Quantitative Economics

The homogeneity assumption in dynamic discrete games allows pooling data across markets and time. This paper proposes an approximate randomization test for this assumption via MCMC, with an application to the U.S. cement industry. buff.ly/avaeEOS

Higher property taxes raise long-run welfare. By shifting capital from housing to businesses they lower house prices and interest rates and boost wages, thereby improving life-cycle consumption smoothing. However, current homeowners lose from such a reform.https://buff.ly/Py8ec3Q

The Executive Committee of the Econometric Society has approved an increase in the publication fees for papers in its two Open Access journals, Quantitative Economics and Theoretical Economics. Read more www.econometricsociety.org/society/news...

We develop a stochastic macro-climate model to analyze the influence of climate change on asset returns. Quasi-analytical formulas allow to price various types of long-dated assets, including fixed-income products, derivatives, and equities. buff.ly/bQ2SxBv

"Many random coefficient choice models are nonparametrically identified, using exclusion restrictions. Logit shocks are not needed." @JRehbeck buff.ly/jkCr0xS

Why do crises leave lasting scars on markets? A model of Bayesian learning about rare disasters shows that beliefs adjust slowly: risk premia spike, asset values fall, volatility persists, and returns skew negative—even after the shock itself fades buff.ly/pWQVBOX

We challenge standard predictive algorithm evaluation, proposing Comprehensive OOS Evaluation via Statistical Decision Theory. Achieving this requires ML researchers to collaborate with econometricians and statisticians to tackle SDT's computational hurdles buff.ly/2xDJTkl

Quantitative Economics Volume 16, Issue 3 (July 2025) is now online
www.econometricsociety.org/publications...

We propose a test for mean stationarity in latent volatility curves using high-frequency data. Applied to S&P 500 futures, results show strong evidence of nonstationary volatility—key for real-time risk, jump detection & market activity metrics. buff.ly/MFtu4Ou

We are excited to announce the following new AEs joined the board on July 1st: Esteban M. Aucejo (ASU), Job Boerma (University of Wisconsin-Madison), Liangjun Su (Tsinghua University) & Chamna Yoon (Seoul National University). We look forward to benefiting from their expertise.

We are thrilled to have Anna Mikusheva (MIT) and Fabrizio Perri (Federal Reserve Bank of Minnesota) join the editorial board as Co-editors starting July 1st, 2025. While their focus will be respectively on econometrics and on macroeconomics, they will be handling papers in a wide range of topics.

On June 30, 2025 Garance Genicot and Morten Ravn stepped down as Co-editors of Quantitative Economics. We are very grateful to them for their contributions; the journal has greatly benefited from their insight and energy.

We are thrilled to have Bernard Salanié (Columbia University) take over as Editor starting July 1st, 2025. He will be handling papers in a wide range of topics, from applied theory to econometrics.

On June 30, 2025 Stéphane Bonhomme stepped down as Editor of Quantitative Economics. Stéphane did a fantastic job as an editor; the editorial board and the Econometric Society leadership express their warmest thanks to him.

We develop a framework to study segregation dynamics that brings Schelling's key insights to models of residential choice. We also introduce novel IVs to identify causal effects of neighborhood demographics that can be easily constructed with panel data. buff.ly/YOfZkAP

Quantitative Economics Volume 16, Issue 2 (May 2025) is now online
www.econometricsociety.org/publications...

We propose methods to estimate optimal dynamic treatment rules under policy constraints. We clarify the trade-off between backward induction and simultaneous optimization. The methods achieve optimal regret rate and accommodate intertemporal constraints. buff.ly/A32TTrk

This paper develops moment conditions for dynamic ordered logit models with fixed effects, allowing consistent GMM estimation in short panels without assumptions on unobserved heterogeneity. @bohonore.bsky.social @weidnerecon.bsky.social buff.ly/WSsNScT

The 2025 Best Paper Prize has been awarded to Amit Gandhi, Zhentong Lu, and Xiaoxia Shi for their paper “Estimating Demand for Differentiated Products with Zeroes in Market Share Data” www.econometricsociety.org/prizes/qe-te... Congratulations to the authors!

We show weak exogeneity can bias OLS in time series with many controls, making it inconsistent. Bias grows with regressors and autocorrelation. We propose a correction method, yielding a consistent, asymptotically Gaussian estimator. buff.ly/7xiKQ1d

We assess the cost-effectiveness of genotype-based smoking cessation. A lifecycle model shows it outperforms standard policies, generating $29–$40 per dollar spent—16–22% more than non-personalized approaches for smokers treated at 37 or 52. buff.ly/rRzOPt0

We assess heterogeneity in workers’ expected earnings growth rates (HIP) via an adapted measure of the variance of persistent earnings shocks. While results are mixed, those supporting HIP are fragile and small in comparison to estimated earnings risk. buff.ly/fYuIIOn

Using a life-cycle model, we examine the contributions of taxes and transfer programs to mitigating lifetime income inequalities. Linking annual taxes to prior employment could strengthen insurance effects, with tradeoffs in employment and overall welfare. buff.ly/mMR9hdE

We model interest rates as censored observations of a latent shadow rate in VARs, estimated via efficient Bayesian methods. Our shadow-rate VARs yield superior interest rate forecasts and competitive macroeconomic forecasts. buff.ly/bJ9Dyqt

A market so nifty where matchings do grow, stability wins — 88% so! Subjects play smart, strategies unfold, & median matchings overwhelmingly take hold. Echenique, @ARobinsonCortes & @lyariv.com show us this trick: stability reigns when the players are slick! buff.ly/4gGol8y

High-frequency time series can lead to spurious regressions & inflated Wald stats when sampling interval → 0. But there's hope! Robust Wald test with appropriate long-run variance estimates prevents false positives, validated w/interest rate data https://buff.ly/40QJBT7

New research: AR(1) models w/ time-varying parameters enable smooth transitions between stationary & nonstationary periods. Local least squares regression provides robust estimation & proper confidence intervals across both cases. https://buff.ly/4hU2V8N

When the central bank lowers the policy rate, not only mortgage choices but also housing choices amplify the aggregate demand response. Using a quantitative model, I find that updated housing choices contribute to 10 % of the increase in aggregate spending https://buff.ly/4hoNHsy

We develop an indirect inference approach to test the speculative storage model, integrating supply response and several structural shocks. Using grain market data, our results highlight storage's role in price dynamics and resolve key empirical puzzles. https://buff.ly/4g5GQ5Y

Quantitative Economics Volume 16, Issue 1 (January 2025) is now online
www.econometricsociety.org/publications...