Zobrazeno 1 - 10
of 11
pro vyhledávání: '"Ricardo Masini"'
Publikováno v:
Journal of Time Series Analysis. 43:532-557
There has been considerable advance in understanding the properties of sparse regularization procedures in high-dimensional models. In time series context, it is mostly restricted to Gaussian autoregressions or mixing sequences. We study oracle prope
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d51057f08d0da485ab8daf2b0b023206
https://doi.org/10.1111/jtsa.12627
https://doi.org/10.1111/jtsa.12627
Autor:
Marcelo C. Medeiros, Ricardo Masini
Publikováno v:
Journal of Business & Economic Statistics. 40:227-239
Recently, there has been growing interest in developing econometric tools to conduct counterfactual analysis with aggregate data when a single “treated” unit suffers an intervention, such as a policy change, and there is no obvious control group.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ad9c84374eec4c81d7c17662265610da
https://doi.org/10.1080/07350015.2020.1799814
https://doi.org/10.1080/07350015.2020.1799814
Publikováno v:
SSRN Electronic Journal.
Factor and sparse models are two widely used methods to impose a low-dimensional structure in high-dimension. They are seemingly mutually exclusive. In this paper, we propose a simple lifting method that combines the merits of these two models in a s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::aed25471f3a0c7a5cb08a1707d91ddf1
https://doi.org/10.2139/ssrn.3789141
https://doi.org/10.2139/ssrn.3789141
In this paper we survey the most recent advances in supervised machine learning and high-dimensional models for time series forecasting. We consider both linear and nonlinear alternatives. Among the linear methods we pay special attention to penalize
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f24d5e728aa9972159adbabfbdc7cbf0
http://arxiv.org/abs/2012.12802
http://arxiv.org/abs/2012.12802
The measurement of treatment (intervention) effects on a single (or just a few) treated unit(s) based on counterfactuals constructed from artificial controls has become a popular practice in applied statistics and economics since the proposal of the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::15a68a7e847bb2f2d30295cf414d1427
http://arxiv.org/abs/2011.03996
http://arxiv.org/abs/2011.03996
Publikováno v:
Journal of Econometrics. 207:352-380
We consider a new, flexible and easy-to-implement method to estimate thecausal effects of an intervention on a single treated unit when a control group is not available and which nests previous proposals in the literature. It is a two-step methodolog
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::80a86d2c2c20847aa93e5a4557f60534
https://doi.org/10.1016/j.jeconom.2018.07.005
https://doi.org/10.1016/j.jeconom.2018.07.005
Autor:
Ricardo Masini, Victor Orestes
Publikováno v:
SSRN Electronic Journal.
We propose a framework to solve non-linear DSGE models combining approximation and estimation techniques. Instead of relying on a fixed grid, we use Monte Carlo methods to draw samples from the state space, which are used to estimate an approximation
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8a8f7a7ed518206c5cf9f5d91e6476df
https://doi.org/10.2139/ssrn.3414589
https://doi.org/10.2139/ssrn.3414589
Publikováno v:
SSRN Electronic Journal.
Recently, there has been a growing interest in developing econometric tools to conduct counterfactual analysis with aggregate data when a “treated” unit suffers an intervention, such as a policy change, and there is no obvious control group. Usua
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a601c1123cf2191110db1bf126103bcf
https://doi.org/10.2139/ssrn.2894065
https://doi.org/10.2139/ssrn.2894065
Publikováno v:
SSRN Electronic Journal.
We consider a new method to estimate causal effects when a treated unit suffers a shock or an intervention, such as a policy change, but there is not a readily available control group or counterfactual. We propose a two-step approach where in the fir
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f89149c2f8ab9747c91af8c421ac695a
https://doi.org/10.2139/ssrn.2823687
https://doi.org/10.2139/ssrn.2823687
Publikováno v:
The R Journal. 10:91
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::653bcf7b828fad501416b80ff3221180
https://doi.org/10.32614/rj-2018-016
https://doi.org/10.32614/rj-2018-016