5 papers
Factor-Augmented Machine Learning Panel Regressions
Andrii Babii, Luca Barbaglia, Eric Ghysels +1
This paper develops the asymptotic theory for high-dimensional panel data regressions in settings with cross-sectionally dependent errors driven by common shocks. We consider a fac…
Binary Choice under Asymmetric Loss in a Data-Rich Environment: Theory and an Application to Algorithmic Fairness
Andrii Babii, Xi Chen, Eric Ghysels +1
We study the binary choice problem in a data-rich environment with asymmetric loss functions. The econometrics literature covers nonparametric binary choice problems but does not o…
Nowcasting and aggregation: Why small Euro area countries matter
Andrii Babii, Luca Barbaglia, Eric Ghysels +1
The paper studies the nowcasting of Euro area Gross Domestic Product (GDP) growth using mixed data sampling machine learning panel data regressions with both standard macro release…
Tensor PCA for Factor Models
Andrii Babii, Eric Ghysels, Junsu Pan
Modern empirical analysis often relies on high-dimensional panel datasets with non-negligible cross-sectional and time-series correlations. Factor models are natural for capturing…
Is completeness necessary? Estimation in nonidentified linear models
Andrii Babii, Jean-Pierre Florens
Modern data analysis depends increasingly on estimating models via flexible high-dimensional or nonparametric machine learning methods, where the identification of structural param…