Florian Huber,Gary Koop
Florian Huber
Macroeconomists using large datasets often face the choice of working with either a large vector autoregression (VAR) or a factor model. In this paper, we develop a conjugate Bayesian VAR with a subspace shrinkage prior that combines the tw...
Jason Abrevaya,Chris Muris
Jason Abrevaya
This paper considers identification and estimation of a fixed-effects model with an interval-censored dependent variable. In each time period, the researcher observes the interval (with known endpoints) in which the dependent variable lies ...
Matching theory and evidence on Covid-19 using a stochastic network SIR model [0.03%]
使用随机网络SIR模型匹配COVID-19的理论与证据
M Hashem Pesaran,Cynthia Fan Yang
M Hashem Pesaran
This paper develops an individual-based stochastic network SIR model for the empirical analysis of the Covid-19 pandemic. It derives moment conditions for the number of infected and active cases for single as well as multigroup epidemic mod...
Economic impact of the most drastic lockdown during COVID-19 pandemic-The experience of Hubei, China [0.03%]
COVID-19大流行期间最严厉的封锁对经济的影响:中国的湖北经验
Xiao Ke,Cheng Hsiao
Xiao Ke
This paper uses a panel data approach to assess the evolution of economic consequences of the drastic lockdown policy in the epicenter of COVID-19-the Hubei Province of China during worldwide curbs on economic activity. We find that the dra...
Combining shrinkage and sparsity in conjugate vector autoregressive models [0.03%]
共轭向量自回归模型中结合收缩性和稀疏性
Niko Hauzenberger,Florian Huber,Luca Onorante
Niko Hauzenberger
Conjugate priors allow for fast inference in large dimensional vector autoregressive (VAR) models. But at the same time, they introduce the restriction that each equation features the same set of explanatory variables. This paper proposes a...
Dynamic shrinkage in time-varying parameter stochastic volatility in mean models [0.03%]
时变参数随机波动率在均值模型中的动态收缩方法研究
Florian Huber,Michael Pfarrhofer
Florian Huber
Successful forecasting models strike a balance between parsimony and flexibility. This is often achieved by employing suitable shrinkage priors that penalize model complexity but also reward model fit. In this article, we modify the stochas...
Measurement Error in Discrete Health Facility Choice Models: an Example from Urban Senegal [0.03%]
以塞内加尔城市地区为例的离散卫生设施选择模型中的测量误差
Christopher J Cronin,David K Guilkey,Ilene S Speizer
Christopher J Cronin
We use individual-level health facility choice data from urban Senegal to estimate consumer preferences for facility characteristics related to maternal health services. We find that consumers consider a large number of quality related faci...
ESTIMATING PERSON-CENTERED TREATMENT (PeT) EFFECTS USING INSTRUMENTAL VARIABLES: AN APPLICATION TO EVALUATING PROSTATE CANCER TREATMENTS [0.03%]
基于工具变量估计个人化治疗效应：评估前列腺癌治疗方法的一个应用
Anirban Basu
Anirban Basu
This paper builds on the methods of local instrumental variables developed by Heckman and Vytlacil (1999, 2001, 2005) to estimate person-centered treatment (PeT) effects that are conditioned on the person's observed characteristics and aver...
Dana Goldman,Nicole Maestas
Dana Goldman
Medical expenses are an increasingly important contributor to household financial risk. We examine the effect of medical expenditure risk on the willingness of Medicare beneficiaries to hold risky assets. Using a discrete factor maximum lik...
Michael Hurd,Maarten van Rooij,Joachim Winter
Michael Hurd
Despite its importance for the analysis of life-cycle behavior and, in particular, retirement planning, stock ownership by private households is poorly understood. Among other approaches to investigate this puzzle, recent research has start...