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Identification of Marginal Treatment Effects using Subjective Expectations

Briggs, Joseph; Caplin, Andrew; Leth-Petersen, Søren; … - National Bureau of Economic Research - 2024

We develop a method to identify the individual latent propensity to select into treatment and marginal treatment effects. Identification is achieved with survey data on individuals' subjective expectations of their treatment propensity and of their treatment-contingent outcomes. We use the...

Persistent link: https://www.econbiz.de/10014528349

Local Projections or VARs? A Primer for Macroeconomists

Olea, José Luis Montiel; Plagborg-Møller, Mikkel; … - National Bureau of Economic Research - 2025

What should applied macroeconomists know about local projection (LP) and vector autoregression (VAR) impulse response estimators? The two methods share the same estimand, but in finite samples lie on opposite ends of a bias-variance trade-off. While the low bias of LPs comes at a quite steep...

Persistent link: https://www.econbiz.de/10015409904

Identifying Government Spending Shocks : It's All in the Timing

Ramey, Valerie A. - 2009

Do shocks to government spending raise or lower consumption and real wages? Standard VAR identification approaches show … a rise in consumption even when it decreases in the model. Motivated by the importance of measuring anticipations, I … the period 1969 to 2008. All news measures suggest that most components of consumption fall after a positive shock to …

Persistent link: https://www.econbiz.de/10012463185

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

The Experimental Selection Correction Estimator : Using Experiments to Remove Biases in Observational Estimates

Athey, Susan; Chetty, Raj; Imbens, Guido - National Bureau of Economic Research - 2025

Researchers increasingly have access to two types of data: (i) large observational datasets where treatment (e.g., class size) is not randomized but several primary outcomes (e.g., graduation rates) and secondary outcomes (e.g., test scores) are observed and (ii) experimental data in which...

Persistent link: https://www.econbiz.de/10015409849

Stress Testing Structural Models of Unobserved Heterogeneity : Robust Inference on Optimal Nonlinear Pricing

Bodoh-Creed, Aaron L.; Hickman, Brent R.; List, John A.; … - National Bureau of Economic Research - 2023

In this paper, we provide a suite of tools for empirical market design, including optimal nonlinear pricing in intensive-margin consumer demand, as well as a broad class of related adverse-selection models. Despite significant data limitations, we are able to derive informative bounds on demand...

Persistent link: https://www.econbiz.de/10014337879

Robustness Checks in Structural Analysis

Catherine, Sylvain; Ebrahimian, Mehran; Sraer, David; … - National Bureau of Economic Research - 2022

Robustness checks, such as adding controls or sample splits, are a standard feature of reduced-form empirical research. Because of computational costs of reestimating alternative models, they are much less common in structural research using simulation-based methods. We propose a simple...

Persistent link: https://www.econbiz.de/10013388799

Contamination Bias in Linear Regressions

Goldsmith-Pinkham, Paul; Hull, Peter; Kolesár, Michal - National Bureau of Economic Research - 2022

We study the interpretation of regressions with multiple treatments and flexible controls. Such regressions are often used to analyze stratified randomized control trials with multiple intervention arms, to estimate value-added (for, e.g., teachers) with observational data, and to leverage the...

Persistent link: https://www.econbiz.de/10013334327

Forecasting Natural Gas Prices in Real Time

Baumeister, Christiane; Huber, Florian; Lee, Thomas; … - National Bureau of Economic Research - 2024

This paper provides a comprehensive analysis of the forecastability of the real price of natural gas in the United States at the monthly frequency considering a universe of models that differ in their complexity and economic content. Our key finding is that considerable reductions in...

Persistent link: https://www.econbiz.de/10015145107

Misspecification-Robust Shrinkage and Selection for VAR Forecasts and IRFs

González-Casasús, Oriol; Schorfheide, Frank - National Bureau of Economic Research - 2025

VARs are often estimated with Bayesian techniques to cope with model dimensionality. The posterior means define a class of shrinkage estimators, indexed by hyperparameters that determine the relative weight on maximum likelihood estimates and prior means. In a Bayesian setting, it is natural to...

Persistent link: https://www.econbiz.de/10015326468