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INTEREST CATEGORY: MARKETING RESEARCH
POSTING TYPE: TOCs

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Sieve BLP: A semi-nonparametric model of demand for differentiated products
—Ao Wang []

Testing for time stochastic dominance
—Kyungho Lee, Oliver Linton, Yoon-Jae Whang []

Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models
—Alessandro Casini []

Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models
—Mehmet Caner, Marcelo Medeiros, Gabriel F.R. Vasconcelos []

Partial identification and inference in moment models with incomplete data
—Yanqin Fan, Xuetao Shi, Jing Tao []

Distribution-invariant differential privacy
—Xuan Bi, Xiaotong Shen []

Maximum pairwise-rank-likelihood-based inference for the semiparametric transformation model
—Tao Yu, Pengfei Li, Baojiang Chen, Ao Yuan, Jing Qin []

GARCH density and functional forecasts
—Karim M. Abadir, Alessandra Luati, Paolo Paruolo []

Robust inference in first-price auctions: Overbidding as an identifying restriction
—Serafin Grundl, Yu Zhu []

Testing stochastic dominance with many conditioning variables
—Oliver Linton, Myung Hwan Seo, Yoon-Jae Whang []

Partial identification in nonseparable binary response models with endogenous regressors
—Jiaying Gu, Thomas M. Russell []

Robust inference with stochastic local unit root regressors in predictive regressions
—Yanbo Liu, Peter C.B. Phillips []

Model averaging for asymptotically optimal combined forecasts
—Yi-Ting Chen, Chu-An Liu []

Global robust Bayesian analysis in large models
—Paul Ho []

Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions
—Gabriele Fiorentini, Enrique Sentana []

Prices, profits, proxies, and production
—Victor H. Aguiar, Nail Kashaev, Roy Allen []

Uniform inference in linear panel data models with two-dimensional heterogeneity
—Xun Lu, Liangjun Su []

Specification tests for time-varying coefficient models
—Zhonghao Fu, Yongmiao Hong, Liangjun Su, Xia Wang []

A GMM approach to estimate the roughness of stochastic volatility
—Anine E. Bolko, Kim Christensen, Mikko S. Pakkanen, Bezirgen Veliyev []

News-implied linkages and local dependency in the equity market
—Shuyi Ge, Shaoran Li, Oliver Linton []

Threshold regression with nonparametric sample splitting
—Yoonseok Lee, Yulong Wang []

Variance–covariance from a metropolis chain on a curved, singular manifold
—A. Ronald Gallant []

Identification and inference of network formation games with misclassified links
—Luis E. Candelaria, Takuya Ura []

Using monotonicity restrictions to identify models with partially latent covariates
—Minji Bang, Wayne Yuan Gao, Andrew Postlewaite, Holger Sieg []

Using large samples in econometrics
—James G. MacKinnon []

Profile GMM estimation of panel data models with interactive fixed effects
—Shengjie Hong, Liangjun Su, Tao Jiang []

Bootstrap specification tests for dynamic conditional distribution models
—Indeewara Perera, Mervyn J. Silvapulle []

Testing the martingale difference hypothesis in high dimension
—Jinyuan Chang, Qing Jiang, Xiaofeng Shao []

Semiparametric partially linear varying coefficient modal regression
—Aman Ullah, Tao Wang, Weixin Yao []

Indirect inference estimation of dynamic panel data models
—Yong Bao, Xuewen Yu []

Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models
—Jonas E. Arias, Juan F. Rubio-Ramírez, Minchul Shin []

Nonparametric identification and estimation of the extended Roy model
—Ji Hyung Lee, Byoung G. Park []

Lasso inference for high-dimensional time series
—Robert Adamek, Stephan Smeekes, Ines Wilms []

ETF Basket-Adjusted Covariance estimation
—Kris Boudt, Kirill Dragun, Orimar Sauri, Steven Vanduffel []

Distinguishing incentive from selection effects in auction-determined contracts
—Laurent Lamy, Manasa Patnam, Michael Visser []

Peer effects and endogenous social interactions
—Koen Jochmans []

The role of score and information bias in panel data likelihoods
—Martin Schumann, Thomas A. Severini, Gautam Tripathi []

Community network auto-regression for high-dimensional time series
—Elynn Y. Chen, Jianqing Fan, Xuening Zhu []

Nonparametric identification and estimation with discrete instruments and regressors
—Isaac Loh []

Asymptotic F test in regressions with observations collected at high frequency over long span
—Daniel F. Pellatt, Yixiao Sun []

Two-step estimation of censored quantile regression for duration models with time-varying regressors
—Songnian Chen []

Testing and signal identification for two-sample high-dimensional covariances via multi-level thresholding
—Song Xi Chen, Bin Guo, Yumou Qiu []

Penalized time-varying model averaging
—Yuying Sun, Yongmiao Hong, Shouyang Wang, Xinyu Zhang []

Time-varying unobserved heterogeneity in earnings shocks
—Irene Botosaru []

Intraday cross-sectional distributions of systematic risk
—Torben G. Andersen, Raul Riva, Martin Thyrsgaard, Viktor Todorov []

Comparing stochastic volatility specifications for large Bayesian VARs
—Joshua C.C. Chan []

The distribution of rolling regression estimators
—Zongwu Cai, Ted Juhl []

Estimation and identification of latent group structures in panel data
—Ali Mehrabani []

Parametric estimation of long memory in factor models
—Yunus Emre Ergemen []

Estimation and inference in factor copula models with exogenous covariates
—Alexander Mayer, Dominik Wied []

Dividend suspensions and cash flows during the Covid-19 pandemic: A dynamic econometric model
—Davide Pettenuzzo, Riccardo Sabbatucci, Allan Timmermann []

Joint inference based on Stein-type averaging estimators in the linear regression model
—Tom Boot []

A functional estimation approach to the first-price auction models
—Andreea Enache, Jean-Pierre Florens, Erwann Sbai []

Identifying causal effects in experiments with spillovers and non-compliance
—Francis J. DiTraglia, Camilo García-Jimeno, Rossa O’Keeffe-O’Donovan, Alejandro Sánchez-Becerra []

Instrument strength in IV estimation and inference: A guide to theory and practice
—Michael Keane, Timothy Neal []

Binary response models for heterogeneous panel data with interactive fixed effects
—Jiti Gao, Fei Liu, Bin Peng, Yayi Yan []

Uniform inference for value functions
—Sergio Firpo, Antonio F. Galvao, Thomas Parker []

IV methods for Tobit models
—Andrew Chesher, Dongwoo Kim, Adam M. Rosen []

Debiased machine learning of set-identified linear models
—Vira Semenova []

Jackknife estimation of a cluster-sample IV regression model with many weak instruments
—John C. Chao, Norman R. Swanson, Tiemen Woutersen []

Spatial autoregressions with an extended parameter space and similarity-based weights
—Francesca Rossi, Offer Lieberman []

Wild bootstrap inference for penalized quantile regression for longitudinal data
—Carlos Lamarche, Thomas Parker []

Refining set-identification in VARs through independence
—Thorsten Drautzburg, Jonathan H. Wright []

Efficient estimation of average derivatives in NPIV models: Simulation comparisons of neural network estimators
—Jiafeng Chen, Xiaohong Chen, Elie Tamer []

Shrinkage estimation of multiple threshold factor models
—Chenchen Ma, Yundong Tu []

Approximate factor models with weaker loadings
—Jushan Bai, Serena Ng []

Large volatility matrix analysis using global and national factor models
—Sung Hoon Choi, Donggyu Kim []

Uniform and Lp convergences for nonparametric continuous time regressions with semiparametric applications
—Ruijun Bu, Jihyun Kim, Bin Wang []

Identifying latent group structures in spatial dynamic panels
—Liangjun Su, Wuyi Wang, Xingbai Xu []

One-way or two-way factor model for matrix sequences?
—Yong He, Xinbing Kong, Lorenzo Trapani, Long Yu []

Wald, QLR, and score tests when parameters are subject to linear inequality constraints
—Yanqin Fan, Xuetao Shi []

Testing for the appropriate level of clustering in linear regression models
—James G. MacKinnon, Morten Ørregaard Nielsen, Matthew D. Webb []

Social threshold regression
—Antri Konstantinidi, Andros Kourtellos, Yiguo Sun []

Stochastic properties of nonlinear locally-nonstationary filters
—Francisco Blasques, Marc Nientker []

Inference on individual treatment effects in nonseparable triangular models
—Jun Ma, Vadim Marmer, Zhengfei Yu []

The spread of COVID-19 in London: Network effects and optimal lockdowns
—Christian Julliard, Ran Shi, Kathy Yuan []

Efficient peer effects estimators with group effects
—Guido M. Kuersteiner, Ingmar R. Prucha, Ying Zeng []

Sparse quantile regression
—Le-Yu Chen, Sokbae Lee []

What’s trending in difference-in-differences? A synthesis of the recent econometrics literature
—Jonathan Roth, Pedro H.C. Sant’Anna, Alyssa Bilinski, John Poe []

Semi-nonparametric estimation of random coefficients logit model for aggregate demand
—Zhentong Lu, Xiaoxia Shi, Jing Tao []

Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics
—João Nicolau, Paulo M.M. Rodrigues, Marian Z. Stoykov []

Reproducibility and transparency versus privacy and confidentiality: Reflections from a data editor
—Lars Vilhuber []