Search Results - "Journal of econometrics"

Difference-in-differences with variation in treatment timing by Goodman-Bacon, Andrew

“…The canonical difference-in-differences (DD) estimator contains two time periods, ”pre” and ”post”, and two groups, ”treatment” and ”control”. Most DD…”
Get full text

Difference-in-Differences with multiple time periods by Callaway, Brantly, Sant’Anna, Pedro H.C.

“…In this article, we consider identification, estimation, and inference procedures for treatment effect parameters using Difference-in-Differences (DiD) with…”
Get full text

Estimating dynamic treatment effects in event studies with heterogeneous treatment effects by Sun, Liyang, Abraham, Sarah

“…To estimate the dynamic effects of an absorbing treatment, researchers often use two-way fixed effects regressions that include leads and lags of the…”
Get full text

Quantiles via moments by Machado, José A.F., Santos Silva, J.M.C.

“…We study the conditions under which it is possible to estimate regression quantiles by estimating conditional means. The advantage of this approach is that it…”
Get full text

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

“…This paper synthesizes recent advances in the econometrics of difference-in-differences (DiD) and provides concrete recommendations for practitioners. We begin…”
Get full text

Design-based analysis in Difference-In-Differences settings with staggered adoption by Athey, Susan, Imbens, Guido W.

“…In this paper we study estimation of and inference for average treatment effects in a setting with panel data. We focus on the staggered adoption setting where…”
Get full text

Causal impact of masks, policies, behavior on early covid-19 pandemic in the U.S by Chernozhukov, Victor, Kasahara, Hiroyuki, Schrimpf, Paul

“…The paper evaluates the dynamic impact of various policies adopted by US states on the growth rates of confirmed Covid-19 cases and deaths as well as social…”
Get full text

Doubly robust difference-in-differences estimators by Sant’Anna, Pedro H.C., Zhao, Jun

“…This article proposes doubly robust estimators for the average treatment effect on the treated (ATT) in difference-in-differences (DID) research designs. In…”
Get full text

Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors by Chudik, Alexander, Pesaran, M. Hashem

“…This paper extends the Common Correlated Effects (CCE) approach developed by Pesaran (2006) to heterogeneous panel data models with lagged dependent variables…”
Get full text

On the network topology of variance decompositions: Measuring the connectedness of financial firms by Diebold, Francis X., Yılmaz, Kamil

“…We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of…”
Get full text

Climate risks and market efficiency by Hong, Harrison, Li, Frank Weikai, Xu, Jiangmin

“…Climate science finds that the trend towards higher global temperatures exacerbates the risks of droughts. We investigate whether the prices of food stocks…”
Get full text

Measuring news sentiment by Shapiro, Adam Hale, Sudhof, Moritz, Wilson, Daniel J.

“…This paper demonstrates state-of-the-art text sentiment analysis tools while developing a new time-series measure of economic sentiment derived from economic…”
Get full text

A weak instrument F-test in linear IV models with multiple endogenous variables by Sanderson, Eleanor, Windmeijer, Frank

“…We consider testing for weak instruments in a model with multiple endogenous variables. Unlike Stock and Yogo (2005), who considered a weak instruments problem…”
Get full text

Consumer panic in the COVID-19 pandemic by Keane, Michael, Neal, Timothy

“…We develop an econometric model of consumer panic (or panic buying) during the COVID-19 pandemic. Using Google search data on relevant keywords, we construct a…”
Get full text

Dynamic panels with threshold effect and endogeneity by Seo, Myung Hwan, Shin, Yongcheol

“…This paper addresses an important issue of modeling nonlinear asymmetric dynamics and unobserved individual heterogeneity in the threshold panel data…”
Get full text

Correlated random effects models with unbalanced panels by Wooldridge, Jeffrey M.

“…I propose some strategies for allowing unobserved heterogeneity to be correlated withobserved covariates and sample selection for unbalanced panels. The…”
Get full text

Cluster-robust inference: A guide to empirical practice by MacKinnon, James G., Nielsen, Morten Ørregaard, Webb, Matthew D.

“…Methods for cluster-robust inference are routinely used in economics and many other disciplines. However, it is only recently that theoretical foundations for…”
Get full text

The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series by Han, Heejoon, Linton, Oliver, Oka, Tatsushi, Whang, Yoon-Jae

“…This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply it to test the hypothesis that one time series…”
Get full text

The VIX, the variance premium and stock market volatility by Bekaert, Geert, Hoerova, Marie

“…We decompose the squared VIX index, derived from US S&P500 options prices, into the conditional variance of stock returns and the equity variance premium. We…”
Get full text

Autoencoder asset pricing models by Gu, Shihao, Kelly, Bryan, Xiu, Dacheng

“…We propose a new latent factor conditional asset pricing model. Like Kelly, Pruitt, and Su (KPS, 2019), our model allows for latent factors and factor…”
Get full text