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Multiple regression model averaging and the focused information criterion wit...
We consider multiple regression (MR) model averaging using the Focused Informati on Criterion (FIC). Our approach is motivated by the problem of implementing a mean-variance... -
Two-Step Estimation of Incomplete Information Social Interaction Models with ...
In this study, we consider linear social interaction models under incomplete information that allow for missing outcome data due to sample selection. For model estimation,... -
Estimating Jump Activity Using Multipower Variation
Realized multipower variation, originally introduced to eliminate jumps, can be extremely useful for inference in pure-jump models. This article shows how to build a simple and... -
Counterfactual Analysis and Inference with Nonstationary Data
Recently, there has been growing interest in developing econometric tools to conduct counterfactual analysis with aggregate data when a single “treated” unit suffers an...
