Vanessa Smith (University of York)
Title: TBA
Gavin (Guanhao) Feng (City University of Hong Kong)
"Illusion of Stock Return Predictability"
Stephen Szaura (BI Norwegian Business School)
Marcelo Medeiros, joint with Bayes (UIUC)
"Cost-aware portfolios in a large universe of assets"
Eric Renault (Warwick/Brown)
Efficient estimation of regression models [PDF 297KB]
Christian Wolf (MIT)
"From Policy Shocks to Counterfactuals: Extrapolating Policy Transmission" (joint with Tomas Caravello and Alisdair McKay)
Florian Huber (University of Salzberg)
"Bayesian Nonlinear Regression using Sums of Simple Functions"
Ao Wang (Warwick University)
"A BLP Demand Model of Product-Level Market Shares with Complementarity"
Patrick Gagliardini (University of Lugano)
Title : TBA
Robert (Bob) Miller (Carnegie Mellon)
"Long-term Contracts in Executive Compensation"
Clément de Chaisemartin (Sciences Po)
Title: tba
Silvia Miranda-Agrippino (Bank of England)
"The Aggregate Consequences of Overreaction” (joint with A. Cesa-Bianchi)
Jeremy Fox (Rice University)
"Estimating Matching Games with Profit and Price Data"
Nail Kashaev (Western Ontario)
Peer Effects in Random Consideration Sets [PDF 326KB]
Michele Fioretti (Sciences Po)
"Saving for a Dry Day: Coal, Dams and the Energy Transition" (joint with Jorge Tamayo)
Federico Carlini (Luiss)
Christian Bontemps (Toulouse School of Economics)
Pedro Sant'Anna (Microsoft)
Valentina Corradi (Surrey)
Predictive Ability Tests with Possibly Overlapping Models
Soohun Kim (KAIST)
Timothy Christensen (NYU/UCL)
"Externally Valid Policy Choice"
Kenichi Nagasawa (Warwick University)
"Treatment effect estimation with noisy conditioning variables"
Yunmi Kong (Rice University)
Risk and Information in Dispute Resolution: An Empirical Study of Arbitration [PDF 362KB]
Xiaoxia Shi (Univesity of Wisconsin - Madison)
Mingli Chen (University of Warwick)
"High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing"
Pedro Sant'Anna (Vanderbilt)
"Conditional Treatment Effects in Difference in Differences Designs" (joint with Brantly Callaway and Xiaohong Chen).
Andras Fulop (ESSEC Business School)
Real-Time Macro Information and Bond Return Predictability A Weighted Group Deep Learning Approach [PDF 312KB]
Alessandro Iaria (University of Bristol)
An Empirical Model of Quantity Discounts with Large Choice Sets [PDF 499KB]
Alexandre Belloni (Duke University)
Subvector Inference in Partially Identified Models with Many Moment Inequalities
Pamela Giustinelli (Bocconi)
"SeaTE: Subjective ex ante Treatment Effect of Health on Retirement"
Arun Chandrasekhar (Stanford University)
"Effects of Caste-Based Affirmative Action in Governance on Socio-Economic Networks and Resource Provision"
Guillaume Chevillon (ESSEC Business School)
We modeled long memory with just one lag [PDF 590KB]
Tatiana Komarova (LSE)
Davide Pettenuzzo (Brandeis University)
"Dividend Suspensions and Cash Flows During the COVID-19 Pandemic: A Dynamic Econometric Model"
Francesca Monti (Université catholique de Louvain)
Heterogeneous beliefs and the Phillips curve [PDF 1,267KB]
Gaetan Bakalli (Auburn University)
"A Penalized Two-Pass Regression to Predict Stock Returns with Time-Varying Risk Premia"
Giuseppe Cavaliere (University of Bologna)
"Bootstrap Inference in the Presence of Bias" (joint with Sílvia Goncalves and Morten Orregaard Nielsen)
Myrto Kalouptsidi (Harvard University)
"Counterfactual Analysis for Structural Dynamic Discrete Choice Models [PDF 1,196KB]" (joint with Yuichi Kitamura, Lucas Lima, and Eduardo Souza-Rodrigues)
Jun Yu (Singapore Management School)
"Different Strokes for Different Folks: Long Memory and Roughness" (joint with Shuping Shi)
Lorenzo Magnolfi (University of Wisconsin - Madison)
"Estimation of Games under No Regret" (joint with Niccolo Lomys and Nicola Roncoroni)
Marcelo Medeiros (Pontifical Catholic University of Rio de Janeiro)
"Bridging Factor And Sparse Models [PDF 1,711KB]" (joint with Jianqing Fan and Ricardo Masini)
Francesca Molinari (Cornell University)
"Information Based Inference with Set-valued Predictions or Observations [PDF 61KB]" (joint with Hiroaki Kaido)
Roger Moon (University of Southern California)
"Robust Forecasting [PDF 974KB]" (joint with Timothy Christensen and Frank Schorfheide)
Markus Pelger (Stanford University)
"Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference"
Olivier Scaillet (University of Geneva)
"A penalized two-pass regression to predict stock returns with time-varying risk premia [PDF 593KB]" (joint with Gaetan Bakalli and Stéphane Guerrier)
Christian Matthes (Indiana University)
"Economic Theories and Macroeconomic Reality" (joint with Francesca Loria and Mu-Chun Wang)
Carlos M Carvalho (University of Texas Austin, McCombs School of Business)
"Searching for Dusty Corners: Understanding the Prediction of the Cross Section of Returns"
Loriano Mancini (USI)
"Portfolio choice when stock returns may disappoint: An empirical analysis based on L-moments"
Christian Brownlees (Universitat Pompeu Fabra)
"Performance of Empirical Risk Minimization for Linear Regression with Dependent Data" (joint with Gudmundur Stefan Gudmundsson)
Jihyun Kim (Toulouse School of Economics)
"Unit Root, Mean Reversion and Nonstationarity in Financial Time Series"
Andre Lucas (VU University Amsterdam)
"Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution"
Giovanni Ricco (University of Warwick)
"The Global Transmission of U.S. Monetary Policy" (joint with Ricardo Degasperi and Seokki Simon Hong)
Philippe Goulet Coulombe (University of Pennsylvania)
"The Macroeconomy as a Random Forest"
Pedro Souza (University of Warwick)
"Identifying Network Ties from Panel Data"
Sung Hoon Choi (Rutgers University)
"Feasible Weighted Projected Principal Component Analysis for Factor Models with an Application to Bond Risk Premia"
Lukas Hoesch (Universitat Pompeu Fabra)
"Specification Tests Robust to Multiple Instabilities"
Shuyi Ge (University of Cambridge)
"Text-Based Linkages and Local Risk Spillovers in the Equity Market"
Cristina Gualdani (Toulouse School of Economics)
"Identification in discrete choice models with imperfect information"
Pedro CL Souza (Warwick University)
"Security Transitions and Identifying Network Ties from Panel Data"
Ivan Petrella (Warwick Business School)
"Dividend Momentum and Stock Return Predictability: A Bayesian Approach" (joint with Juan Antolin-Diaz and Juan F. Rubio-Ramirez)
Ruixuan Liu (Emory University)
"Bayesian estimation and inference with generated regressors"
Michele Modugno (Federal Reserve Board)
"Monetary Policy Uncertainty and Monetary Policy Surprises"
Karim Chalak (University of Virginia)
"Gini-Frisch Bounds: Generalizations and Applications"
"Identification and inference in discrete choice models with imperfect information"
Robin Bruan (Bank of England)
"The importance of supply and demand for oil prices: evidence from a SVAR identified by non-Gaussianity"
Christophe Gaillac (Toulouse School of Economics)
"Robust Ecological Inference with an Application to Voting Experiments"
Bruno Ferman (Sao Paulo School of Economics)
"On the properties of the synthetic control estimator"
Sukjin Han (University of Texas)
"Optimal Dynamic Treatment Regimes and Partial Welfare Ordering [PDF 564KB]"
Harold Chiang (Vanderbilt University)
"Many average partial effects: with an application to text regression [PDF 660KB]"
Xuetao Shi (University of Washington)
"Testing When Parameters are Subject to Linear Inequality Constraints [PDF 797KB]"
Seok Young Hong (University of Nottingham)
"Nonparametric estimation of infinite order regression and its application to risk-return tradeoff [PDF 1,991KB]"
Martin Almuzara (CEMFI)
"Heterogeneity in Transitory Income Risk"
Simon Smith (University of Southern California)
"Break Risk [PDF 1,995KB]"
Menelaos Karanasos (Brunel University London)
"A Theory for the ARMA(infinity,q) model" (joint work with Baillie R., Paraskevopoulos A., Sibbertsen P.)
Carlos Velasco (University Carlos III de Madrid)
"Identification of possibly nonfundamental Structural VARMA models using higher order moments"
Riccardo Masolo (Bank of England)
"Ambiguity, Monetary Policy and Trend Inflation [PDF 537KB]"
Weining Wang (City, University of London)
"Inference of Break-Points in High-Dimensional Time Series"
Ryo Okui (Seoul National University)
"Estimation of a break point in group membership structure" (joint with Robin L. Lumsdaine and Wendun Wang)
George Kapetanios (King's College London)
"Making text count"
Joachim Freyberger (University of Wisconsin-Madison)
"Inference under shape restriction"
Ronand Gallant (Penn State University)
"Cash Flows Discounted Using a Model Free SDF Extracted under a Yield Curve Prior"
Yuichi Kitamura (Yale University)
"Methods for nonparametric counterfactual analysis with (or without) convex structure"
Majid Al Sadoon (Durham University)
"The Identification Problem for Linear Rational Expectation Models"
Jan Beran (University of Konstanz)
"On ridge estimation for strongly dependent data"
Arturas Juodis (University of Groningen)
"The Incidental Parameters Problem in Testing for Remaining Cross-section Correlation"
Roger Koenker (UCL)
"Nonparametric maximum likelihood methods for binary response models with random coefficients"
"Quantile Graphical Models: Prediction and Conditional Independence with Applications to Systemic Risk"
Michaela Kesina (ETH)
"Estimation of models with an endogenous spatial weights matrix - transformation approaches for cross-sectional and panel data"
Wendun Wang (EUR)
"Latent Group Structures with Heterogeneous Distributions: Identification and Estimation"
Wendun Wang (Erasmus University Rotterdam)
"Heterogeneous structural breaks in panel data models" (joint with Ryo Okui)
Shin Kanaya (University of Aarhus)
"Demand and Welfare Analysis in Discrete Choice Models under Social Interactions" (joint with Debopam Bhattacharya and Pascaline Dupas)
Ivan Fernandez-Val (Boston University)
"Distribution Regression with Sample Selection, with an Application to Wage Decompositions in the UK" (joint with Victor Chernozhukov and Siyi Luo)
Andrea Tamoni (London School of Economics)
"Mind the (Convergence) Gap: Forward Rates Strike Back! [PDF 787KB]"
Stefan Hubner (University of Oxford)
"It’s complicated: A Non–parametric Test of Preference Stability between Singles and Couples [PDF 313KB]"
Daniele Bianchi (Warwick Business School)
"Large-Scale Dynamic Predictive Regressions [PDF 1,958KB]"
Christiane Baumeister (University of Notre Dame)
Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations [PDF 904KB] (joint with James D Hamilton)
Toru Kitagawa (UCL)
"Equality-minded treatment choice" (joint with Aleksey Tetenov)
Katerina Petrova (University of St Andrews)
"Robust Bayesian inference in the presence of distributional misspecification in VAR models"
Jean-Michel Zakoian (CREST)
"Noncausal heavy-tailed autoregressive process and the modeling of bubbles"
Irene Botosaru (University of Bristol)
"Binarization for panel models with fixed effects"
Benedikt Pötscher (University of Vienna)
"Controlling the Size of Autocorrelation Robust Tests" (joint with David Preinerstorfer)
Cisil Sarisoy (Northwestern University)
"Variance Dynamics in Term Structure Models"
Didier Nibbering (Erasmus University Rotterdam)
"A high-dimensional multinomial choice model with an application to holiday destinations"
Ekaterina Smetanina (University of Cambridge)
"Forecast Evaluation Tests - A New Approach"
Emanuele Bacchiocchi (University of Milan)
"Uncertainty across volatility regimes"
Jungyoon Lee (Royal Holloway)
"Adaptive estimation and testing in pure spatial models"
George Kapetanios (King's College)
"Topics in time varying coefficient models"
Dario Caldara (The Fed)
"Measuring Geopolitical Risk"
Christian Brownlees (University Pompeu Fabra)
"Detecting Granular Time Series in Large Panels" (joint with Geert Mesters)
Abhimanyu Gupta (University of Essex)
"Nonparametric specification testing via the trinity of tests"
Ron Smith (Birkbeck University of London)
"Tests of Policy Interventions in DSGE Models" (joint with Hashem Pesaran)
Walter Distaso (Imperial College Business School)
"Testing for jump spillovers without testing for jumps"
Bent Nielsen (Oxford University)"Testing for Normality in Robust Regressions" (joint with Vanessa Berenguer Rico)
Raffaella Giacomini (UCL)"Uncertain identification" (joint with Toru Kitagawa and Alessio Volpicella)
Dennis Kristensen (UCL)"Bayesian Indirect Inference and the Approximate Bayesian Computation of GMM"
Taisuke Otsu (LSE)"Measurement Errors in Non/Semiparametric Econometric Problems"
Mark Jensen (Federal Reserve Bank of Atlanta)"Cross-Sectional Mutual Fund Performance"
Abderrahim Taamouti (Durham University)"Measuring Nonlinear Granger Causality in Mean"
Offer Lieberman (Bar-Ilan University)"A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing [PDF 38KB]"
Hyungsik Roger Moon (University of Southern Califonia)"Estimation of Random Coefficients Logit Demand Models with Interactive Fixed Effects [PDF 548KB]"
Barbara Rossi (University Pompeu Fabra)"Alternative Tests for Correct Specification ofConditional Predictive Densities"
Timo Terasvirta (Aarhus University)
"A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market"