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Agenda

Publications

economics

A robust permutation test for subvector inference in linear regressions

We develop a new permutation test for inference on a subvector of coefficients in linear models. The test is exact when the regressors and the error terms are independent. Then we show that the test i ...

d’Haultfoeuille Xavier, Tuvaandorj Puredorj

Quantitative Economics, Vol. 15, No. 1, pages 27-87, 2024

economics

Difference-in-Differences Estimators of Intertemporal Treatment Effects

We study treatment-effect estimation using panel data. The treatment may be non-binary, non-absorbing, and the outcome may be affected by treatment lags. We make a parallel-trends assumption, and prop ...

De Chaisemartin Clément, d’Haultfoeuille Xavier

The Review of Economics and Statistics 1-45, 2024

economics

TESTEX: Stata module for a statistical test of the exclusion restriction of an instrumental variable (IV)

This program executes a statistical test of the exclusion restriction of an instrumental variable (IV) based on D'Haultfoeuille, Hoderlein, & Sasaki (J. Econometrics, 2021). The command takes as input ...

Xavier D'Haultfoeuille, Hoderlein Stefan, Sasaki Yuya

Statistical Software Components from Boston College Department of Economics, 2024

finance

Generalized pareto regression trees for extreme event analysis

This paper derives finite sample results to assess the consistency of Generalized Pareto regression trees introduced by Farkas et al. (Insur. Math. Econ. 98:92--105, 2021) as tools to perform extreme ...

Farkas Sebastien, Heranval Antoine, Lopez Olivier, Thomas, Maud

Extremes, 2024