arXiv - ECON - Econometrics最新文献_第6页

Momentum Informed Inflation-at-Risk 通胀风险的动量信息

arXiv - ECON - Econometrics Pub Date : 2024-08-22 DOI: arxiv-2408.12286

Tibor Szendrei, Arnab Bhattacharjee

引用次数: 0

Enhancing Causal Discovery in Financial Networks with Piecewise Quantile Regression 利用分位数回归加强金融网络中的因果发现

arXiv - ECON - Econometrics Pub Date : 2024-08-22 DOI: arxiv-2408.12210

Cameron Cornell, Lewis Mitchell, Matthew Roughan

{"title":"Enhancing Causal Discovery in Financial Networks with Piecewise Quantile Regression","authors":"Cameron Cornell, Lewis Mitchell, Matthew Roughan","doi":"arxiv-2408.12210","DOIUrl":"https://doi.org/arxiv-2408.12210","url":null,"abstract":"Financial networks can be constructed using statistical dependencies found\u0000within the price series of speculative assets. Across the various methods used\u0000to infer these networks, there is a general reliance on predictive modelling to\u0000capture cross-correlation effects. These methods usually model the flow of\u0000mean-response information, or the propagation of volatility and risk within the\u0000market. Such techniques, though insightful, don't fully capture the broader\u0000distribution-level causality that is possible within speculative markets. This\u0000paper introduces a novel approach, combining quantile regression with a\u0000piecewise linear embedding scheme - allowing us to construct causality networks\u0000that identify the complex tail interactions inherent to financial markets.\u0000Applying this method to 260 cryptocurrency return series, we uncover\u0000significant tail-tail causal effects and substantial causal asymmetry. We\u0000identify a propensity for coins to be self-influencing, with comparatively\u0000sparse cross variable effects. Assessing all link types in conjunction, Bitcoin\u0000stands out as the primary influencer - a nuance that is missed in conventional\u0000linear mean-response analyses. Our findings introduce a comprehensive framework\u0000for modelling distributional causality, paving the way towards more holistic\u0000representations of causality in financial markets.","PeriodicalId":501293,"journal":{"name":"arXiv - ECON - Econometrics","volume":"24 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142184176","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

SPORTSCausal: Spill-Over Time Series Causal Inference SPORTSCausal：溢出时间序列因果推理

arXiv - ECON - Econometrics Pub Date : 2024-08-21 DOI: arxiv-2408.11951

Carol Liu

{"title":"SPORTSCausal: Spill-Over Time Series Causal Inference","authors":"Carol Liu","doi":"arxiv-2408.11951","DOIUrl":"https://doi.org/arxiv-2408.11951","url":null,"abstract":"Randomized controlled trials (RCTs) have long been the gold standard for\u0000causal inference across various fields, including business analysis, economic\u0000studies, sociology, clinical research, and network learning. The primary\u0000advantage of RCTs over observational studies lies in their ability to\u0000significantly reduce noise from individual variance. However, RCTs depend on\u0000strong assumptions, such as group independence, time independence, and group\u0000randomness, which are not always feasible in real-world applications.\u0000Traditional inferential methods, including analysis of covariance (ANCOVA),\u0000often fail when these assumptions do not hold. In this paper, we propose a\u0000novel approach named textbf{Sp}illtextbf{o}vetextbf{r} textbf{T}ime\u0000textbf{S}eries textbf{Causal} (verb+SPORTSCausal+), which enables the\u0000estimation of treatment effects without relying on these stringent assumptions.\u0000We demonstrate the practical applicability of verb+SPORTSCausal+ through a\u0000real-world budget-control experiment. In this experiment, data was collected\u0000from both a 5% live experiment and a 50% live experiment using the same\u0000treatment. Due to the spillover effect, the vanilla estimation of the treatment\u0000effect was not robust across different treatment sizes, whereas\u0000verb+SPORTSCausal+ provided a robust estimation.","PeriodicalId":501293,"journal":{"name":"arXiv - ECON - Econometrics","volume":"23 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142184175","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

L2-Convergence of the Population Principal Components in the Approximate Factor Model 近似因子模型中群体主成分的 L2 收敛性

arXiv - ECON - Econometrics Pub Date : 2024-08-21 DOI: arxiv-2408.11676

Philipp Gersing

引用次数: 0

Towards an Inclusive Approach to Corporate Social Responsibility (CSR) in Morocco: CGEM's Commitment 摩洛哥企业社会责任（CSR）的包容性方法：CGEM 的承诺

arXiv - ECON - Econometrics Pub Date : 2024-08-21 DOI: arxiv-2408.11519

Gnaoui Imane, Moutahaddib Aziz

{"title":"Towards an Inclusive Approach to Corporate Social Responsibility (CSR) in Morocco: CGEM's Commitment","authors":"Gnaoui Imane, Moutahaddib Aziz","doi":"arxiv-2408.11519","DOIUrl":"https://doi.org/arxiv-2408.11519","url":null,"abstract":"Corporate social responsibility encourages companies to integrate social and\u0000environmental concerns into their activities and their relations with\u0000stakeholders. It encompasses all actions aimed at the social good, above and\u0000beyond corporate interests and legal requirements. Various international\u0000organizations, authors and researchers have explored the notion of CSR and\u0000proposed a range of definitions reflecting their perspectives on the concept.\u0000In Morocco, although Moroccan companies are not overwhelmingly embracing CSR,\u0000several factors are encouraging them to integrate the CSR approach not only\u0000into their discourse, but also into their strategies. The CGEM is actively\u0000involved in promoting CSR within Moroccan companies, awarding the \"CGEM Label\u0000for CSR\" to companies that meet the criteria set out in the CSR Charter. The\u0000process of labeling Moroccan companies is in full expansion. The graphs\u0000presented in this article are broken down according to several criteria, such\u0000as company size, sector of activity and listing on the Casablanca Stock\u0000Exchange, in order to provide an overview of CSR-labeled companies in Morocco.\u0000The approach adopted for this article is a qualitative one aimed at presenting,\u0000firstly, the different definitions of the CSR concept and its evolution over\u0000time. In this way, the study focuses on the Moroccan context to dissect and\u0000analyze the state of progress of CSR integration in Morocco and the various\u0000efforts made by the CGEM to implement it. According to the data, 124 Moroccan\u0000companies have been awarded the CSR label. For a label in existence since 2006,\u0000this figure reflects a certain reluctance on the part of Moroccan companies to\u0000fully implement the CSR approach in their strategies. Nevertheless, Morocco is\u0000in a transitional phase, marked by the gradual adoption of various socially\u0000responsible practices.","PeriodicalId":501293,"journal":{"name":"arXiv - ECON - Econometrics","volume":"178 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142184181","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Robust Bayes Treatment Choice with Partial Identification 部分识别的稳健贝叶斯治疗选择

arXiv - ECON - Econometrics Pub Date : 2024-08-21 DOI: arxiv-2408.11621

Andrés Aradillas Fernández, José Luis Montiel Olea, Chen Qiu, Jörg Stoye, Serdil Tinda

{"title":"Robust Bayes Treatment Choice with Partial Identification","authors":"Andrés Aradillas Fernández, José Luis Montiel Olea, Chen Qiu, Jörg Stoye, Serdil Tinda","doi":"arxiv-2408.11621","DOIUrl":"https://doi.org/arxiv-2408.11621","url":null,"abstract":"We study a class of binary treatment choice problems with partial\u0000identification, through the lens of robust (multiple prior) Bayesian analysis.\u0000We use a convenient set of prior distributions to derive ex-ante and ex-post\u0000robust Bayes decision rules, both for decision makers who can randomize and for\u0000decision makers who cannot. Our main messages are as follows: First, ex-ante and ex-post robust Bayes\u0000decision rules do not tend to agree in general, whether or not randomized rules\u0000are allowed. Second, randomized treatment assignment for some data realizations\u0000can be optimal in both ex-ante and, perhaps more surprisingly, ex-post\u0000problems. Therefore, it is usually with loss of generality to exclude\u0000randomized rules from consideration, even when regret is evaluated ex-post. We apply our results to a stylized problem where a policy maker uses\u0000experimental data to choose whether to implement a new policy in a population\u0000of interest, but is concerned about the external validity of the experiment at\u0000hand (Stoye, 2012); and to the aggregation of data generated by multiple\u0000randomized control trials in different sites to make a policy choice in a\u0000population for which no experimental data are available (Manski, 2020; Ishihara\u0000and Kitagawa, 2021).","PeriodicalId":501293,"journal":{"name":"arXiv - ECON - Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142184180","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Valuing an Engagement Surface using a Large Scale Dynamic Causal Model 利用大规模动态因果模型评估参与面的价值

arXiv - ECON - Econometrics Pub Date : 2024-08-21 DOI: arxiv-2408.11967

Abhimanyu Mukerji, Sushant More, Ashwin Viswanathan Kannan, Lakshmi Ravi, Hua Chen, Naman Kohli, Chris Khawand, Dinesh Mandalapu

引用次数: 0

An Econometric Analysis of Large Flexible Cryptocurrency-mining Consumers in Electricity Markets 电力市场中大型灵活加密货币开采消费者的计量经济学分析

arXiv - ECON - Econometrics Pub Date : 2024-08-21 DOI: arxiv-2408.12014

Subir Majumder, Ignacio Aravena, Le Xie

{"title":"An Econometric Analysis of Large Flexible Cryptocurrency-mining Consumers in Electricity Markets","authors":"Subir Majumder, Ignacio Aravena, Le Xie","doi":"arxiv-2408.12014","DOIUrl":"https://doi.org/arxiv-2408.12014","url":null,"abstract":"In recent years, power grids have seen a surge in large cryptocurrency mining\u0000firms, with individual consumption levels reaching 700MW. This study examines\u0000the behavior of these firms in Texas, focusing on how their consumption is\u0000influenced by cryptocurrency conversion rates, electricity prices, local\u0000weather, and other factors. We transform the skewed electricity consumption\u0000data of these firms, perform correlation analysis, and apply a seasonal\u0000autoregressive moving average model for analysis. Our findings reveal that,\u0000surprisingly, short-term mining electricity consumption is not correlated with\u0000cryptocurrency conversion rates. Instead, the primary influencers are the\u0000temperature and electricity prices. These firms also respond to avoid\u0000transmission and distribution network (T&D) charges -- famously known as four\u0000Coincident peak (4CP) charges -- during summer times. As the scale of these\u0000firms is likely to surge in future years, the developed electricity consumption\u0000model can be used to generate public, synthetic datasets to understand the\u0000overall impact on power grid. The developed model could also lead to better\u0000pricing mechanisms to effectively use the flexibility of these resources\u0000towards improving power grid reliability.","PeriodicalId":501293,"journal":{"name":"arXiv - ECON - Econometrics","volume":"25 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142184177","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Inference with Many Weak Instruments and Heterogeneity 利用许多弱工具和异质性进行推断

arXiv - ECON - Econometrics Pub Date : 2024-08-20 DOI: arxiv-2408.11193

Luther Yap

引用次数: 0

Continuous difference-in-differences with double/debiased machine learning 采用双重/偏差机器学习的连续差分法

arXiv - ECON - Econometrics Pub Date : 2024-08-20 DOI: arxiv-2408.10509

Lucas Zhang

{"title":"Continuous difference-in-differences with double/debiased machine learning","authors":"Lucas Zhang","doi":"arxiv-2408.10509","DOIUrl":"https://doi.org/arxiv-2408.10509","url":null,"abstract":"This paper extends difference-in-differences to settings involving continuous\u0000treatments. Specifically, the average treatment effect on the treated (ATT) at\u0000any level of continuous treatment intensity is identified using a conditional\u0000parallel trends assumption. In this framework, estimating the ATTs requires\u0000first estimating infinite-dimensional nuisance parameters, especially the\u0000conditional density of the continuous treatment, which can introduce\u0000significant biases. To address this challenge, estimators for the causal\u0000parameters are proposed under the double/debiased machine learning framework.\u0000We show that these estimators are asymptotically normal and provide consistent\u0000variance estimators. To illustrate the effectiveness of our methods, we\u0000re-examine the study by Acemoglu and Finkelstein (2008), which assessed the\u0000effects of the 1983 Medicare Prospective Payment System (PPS) reform. By\u0000reinterpreting their research design using a difference-in-differences approach\u0000with continuous treatment, we nonparametrically estimate the treatment effects\u0000of the 1983 PPS reform, thereby providing a more detailed understanding of its\u0000impact.","PeriodicalId":501293,"journal":{"name":"arXiv - ECON - Econometrics","volume":"23 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142184185","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0