Results 231 to 240 of about 1,325 (293)

High‐Frequency Instruments With Time‐Varying Reliability: Understanding Identification in Macroeconomics

Journal of Applied Econometrics, EarlyView.
ABSTRACT The effects of monetary policy shocks are regularly estimated using high‐frequency surprises in asset prices around central bank meetings as an instrument. These studies, insofar as they explicitly model the relationship between instrument and structural shock, assume a constant relationship between the instrument and the monetary policy shock.
Pooyan Amir‐Ahmadi, Christian Matthes, Mu‐Chun Wang   +2 more
wiley   +1 more source

Combined P-Value Functions for Compatible Effect Estimation and Hypothesis Testing in Drug Regulation. [PDF]

Stat Med
Pawel S, Roos M, Held L.
europepmc   +1 more source

Robust Tests of Forecast Accuracy for Factor‐Augmented Regressions With an Application to the Novel EA‐MD‐QD Dataset

Journal of Applied Econometrics, EarlyView.
ABSTRACT We present four novel tests of equal predictive accuracy and encompassing á Pitarakis (2023, 2025) for factor‐augmented regressions. Factors are estimated using cross‐section averages (CAs) of grouped series and our theoretical findings are empirically relevant: asymptotic normality, robustness to an overspecification of the number of factors,
Alessandro Morico, Ovidijus Stauskas
wiley   +1 more source

A Sharp Quantitative Alexandrov Inequality and Applications to Volume Preserving Geometric Flows in 3D. [PDF]

Arch Ration Mech Anal
Julin V, Morini M, Oronzio F, Spadaro E.
europepmc   +1 more source

Improving the Finite Sample Estimation of Average Treatment Effects Using Double/Debiased Machine Learning With Propensity Score Calibration

Journal of Applied Econometrics, EarlyView.
ABSTRACT Double/debiased machine learning (DML) uses for estimating an average treatment effect (ATE) a double‐robust score function that relies on the prediction of nuisance functions, such as the propensity score, which is the probability of treatment assignment given covariates.
Daniele Ballinari, Nora Bearth
wiley   +1 more source

On the best constants of Schur multipliers of second order divided difference functions. [PDF]

Math Ann
Caspers M, Reimann J.
europepmc   +1 more source

Convergence rate of precise asymptotics in the Baum-Katz laws of large numbers

Yu Miao, Xuefeng Sun
openalex   +2 more sources

A Joint Test of Unconfoundedness and Common Trends

Journal of Applied Econometrics, EarlyView.
ABSTRACT We introduce an overidentification test of two alternative assumptions to identify the average treatment effect on the treated in a two‐period panel data setting: unconfoundedness and common trends. Under unconfoundedness, treatment assignment and post‐treatment outcomes are independent, conditional on control variables and pre‐treatment ...
Martin Huber, Eva‐Maria Oeß
wiley   +1 more source

Objective Priors for Invariant e-Values in the Presence of Nuisance Parameters. [PDF]

Entropy (Basel)
Bortolato E, Ventura L.
europepmc   +1 more source

Bayesian Model Averaging in Causal Instrumental Variable Models

Journal of Applied Econometrics, EarlyView.
ABSTRACT Instrumental variables are a popular tool to infer causal effects under unobserved confounding, but choosing suitable instruments is challenging in practice. We propose gIVBMA, a Bayesian model averaging procedure that addresses this challenge by averaging across different sets of instrumental variables and covariates in a structural equation ...
Gregor Steiner, Mark Steel
wiley   +1 more source