3 papers
econ.EM2022
GLS under Monotone Heteroskedasticity
Yoichi Arai, Taisuke Otsu, Mengshan Xu
The generalized least square (GLS) is one of the most basic tools in regression analyses. A major issue in implementing the GLS is estimation of the conditional variance function o…
econ.EM2022
Isotonic propensity score matching
Mengshan Xu, Taisuke Otsu
We propose a one-to-many matching estimator of the average treatment effect based on propensity scores estimated by isotonic regression. This approach is predicated on the assumpti…
econ.EM2022
Policy Choice in Time Series by Empirical Welfare Maximization
Toru Kitagawa, Weining Wang, Mengshan Xu
This paper develops a novel method for policy choice in a dynamic setting where the available data is a multivariate time series. Overcoming challenges unique to time-series settin…