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. econometricsociety.org/publications/q…

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 econometricsociety.org/publications/q…

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. econometricsociety.org/publications/q…

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 econometricsociety.org/publications/q…

A market so nifty where matchings do grow, stability wins — 88% so! Subjects play smart, strategies unfold, & median matchings overwhelmingly take hold. Echenique, Alejandro RC & Leeat Yariv show us this trick: stability reigns when the players are slick! econometricsociety.org/publications/q…

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. econometricsociety.org/publications/q…

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. econometricsociety.org/publications/q…

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. econometricsociety.org/publications/q…

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. econometricsociety.org/publications/q…

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. econometricsociety.org/publications/q…

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” econometricsociety.org/prizes/qe-te-b… Congratulations to the authors!

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. econometricsociety.org/publications/q…

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

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. econometricsociety.org/publications/q…

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

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 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. econometricsociety.org/publications/q…