Econometrics

Heterogeneous Peer Effects with Endogenous Network Formation
This paper introduces a new econometric framework for modeling social interactions with heterogeneous peer responses, addressing …
Last updated on Jul 12, 2026 Econometrics, Networks, Bayesian, Applied Microeconomics
arXiv
Marijuana and Tobacco Consumption in Colombia: A Bayesian Zero-Inflated Ordered Probit Under Submission
This paper develops a Bayesian implementation of the zero-inflated ordered probit model introduced in Harris and Zhao (2007), providing …
Last updated on Jul 12, 2026 Econometrics, Bayesian, Limited Dependent Variables, Applied Microeconomics
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Targeted Financial Conditions Indices Work in Progress
Last updated on Jul 11, 2026 Econometrics, Finance, Macroeconomics
Estimating Demand Systems with Unobserved Heterogeneity and Censoring: Evidence from Illicit Drug Markets in Colombia Under Submission
The response of illicit drug consumers to policy changes like legalization is mediated by demand behavior. Since individual drug use is …
Last updated on Jul 12, 2026 Econometrics, Applied Microeconomics, Bayesian, Limited Dependent Variables, Instrumental Variables
arXiv
Probabilistic Targeted Factor Analysis Under Submission
We develop Probabilistic Targeted Factor Analysis (PTFA), a likelihood-based framework for constructing latent factors that are …
Last updated on Jul 12, 2026 Econometrics, Finance, Macroeconomics
arXiv
Discussion of “Multivariate dynamic modeling for Bayesian forecasting of business revenue”
We provide a discussion of “Multivariate dynamic modeling for Bayesian forecasting of business revenue” by Yanchenko, Tierney, Lawson, …
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Bayesian Inference of Network Formation Models with Payoff Externalities
This paper provides a novel approach to identification and estimation of a network formation model using observed network data, where …
Last updated on Jul 11, 2026 Econometrics, Bayesian, Limited Dependent Variables, Networks
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Nonlinear Panel Data Methods for Multivariate Fractional Outcomes
This paper expands the applied researcher’s toolkit for dealing with nonlinear panel data models with unobserved heterogeneity …
Last updated on Jul 12, 2026 Econometrics, Applied Microeconomics, Bayesian, Limited Dependent Variables, Instrumental Variables
Copula Estimation and Variable Selection with Multivariate Fractional Outcomes
This paper introduces a unified estimation methodology using copulas for multivariate fractional outcomes with a conditional mean …
Last updated on Jul 11, 2026 Econometrics, Bayesian, Limited Dependent Variables
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Semiparametric Quasi Maximum Likelihood Estimation of the Fractional Response Model
This paper proposes a new semiparametric estimator of models where the response random variable is a fraction. The estimator is …
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