arXiv 6 Jan 2024 · Econometrics
arXiv:2401.03293 · PDF · DOI · OpenAlex · Extracted main text
We study a new model where the potential outcomes, corresponding to the values of a (possibly continuous) treatment, are linked through common factors. The factors can be estimated using a panel of regressors. We propose a procedure to estimate time-specific and unit-specific average marginal effects in this context. Our approach can be used either with high-dimensional time series or with large panels. It allows for treatment effects heterogenous across time and units and is straightforward to implement since it only relies on principal components analysis and elementary computations. We derive the asymptotic distribution of our estimator of the average marginal effect and highlight its solid finite sample performance through a simulation exercise. The approach can also be used to estimate average counterfactuals or adapted to an instrumental variables setting and we discuss these extensions. Finally, we illustrate our novel methodology through an empirical application on income inequality.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Pesaran (2006) `Estimation and inference in large heterogeneous panels with a multifactor error structure', Econometrica 74(4), 967–1012 | 0.874 | 6 | 2 | 100% |
| 2 | Greenaway-McGrevy, Han \ Sul (2012) `Asymptotic distribution of factor augmented estimators for panel regression', Journal of Econometrics 169(1), 48–53 | 0.811 | 4 | 2 | 100% |
| 3 | Bai \ Ng (2023) `Approximate factor models with weaker loadings', Journal of Econometrics | 0.754 | 7 | 3 | 43% |
| 4 | Fan, Masini \ Medeiros (2022) `Do we exploit all information for counterfactual analysis? benefits of factor models and idiosyncratic correction', Journal of… | 0.737 | 3 | 2 | 100% |
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| 6 | Yin, Liu \ Lin (2021) `Focused information criterion and model averaging for large panels with a multifactor error structure', Journal of Business & E… | 0.644 | 4 | 1 | 100% |
| 7 | Ahn \ Horenstein (2013) `Eigenvalue ratio test for the number of factors', Econometrica 81(3), 1203–1227 | 0.644 | 2 | 2 | 100% |
| 8 | Juodis (2022) `A regularization approach to common correlated effects estimation', Journal of Applied Econometrics 37(4), 788–810 | 0.585 | 3 | 1 | 100% |
| 9 | Voigtländer (2014) `Skill bias magnified: Intersectoral linkages and white-collar labor demand in us manufacturing', Review of Economics and Statis… | 0.585 | 3 | 1 | 100% |
| 10 | Athey, Bayati, Doudchenko, Imbens \ Khosravi (2021) `Matrix completion methods for causal panel data models', Journal of the American Statistical Association 116(536), 1716–1730 | 0.511 | 2 | 1 | 100% |
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