143 citations · 364 across the 13 of their papers we have counts for
13 papers
Externally Valid Policy Choice
Christopher Adjaho, Timothy Christensen
We consider the problem of estimating personalized treatment policies that are "externally valid" or "generalizable": they perform well in target populations that differ from the e…
Optimal Decision Rules when Payoffs are Partially Identified
Timothy Christensen, Hyungsik Roger Moon, Frank Schorfheide
We derive asymptotically optimal statistical decision rules for discrete choice problems when payoffs depend on a partially-identified parameter and the decision maker can use…
Adaptive Estimation and Uniform Confidence Bands for Nonparametric Structural Functions and Elasticities
Xiaohong Chen, Timothy Christensen, Sid Kankanala
We introduce two data-driven procedures for optimal estimation and inference in nonparametric models using instrumental variables. The first is a data-driven choice of sieve dimens…
Robust Forecasting
Timothy Christensen, Hyungsik Roger Moon, Frank Schorfheide
We use a decision-theoretic framework to study the problem of forecasting discrete outcomes when the forecaster is unable to discriminate among a set of plausible forecast distribu…
Existence and uniqueness of recursive utilities without boundedness
Timothy M. Christensen
This paper derives primitive, easily verifiable sufficient conditions for existence and uniqueness of (stochastic) recursive utilities for several important classes of preferences.…
Counterfactual Sensitivity and Robustness
Timothy Christensen, Benjamin Connault
We propose a framework for analyzing the sensitivity of counterfactuals to parametric assumptions about the distribution of latent variables in structural models. In particular, we…
Dynamic Models with Robust Decision Makers: Identification and Estimation
Timothy M. Christensen
This paper studies identification and estimation of a class of dynamic models in which the decision maker (DM) is uncertain about the data-generating process. The DM surrounds a be…
How brokers can optimally plot against traders
Manuel Lafond
Traders buy and sell financial instruments in hopes of making profit, and brokers are responsible for the transaction. There are several hypotheses and conspiracy theories arguing…
Optimal Sup-norm Rates and Uniform Inference on Nonlinear Functionals of Nonparametric IV Regression
Xiaohong Chen, Timothy M. Christensen
This paper makes several important contributions to the literature about nonparametric instrumental variables (NPIV) estimation and inference on a structural function and its…
Optimal Uniform Convergence Rates and Asymptotic Normality for Series Estimators Under Weak Dependence and Weak Conditions
Xiaohong Chen, Timothy Christensen
We show that spline and wavelet series regression estimators for weakly dependent regressors attain the optimal uniform (i.e. sup-norm) convergence rate of…
Nonparametric Stochastic Discount Factor Decomposition
Timothy Christensen
Stochastic discount factor (SDF) processes in dynamic economies admit a permanent-transitory decomposition in which the permanent component characterizes pricing over long investme…
Optimal Uniform Convergence Rates for Sieve Nonparametric Instrumental Variables Regression
Xiaohong Chen, Timothy Christensen
We study the problem of nonparametric regression when the regressor is endogenous, which is an important nonparametric instrumental variables (NPIV) regression in econometrics and…
Nonparametric identification of positive eigenfunctions
Timothy Christensen
Important features of certain economic models may be revealed by studying positive eigenfunctions of appropriately chosen linear operators. Examples include long-run risk-return re…