Applied Econometrics, Statistical Methods and Methodology
I measure the uncertainty affecting estimates of economic inequality and investigate how accounting for the properly estimated standard errors can affect the results of empirical and structural macroeconomic studies. In my analysis, I rely upon two data sets: The Survey of Consumer Finances⎯a triennial survey of household financial condition, and the Public Use File⎯an annual sample of individual income tax returns. I demonstrate that ignoring uncertainties in estimated wealth and income shares can lead to erroneous conclusions about the current state of the economy and, thereby, lead to inaccurate predictions and ineffective policy recommendations.
“Balanced Growth Approach to Tracking Recessions” (joint with Jean-François Richard), Econometrics 2020, 8(2), 14.
We propose a hybrid version of Dynamic Stochastic General Equilibrium models with emphasis on parameter invariance and tracking during economic recessions. We interpret hypothetical balanced growth ratios as moving targets for economic agents, that rely upon an Error Correction Mechanism to adjust to changes in target ratios driven by an underlying state Vector AutoRegressive process. Our proposal is illustrated by an application to a pilot Real Business Cycle model for the US economy from 1948 to 2019. Using an extensive recursive validation exercise, we highlight the model’s parameters invariance, tracking, and 1 to 3 step ahead forecasting performance.
“Goals, Constraints, and Transparent Assignment: A Field Study of the UEFA Champions League” (joint with Alistair J. Wilson).
Revise and resubmit at Management Science.
We analyze a matching mechanism developed to solve a complex constrained assignment problem for one of the most successful pan-European ventures: the UEFA Champions League. Relying upon a combination of theory, structural estimation, and simulation, we outline a quantitative methodology aimed at assessing a highly transparent (but combinatorically complex) tournament’s assignment procedure. Our analysis indicates that the UEFA mechanism is effectively a “constrained-best” in terms of pairwise independence. Moreover, we find that while substantially better mechanisms do not exist given the current constraint structure, matching distortions can be substantially reduced by only marginally relaxing the currently imposed constraint set.
I identify and address several shortcomings of the existing and widely applied approach in studying the relationship between business cycles and the well-being of economic agents. In contrast to the existing literature, I allow for the relationship in question to be nonlinear by relying upon semiparametric estimation techniques. Moreover, I proxy for the state of the economy by analyzing both average economic conditions as well as the observed variability in growth cycles. While my initial results complement rather than contradict those in the literature, they provide a novel and much needed reconsideration of how to correctly analyze the relationship between economic recessions and/or expansions and health.