We introduce new inference procedures for counterfactual and synthetic control methods for
policy evaluation. We recast the causal inference problem as a counterfactual prediction and …

This article considers inference in linear instrumental variables models with many
regressors, all of which could be endogenous. We propose the STIV estimator. Identification …

Diffusion approximations have been a popular tool for performance analysis in queueing
theory, with the main reason being tractability and computational efficiency. This dissertation …

In this paper, we establish normalized and self-normalized Cramér-type moderate
deviations for the Euler-Maruyama scheme for SDE. Due to our results, Berry-Esseen's …

Central limit theorem and self-normalized Cramer-type moderate deviation for Euler-Maruyama
scheme Page 1 Bernoulli 28(2), 2022, 937–964 https://doi.org/10.3150/21-BEJ1372 Central …

This paper develops new methods for testing equal predictive accuracy in panels of
forecasts that exploit information in the time series and cross-sectional dimensions of the …

We establish conditions under which forecasting performance can be improved by rotating
between a set of underlying forecasts whose predictive accuracy is tracked using a set of …

Suppose that the (normalised) partial sum of a stationary sequence converges to a standard
normal random variable. Given sufficiently moments, when do we have a rate of …

Let (X i) i≥ 1 be a stationary sequence. Denote m=⌊ n α⌋, 0< α< 1, and k=⌊ n∕ m⌋,
where⌊ a⌋ stands for the integer part of a. Set S j∘=∑ i= 1 m X m (j− 1)+ i, 1≤ j≤ k, and (V …

Our confidence set quantifies the statistical uncertainty from data‐driven group assignments
in grouped panel models. It covers the true group memberships jointly for all units with pre …