4 papers · 1 filter
When Does Buy Precision? Heterogeneous Responses to Aggregate Shocks in Micro Panels
Mahmut Ablay, Mengshan Xu, Endong Wang
Panel local projections (panel LPs), valued for their flexibility and robustness, are widely used to estimate heterogeneous responses to aggregate shocks from micro data. This pape…
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…
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…
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…