This paper considers the estimation and inference of spatial panel data models with heterogeneous spatial lag coefficients, with and without weakly exogenous regressors, and subject to heteroskedastic errors. A quasi maximum likelihood (QML) estimation procedure is developed and the conditions...

In this paper, we study the double machine learning (DML) approach of Chernozhukovet al. (2018) for estimating average treatment effect and apply this approach to examine the Big N audit quality effect in the accounting literature. This approach relies on machine learning methods and is suitable...

In spatial econometrics literature estimation and inference are carried out assuming that the matrix of spatial or network connections has uniformly bounded absolute column sums in the number of units, n, in the network. This paper relaxes this restriction and allows for one or more units to...

We study how employers and job-seekers respond to credible information on skills that are difficult to observe, and how this affects matching in the labor market. To do so, we experimentally vary whether certificates on workers' non-cognitive skills are disclosed to both sides of the market...

This paper develops and solves a spatiotemporal equilibrium model in which regional wages and house prices are determined jointly with location-to-location migration flows. The agent's optimal location choice and the resultant migration process is shown to be Markovian with the transition...

We propose an inference procedure for estimators defined by mathematical programming problems, focusing on the important special cases of linear programming (LP) and quadratic programming (QP). In these settings, the coefficients in both the objective function and the constraints of the...

We propose two Mathematical Programming with Equilibrium Constraints (MPEC) formulations: the MPEC-Sparse and the MPEC-Dense to estimate a class of separable matching models. We compare MPEC with the Nested Fixed-Point (NFXP) algorithm -- a well-received method in the literature of structural...

In a stock market experiment we examine how regret avoidance influences the decision to sell an asset while its price changes over time. Participants know beforehand whether they will observe the future prices after they sell the asset or not. Without future prices participants are affected only...

Since the early 2000s, China's central bank has been intervening actively in the foreign exchange markets to prevent sharp appreciation of the Chinese currency. At the same time, it issues central bank bills, a type of short-term central bank debt, to absorb the increase of bank reserves caused...

Most research on financial systemic stability assumes an economy in which banks are subjectto exogenous shocks, but in practice, banks choose their exposure to risk. This paper studiesthe determinants of this endogenous risk exposure when banks are connected in a financialnetwork. I show that...