Abstract This study proposes a tying maximum likelihood estimation (TMLE) method to improve the performance of estimation of statistical and econometric models in which most time series have long sample periods, whereas the other time series are very short. The main idea of the TMLE is to tie...

Many practical decision-making problems in economics and healthcare seek to estimate the average treatment effect (ATE) from observational data. The Double/Debiased Machine Learning (DML) is one of the prevalent methods to estimate ATE in the observational study. However, the DML estimators can...

The movement of people from an economic deserted area in search of favorable economic fortune elsewhere has been an age long practice, that was birthed and promoted by poverty, extreme weather condition, terrorism, ethic and communal crisis among other social and economic vices present in...

We compare several nested fixed point and optimization procedures for computing the estimator of the widely-used empirical market demand model developed by Berry et al. (1995). It is well-known that the optimization may often lead to multiple local optima, which, if ignored, can lead to...

We propose a new identification and estimation method for the extended Roy model, in which the agents maximize their utility rather than just their outcome. We nonparametrically identify the joint distribution of potential outcomes, which is of great importance particularly in treatment effect...

It is common to assess moderation effect with moderated regression analysis. If the interaction effect is detected by moderated regression analysis, one may subsequently assess the simple effect of the focal predictor with simple slopes analysis. However, the two traditional analyses may suffer...

In this paper we estimate the skewness of the unconditional distribution of energy returns and test its statistical significance. We compare the performance of traditional and robust tests for symmetry with those based on the implied unconditional skewness in a TGARCH model with Gram-Charlier...

This paper proposes a one-step sieve estimator of the parameter in the semiparametric triangular model for quantile regression of Lee (2007). The proposed estimator is a penalized sieve minimum distance (PSMD) estimator developed by Chen and Pouzo (2009). We develop the asymptotic theory for the...