15 citations · 20 across the 9 of their papers we have counts for
9 papers
Targeted Local Projections
Aleksei Nemtyrev, Otilia Boldea
Local projection (LP) and structural vector autoregression (SVAR) are commonly employed to estimate dynamic causal effects of macroeconomic policies at multiple horizons. With enou…
Consistency of Selection Strategies for Fraud Detection
Christos Revelas, Otilia Boldea, Bas J. M. Werker
This paper studies how insurers can chose which claims to investigate for fraud. Given a prediction model, typically only claims with the highest predicted propability of being fra…
Testing for multiple change-points in macroeconometrics: an empirical guide and recent developments
Otilia Boldea, Alastair R. Hall
We review recent developments in detecting and estimating multiple change-points in time series models with exogenous and endogenous regressors, panel data models, and factor model…
Efficient two-sample instrumental variable estimators with change points and near-weak identification
Bertille Antoine, Otilia Boldea, Niccolo Zaccaria
We consider estimation and inference in a linear model with endogenous regressors where the parameters of interest change across two samples. If the first-stage is common, we show…
When does Subagging Work?
Christos Revelas, Otilia Boldea, Bas J. M. Werker
We study the effectiveness of subagging, or subsample aggregating, on regression trees, a popular non-parametric method in machine learning. First, we give sufficient conditions fo…
Age-specific transmission dynamics of SARS-CoV-2 during the first two years of the pandemic
Otilia Boldea, Amir Alipoor, Sen Pei +2
During its first two years, the SARS-CoV-2 pandemic manifested as multiple waves shaped by complex interactions between variants of concern, non-pharmaceutical interventions, and t…
Testing for a Threshold in Models with Endogenous Regressors
Mario P. Rothfelder, Otilia Boldea
We show by simulation that the test for an unknown threshold in models with endogenous regressors - proposed in Caner and Hansen (2004) - can exhibit severe size distortions both i…
Bootstrapping Structural Change Tests
Otilia Boldea, Adriana Cornea-Madeira, Alastair R. Hall
This paper analyses the use of bootstrap methods to test for parameter change in linear models estimated via Two Stage Least Squares (2SLS). Two types of test are considered: one w…
Change Point Estimation in Panel Data with Time-Varying Individual Effects
Otilia Boldea, Bettina Drepper, Zhuojiong Gan
This paper proposes a method for estimating multiple change points in panel data models with unobserved individual effects via ordinary least-squares (OLS). Typically, in this sett…