funding costs on the conditional probability of issuing a corporate bond? We study this question in a novel dataset covering 5610 issuances by US firms... -
Estimating the economic costs of organized crime by synthetic control methods...
The economic costs of organized crime have been estimated for the case of southern Italy by Pinotti (Economic Journal 2015; 125, F203?F232, 2015): using synthetic control... -
Fat tails and spurious estimation of consumption-based asset pricing models (...
The standard generalized method of moments (GMM) estimation of Euler equations in heterogeneous-agent consumption-based asset pricing models is inconsistent under fat tails... -
Identifying relevant and irrelevant variables in sparse factor models (replic...
This paper considers factor estimation from heterogeneous data, where some of the variables-the relevant ones-are informative for estimating the factors, and others-the... -
Real exchange rate persistence and the excess return puzzle: The case of Swit...
The PPP puzzle refers to the wide swings of nominal exchange rates around their long-run equilibrium values whereas the excess return puzzle represents the persistent deviation...
