From the 1 of 12 linked papers with an AI index.
12 papers
Supervised Mixed-Frequency Learning for Macro-Financial Forecasting When Factors are Weak
Ulrich Hounyo, Zhendong Li
Factor-MIDAS regressions forecast a low-frequency target by extracting common factors from a large panel of high-frequency predictors via principal component analysis (PCA). While…
Identification and Information after Nuisance Projection
Ulrich Hounyo
Empirical work often removes fixed effects, latent factors, or high-dimensional controls before estimating structural relationships. These transformations reduce confounding but ma…
Specification Testing for Dyadic Regression Models
Ulrich Hounyo, Jiahao Lin, Xiaojun Song
The paper proposes omnibus specification tests for linear conditional‑mean models with undirected dyadic data, introducing a corrected Gaussian bootstrap and Kolmogorov‑Smirnov and…
Two-way Clustering Robust Variance Estimator in Quantile Regression Models
Ulrich Hounyo, Jiahao Lin
We study inference for linear quantile regression with two-way clustered data. Using a separately exchangeable array framework and a projection decomposition of the quantile score,…
When Does Heteroskedasticity Matter? A Contrast-Specific Theory of Robust Inference
Ulrich Hounyo
Conventional heteroskedasticity diagnostics ask whether the conditional variance of the regression disturbance varies with covariates. This paper asks a different question: when do…
Adaptive Econometric Inference under Unknown Dependence: Contrast-Local Validity
Ulrich Hounyo
Empirical conclusions can depend on how researchers model dependence when constructing standard errors. We develop contrast-local validity, which asks whether a covariance restrict…