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Found 6 papers, 0 papers with code
Bayesian Estimation of Panel Models under Potentially Sparse Heterogeneity
We incorporate a version of a spike and slab prior, comprising a pointmass at zero ("spike") and a Normal distribution around zero ("slab") into a dynamic panel data framework to model coefficient heterogeneity.
Optimal Decision Rules when Payoffs are Partially Identified
We derive optimal statistical decision rules for discrete choice problems when payoffs depend on a partially-identified parameter $\theta$ and the decision maker can use a point-identified parameter $P$ to deduce restrictions on $\theta$.
Forecasting with a Panel Tobit Model
We use a dynamic panel Tobit model with heteroskedasticity to generate forecasts for a large cross-section of short time series of censored observations.
A Uniform Bound on the Operator Norm of Sub-Gaussian Random Matrices and Its Applications
For an $N \times T$ random matrix $X(\beta)$ with weakly dependent uniformly sub-Gaussian entries $x_{it}(\beta)$ that may depend on a possibly infinite-dimensional parameter $\beta\in \mathbf{B}$, we obtain a uniform bound on its operator norm of the form $\mathbb{E} \sup_{\beta \in \mathbf{B}} ||X(\beta)|| \leq CK \left(\sqrt{\max(N, T)} + \gamma_2(\mathbf{B}, d_\mathbf{B})\right)$, where $C$ is an absolute constant, $K$ controls the tail behavior of (the increments of) $x_{it}(\cdot)$, and $\gamma_2(\mathbf{B}, d_\mathbf{B})$ is Talagrand's functional, a measure of multi-scale complexity of the metric space $(\mathbf{B}, d_\mathbf{B})$.
Normal Approximation in Large Network Models
We prove a central limit theorem for network moments in a model of network formation with strategic interactions and homophilous agents.
Nuclear Norm Regularized Estimation of Panel Regression Models
We propose two new estimation methods that are based on minimizing convex objective functions.
