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On Robust Inference in Time Series Regression
Baillie, Richard; Diebold, Francis X.; Kapetanios, George; … - National Bureau of Economic Research - 2024
Least squares regression with heteroskedasticity consistent standard errors ("OLS-HC regression") has proved very … standard errors ("OLS-HAC regression"). First, in plausible time-series environments, OLS parameter estimates can be … avoided by the use of a simple and easily-implemented dynamic regression procedure, which we call DURBIN. We demonstrate the …
Persistent link: https://www.econbiz.de/10014576582
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Causal Effects in Matching Mechanisms with Strategically Reported Preferences
Bertanha, Marinho; Luflade, Margaux; Mourifié, Ismael - National Bureau of Economic Research - 2024
A growing number of central authorities use assignment mechanisms to allocate students to schools in a way that reflects student preferences and school priorities. However, most real-world mechanisms incentivize students to strategically misreport their preferences. In this paper, we provide an...
Persistent link: https://www.econbiz.de/10014544713
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A Sharp Test for the Judge Leniency Design
Coulibaly, Mohamed; Hsu, Yu-Chin; Mourifié, Ismael; … - National Bureau of Economic Research - 2024
We propose a new specification test to assess the validity of the judge leniency design. We characterize a set of sharp testable implications, which exploit all the relevant information in the observed data distribution to detect violations of the judge leniency design assumptions. The proposed...
Persistent link: https://www.econbiz.de/10014544734
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A User's Guide to Inference in Models Defined by Moment Inequalities
Canay, Ivan A.; Illanes, Gastón; Velez, Amilcar - National Bureau of Economic Research - 2023
Models defined by moment inequalities have become a standard modeling framework for empirical economists, spreading over a wide range of fields within economics. From the point of view of an empirical researcher, the literature on inference in moment inequality models is large and complex,...
Persistent link: https://www.econbiz.de/10014247961
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Identification of Non-Additive Fixed Effects Models : Is the Return to Teacher Quality Homogeneous?
Hahn, Jinyong; Singleton, John D.; Yildiz, Neşe - National Bureau of Economic Research - 2023
Panel or grouped data are often used to allow for unobserved individual heterogeneity in econometric models via fixed effects. In this paper, we discuss identification of a panel data model in which the unobserved heterogeneity both enters additively and interacts with treatment variables. We...
Persistent link: https://www.econbiz.de/10014322772
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Credible Numbers : A Procedure for Reporting Statistical Precision in Parameter Estimates
Astier, Nicolas; Wolak, Frank A. - National Bureau of Economic Research - 2024
Econometric software packages typically report a fixed number of decimal digits for coefficient estimates and their associated standard errors. This practice misses the opportunity to use rounding rules that convey statistical precision. Using insights from the testing statistical hypotheses of...
Persistent link: https://www.econbiz.de/10014486216
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How Credible is the Credibility Revolution?
Lang, Kevin - National Bureau of Economic Research - 2023
When economists analyze a well-conducted RCT or natural experiment and find a statistically significant effect, they conclude the null of no effect is unlikely to be true. But how frequently is this conclusion warranted? The answer depends on the proportion of tested nulls that are true and the...
Persistent link: https://www.econbiz.de/10014372423
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No Ground Truth? : No Problem : Improving Administrative Data Linking Using Active Learning and a Little Bit of Guile
Tahamont, Sarah; Jelveh, Zubin; McNeill, Melissa; Yan, Shi - National Bureau of Economic Research - 2023
While linking records across large administrative datasets ["big data"] has the potential to revolutionize empirical social science research, many administrative data files do not have common identifiers and are thus not designed to be linked to others. To address this problem, researchers have...
Persistent link: https://www.econbiz.de/10014250118
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Scenario Sampling for Large Supermodular Games
Graham, Bryan S.; Pelican, Andrin - National Bureau of Economic Research - 2023
This paper introduces a simulation algorithm for evaluating the log-likelihood function of a large supermodular binary-action game. Covered examples include (certain types of) peer effect, technology adoption, strategic network formation, and multi-market entry games. More generally, the...
Persistent link: https://www.econbiz.de/10014322897
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Machine Forecast Disagreement
Bali, Turan G.; Kelly, Bryan T.; Mörke, Mathis; … - National Bureau of Economic Research - 2023
We propose a statistical model of differences in beliefs in which heterogeneous investors are represented as different machine learning model specifications. Each investor forms return forecasts from their own specific model using data inputs that are available to all investors. We measure...
Persistent link: https://www.econbiz.de/10014337816