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作者：Cytrynbaum, Max
作者单位：Yale University
摘要：This paper studies covariate adjusted estimation of the average treatment effect in stratified experiments. We work in a general framework that includes matched tuples designs, coarse stratification, and complete randomization as special cases. Regression adjustment with treatment-covariate interactions is known to weakly improve efficiency for completely randomized designs. By contrast, we show that for stratified designs such regression estimators are generically inefficient, potentially eve...
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作者：Dou, Liyu
作者单位：Singapore Management University; The Chinese University of Hong Kong, Shenzhen
摘要：This paper considers the problem of deriving heteroskedasticity and autocorrelation robust (HAR) inference about a scalar parameter of interest. The main assumption is that there is a known upper bound on the degree of persistence in data. I derive finite-sample optimal tests in the Gaussian location model and show that the robustness-efficiency tradeoffs embedded in the optimal tests are essentially determined by the maximal persistence. I find that with an appropriate adjustment to the criti...
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作者：Cho, JoonHwan; Luo, Yao; Xiao, Ruli
作者单位：State University of New York (SUNY) System; Binghamton University, SUNY; University of Toronto; Indiana University System; Indiana University Bloomington
摘要：Economic data are often contaminated by measurement errors and truncated by ranking. This paper shows that the classical measurement error model with independent and additive measurement errors is identified nonparametrically using only two order statistics of repeated measurements. The identification result confirms a hypothesis by Athey and Haile (2002) for a symmetric ascending auction model with unobserved heterogeneity. Extensions allow for heterogeneous measurement errors, broadening the...
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作者：Hsu, Yu-Chin; Shen, Shu
作者单位：Academia Sinica - Taiwan; National Central University; National Chengchi University; National Taiwan University; University of California System; University of California Davis
摘要：Regression discontinuity is a popular tool for analyzing economic policies or treatment interventions. This research extends the classic static RD model to a dynamic framework, where observations are eligible for repeated RD events and, therefore, treatments. Such dynamics often complicate the identification and estimation of long-term average treatment effects. Empirical papers with such designs have so far ignored the dynamics or adopted restrictive identifying assumptions. This paper presen...
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作者：Ke, Shikun; Olea, Jose Luis Montiel; Nesbit, James
作者单位：Yale University; Cornell University
摘要：We study the Latent Dirichlet Allocation model, a popular Bayesian algorithm for text analysis. We show that the model's parameters are not identified, which suggests that the choice of prior matters. We characterize the range of values that the posterior mean of a given functional of the model's parameters can attain in response to a change in the prior, and we suggest two algorithms that report this range. Both of our algorithms rely on obtaining multiple Nonnegative Matrix Factorizations of...
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作者：Benhabib, Jess; Cui, Wei; Miao, Jianjun
作者单位：New York University; University of London; University College London; University of Groningen; Boston University
摘要：Compared to the distributions of earnings, the distributions of wealth in the US and many other countries are strikingly concentrated on the top and skewed to the right. To explain the income and wealth inequality, we provide a tractable heterogeneous-agent model with incomplete markets in continuous time. We separate illiquid capital assets from liquid bond assets and introduce jump risks to capital income, which are crucial for generating a thicker tail of the wealth distribution than that o...
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作者：Fan, Yanqin; Jiang, Shuo; Shi, Xuetao
作者单位：University of Washington; University of Washington Seattle; Xiamen University; University of Sydney
摘要：Building on the sequential identification result of Aguirregabiria and Mira (2019), this paper develops estimation and inference procedures for static games of incomplete information with payoff-relevant unobserved heterogeneity and multiple equilibria. With payoff-relevant unobserved heterogeneity, sequential estimation and inference face two main challenges: the matching-types problem and a large number of matchings. We tackle the matching-types problem by constructing a new minimum-distance...
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作者：Wang, Tong; Zhou, Congyi
作者单位：Ritsumeikan University; New York University
摘要：We study a mechanism that gives students the option of paying higher tuition to attend their preferred schools. This seat-purchasing mechanism is neither strategyproof nor stable. Our paper combines administrative and survey data to estimate students' preferences and conducts welfare analysis. We find that changing from a deferred acceptance mechanism to the cadet-optimal stable mechanism reduces students' welfare but that adopting the observed seat-purchasing mechanism alleviates this welfare...
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作者：Hintermaier, Thomas; Koeniger, Winfried
作者单位：University of Bonn; University of St Gallen; Swiss Finance Institute (SFI)
摘要：This paper quantifies mechanisms through which heterogeneity in household finances affects the transmission of monetary policy, considering housing tenure choices over the life cycle. Our analysis also identifies challenges for monetary policy related to housing busts. It focuses on the four largest economies in the euro area: France, Germany, Italy, and Spain. Through the lens of our model, we find that home ownership and endogenous transitions from renting to owning are key elements for the ...
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作者：Arkhangelsky, Dmitry; Imbens, Guido W.; Lei, Lihua; Luo, Xiaoman
作者单位：Stanford University; Stanford University; University of Cambridge; Stanford University
摘要：We propose a new estimator for average causal effects of a binary treatment with panel data in settings with general treatment patterns. Our approach augments the popular two-way-fixed-effects specification with unit-specific weights that arise from a model for the assignment mechanism. We show how to construct these weights in various settings, including the staggered adoption setting, where units opt into the treatment sequentially but permanently. The resulting estimator converges to an ave...
