The recent literature has underscored the importance of properly accounting for nonstationarity in the application of the synthetic control methods and proposed inference methods to do so. This note studies the size properties of the method proposed by Masini and Medeiros (2022) through...

We study inference for threshold regression in the context of a large panel factor model with common stochastic trends. We develop a Least Squares estimator for the threshold level, deriving almost sure rates of convergence and proposing a novel, testing based, way of constructing confidence...

This paper derives a novel representation of the exponential discounting model that allows me to set identify the discount factor while accounting for ostensible deviations from optimal behavior. I interpret these deviations as a by-product of measurement error. My approach uses a revealed...

In recent years, wholesale pork prices have experienced large price swings. While supply changes have likely contributed to these price swings, demand for pork bellies, which is the primal cut that is cured into bacon, has grown. We determine the impact of changes in belly prices on the dynamics...

This paper studies asymptotic theory for a nonstationary panel autoregressive model when cross-sectional dimension (n) and time dimension (T) are large. We considers the nonstationary case in the presence of both cross-sectional and time fixed effects, which is not investigated in existing...

This paper studies asymptotic theory for a nonstationary panel autoregressive model when cross-sectional dimension (n) and time dimension (T) are large. We considers the nonstationary case in the presence of both cross-sectional and time fixed effects, which is not investigated in existing...

In this paper we study the finite sample and asymptotic properties of various weighting estimators of the local average treatment effect (LATE), several of which are based on Abadie (2003)'s kappa theorem. Our framework presumes a binary endogenous explanatory variable ("treatment") and a binary...

This paper examines the econometric causal model for policy analysis developed by the seminal ideas of Ragnar Frisch and Trygve Haavelmo. We compare the econometric causal model with two popular causal frameworks: Neyman-Holland causal model and the do-calculus. The Neyman-Holland causal model...

Understanding the relationship between disability and employment is critical and has long been the subject of study. However, estimating this relationship is difficult, particularly with survey data, since both disability and employment status are known to be misreported. Here, we use a partial...