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Found 14 papers, 6 papers with code
Identifying and exploiting alpha in linear asset pricing models with strong, semi-strong, and latent factors
The risk premia of traded factors are the sum of factor means and a parameter vector we denote by {\phi} which is identified from the cross section regression of alpha of individual securities on the vector of factor loadings.
Forecasting with panel data: Estimation uncertainty versus parameter heterogeneity
We provide a comprehensive examination of the predictive accuracy of panel forecasting methods based on individual, pooling, fixed effects, and Bayesian estimation, and propose optimal weights for forecast combination schemes.
High-dimensional forecasting with known knowns and known unknowns
Forecasts play a central role in decision making under uncertainty.
Variable Selection in High Dimensional Linear Regressions with Parameter Instability
We pose the issue of whether one should use weighted or unweighted observations at the variable selection stage in the presence of parameter instability, particularly when the number of potential covariates is large.
Pooled Bewley Estimator of Long Run Relationships in Dynamic Heterogenous Panels
Using a transformation of the autoregressive distributed lag model due to Bewley, a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics is proposed.
Causal effects of the Fed's large-scale asset purchases on firms' capital structure
We investigate the short- and long-term impacts of the Federal Reserve's large-scale asset purchases (LSAPs) on non-financial firms' capital structure using a threshold panel ARDL model.
Trimmed Mean Group Estimation of Average Treatment Effects in Ultra Short T Panels under Correlated Heterogeneity
Extensions to panels with time effects are provided, and a Hausman-type test of correlated heterogeneity is proposed.
Structural Econometric Estimation of the Basic Reproduction Number for Covid-19 Across U.S. States and Selected Countries
This paper proposes a structural econometric approach to estimating the basic reproduction number ($\mathcal{R}_{0}$) of Covid-19.
Heterogeneous Autoregressions in Short T Panel Data Models
It proposes estimators for the moments of the cross-sectional distribution of the autoregressive (AR) coefficients, assuming a random coefficient model for the autoregressive coefficients without imposing any restrictions on the fixed effects.
Identification and Estimation of Categorical Random Coefficient Models
The utility of the proposed estimator is illustrated by estimating the distribution of returns to education in the U. S. by gender and educational levels.
Identifying the Effects of Sanctions on the Iranian Economy using Newspaper Coverage
This paper considers how sanctions affected the Iranian economy using a novel measure of sanctions intensity based on daily newspaper coverage.
A Bias-Corrected CD Test for Error Cross-Sectional Dependence in Panel Data Models with Latent Factors
In a recent paper Juodis and Reese (2021) (JR) show that the application of the CD test proposed by Pesaran (2004) to residuals from panels with latent factors results in over-rejection and propose a randomized test statistic to correct for over-rejection, and add a screening component to achieve power.
Matching Theory and Evidence on Covid-19 using a Stochastic Network SIR Model
This paper develops an individual-based stochastic network SIR model for the empirical analysis of the Covid-19 pandemic.
Long-Term Macroeconomic Effects of Climate Change: A Cross-Country Analysis
We study the long-term impact of climate change on economic activity across countries, using a stochastic growth model where labor productivity is affected by country-specific climate variables—defined as deviations of temperature and precipitation from their historical norms.
