This paper proposes a fully nonparametric model to investigate the dynamics of intergenerational income mobility for discrete outcomes. In our model, an individual's income class probabilities depend on parental income in a manner that accommodates nonlinearities and interactions among various...

This paper proposes some new measures of intergenerational persistence based on the idea of characterizing the memory of origin in the stochastic process that links the socioeconomic classes of parents and children. We introduce "memory curves" for all future generations given any initial...

Endogeneity is a primary concern when evaluating causal effects using observational panel data. While unit-specific intercepts control for unobserved time-invariant confounders, dependence between (i) regressors (e.g., marketing mix strategy of interests) and the current error term (regressor...

Given the ubiquitous presence of endogenous regressors and the challenges in finding good instruments to overcome the endogeneity problem, a forefront of recent research is the development and application of endogeneity correction methods without requiring instruments. In this article, we...

Labor economists increasingly work in empirical contexts with large numbers of unit-specific parameters. These settings include a growing number of value-added studies measuring causal effects of individual units like firms, managers, neighborhoods, teachers, schools, doctors, hospitals, police...

We propose a methodology to take dynamic stochastic general equilibrium (DSGE) models to the data based on the combination of differentiable state-space models and the Hamiltonian Monte Carlo (HMC) sampler. First, we introduce a method for implicit automatic differentiation of perturbation...

We develop a novel method for the identification of monetary policy shocks. By applying natural language processing techniques to documents that Federal Reserve staff prepare in advance of policy decisions, we capture the Fed's information set. Using machine learning techniques, we then predict...

This paper examines the econometric causal model and the interpretation of empirical evidence based on thought experiments that was developed by Ragnar Frisch and Trygve Haavelmo. We compare the econometric causal model with two currently popular causal frameworks: the Neyman-Rubin causal model...

Causal inference is of central interests in many empirical applications yet often challenging because of the presence of endogenous regressors. The classical approach to the problem requires using instrumental variables that must satisfy the stringent condition of exclusion restriction. At the...