activity
20192025
most citedDo We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction

7 citations · 13 across the 8 of their papers we have counts for

collaborators

9 papers

stat.ME2025

Balancing Flexibility and Interpretability: A Conditional Linear Model Estimation via Random Forest

Ricardo Masini, Marcelo Medeiros

Traditional parametric econometric models often rely on rigid functional forms, while nonparametric techniques, despite their flexibility, frequently lack interpretability. This pa…

econ.EM2023

Higher-order Refinements of Small Bandwidth Asymptotics for Density-Weighted Average Derivative Estimators

Matias D. Cattaneo, Max H. Farrell, Michael Jansson +1

The density weighted average derivative (DWAD) of a regression function is a canonical parameter of interest in economics. Classical first-order large sample distribution theory fo…

math.ST2022★ 3 cited

Yurinskii's Coupling for Martingales

Matias D. Cattaneo, Ricardo P. Masini, William G. Underwood

Yurinskii's coupling is a popular theoretical tool for non-asymptotic distributional analysis in mathematical statistics and applied probability, offering a Gaussian strong approxi…

econ.EM2022★ 1 cited

Distributional Counterfactual Analysis in High-Dimensional Setup

Ricardo Masini

In the context of treatment effect estimation, this paper proposes a new methodology to recover the counterfactual distribution when there is a single (or a few) treated unit and p…

econ.EM2021

Bridging factor and sparse models

Jianqing Fan, Ricardo Masini, Marcelo C. Medeiros

Factor and sparse models are two widely used methods to impose a low-dimensional structure in high-dimensions. However, they are seemingly mutually exclusive. We propose a lifting…

econ.EM2020

Machine Learning Advances for Time Series Forecasting

Ricardo P. Masini, Marcelo C. Medeiros, Eduardo F. Mendes

In this paper we survey the most recent advances in supervised machine learning and high-dimensional models for time series forecasting. We consider both linear and nonlinear alter…

econ.EM2020★ 7 cited

Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction

Jianqing Fan, Ricardo P. Masini, Marcelo C. Medeiros

Optimal pricing, i.e., determining the price level that maximizes profit or revenue of a given product, is a vital task for the retail industry. To select such a quantity, one need…

math.ST2019★ 2 cited

Regularized Estimation of High-Dimensional Vector AutoRegressions with Weakly Dependent Innovations

Ricardo P. Masini, Marcelo C. Medeiros, Eduardo F. Mendes

There has been considerable advance in understanding the properties of sparse regularization procedures in high-dimensional models. In time series context, it is mostly restricted…

math.OC2019

Constrained Polynomial Likelihood

Caio Almeida, Ricardo Masini, Paul Schneider

We develop a non-negative polynomial minimum-norm likelihood ratio (PLR) of two distributions of which only moments are known. The sample PLR converges to the unknown population PL…