Time series analysis is a tremendous research area in statistics and econometrics. As remarked in a review by Howell Tong in 2001, for about 100 years up to 2001 Biometrika (alone) published over 400 papers on the subject. [Tong (2001)] Furthermore, in the review, Howell Tong is able break down...

We study the estimation of heterogeneous effects of group-level policies, using quantile regression with interactive fixed effects. Our approach can identify distributional policy effects, particularly effects on inequality, under a type of difference-in-differences assumption. We provide...

We propose a semiparametric method to estimate the average treatment effect under the assumption of unconfoundedness given observational data. Our estimation method alleviates misspecification issues of the propensity score function by estimating the single-index link function involved through...