85 citations
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7 papers
Revisiting Boehmer et al. (2021): Recent Period, Alternative Method, Different Conclusions
David Ardia, Clément Aymard, Tolga Cenesizoglu
We reassess Boehmer et al. (2021, BJZZ)'s seminal work on the predictive power of retail order imbalance (ROI) for future stock returns. First, we replicate their 2010-2015 analysi…
Implementing a Hierarchical Deep Learning Approach for Simulating Multi-Level Auction Data
Igor Sadoune, Andrea Lodi, Marcelin Joanis
We present a deep learning solution to address the challenges of simulating realistic synthetic first-price sealed-bid auction data. The complexities encountered in this type of au…
Optimal transportation and the falsifiability of incompletely specified economic models
Ivar Ekeland, Alfred Galichon, Marc Henry
A general framework is given to analyze the falsifiability of economic models based on a sample of their observable components. It is shown that, when the restrictions implied by t…
Dilation bootstrap
Alfred Galichon, Marc Henry
We propose a methodology for constructing confidence regions with partially identified models of general form. The region is obtained by inverting a test of internal consistency of…
Bayesian Panel Quantile Regression for Binary Outcomes with Correlated Random Effects: An Application on Crime Recidivism in Canada
Georges Bresson, Guy Lacroix, Mohammad Arshad Rahman
This article develops a Bayesian approach for estimating panel quantile regression with binary outcomes in the presence of correlated random effects. We construct a working likelih…
Can GDP measurement be further improved? Data revision and reconciliation
Jan P. A. M. Jacobs, Samad Sarferaz, Jan-Egbert Sturm +1
Recent years have seen many attempts to combine expenditure-side estimates of U.S. real output (GDE) growth with income-side estimates (GDI) to improve estimates of real GDP growth…