1 citations · 1 across the 6 of their papers we have counts for
6 papers
Estimating Network Spillovers under Dense Measurement Error
Yingxing Li, Aureo De Paula, Weining Wang
This paper analyzes spillover effects in spatial (network) models when the neighborhood (adjacency) matrix is contaminated by measurement error from reporting, aggregation, or disc…
Transformer-based CoVaR: Systemic Risk in Textual Information
Junyu Chen, Tom Boot, Lingwei Kong +1
Conditional Value-at-Risk (CoVaR) quantifies systemic financial risk by measuring the loss quantile of one asset, conditional on another asset experiencing distress. We develop a T…
Plausible GMM: A Quasi-Bayesian Approach
Victor Chernozhukov, Christian B. Hansen, Lingwei Kong +1
Structural estimation in economics often makes use of models formulated in terms of moment conditions. While these moment conditions are generally well-motivated, it is often unkno…
Conditional nonparametric variable screening by neural factor regression
Jianqing Fan, Weining Wang, Yue Zhao
High-dimensional covariates often admit linear factor structure. To effectively screen correlated covariates in high-dimension, we propose a conditional variable screening test bas…
Arellano-Bond LASSO Estimator for Dynamic Linear Panel Models
Victor Chernozhukov, Iván Fernández-Val, Chen Huang +1
The Arellano-Bond estimator is a fundamental method for dynamic panel data models, widely used in practice. It can be severely biased when the time series dimension of the data, $T…
Beta-Sorted Portfolios
Matias D. Cattaneo, Richard K. Crump, Weining Wang +1
Beta-sorted portfolios---portfolios comprised of assets with similar covariation with selected risk factors---are a popular tool in empirical finance to analyze models of (conditio…