Working Papers
Optimal HAR Inference. Conditionally Accepted, Quantitative Economics.
This paper considers the problem of deriving heteroskedasticity and autocorrelation robust (HAR) inference about a scalar parameter of interest. The main assumption is that there is a known upper bound on the degree of persistence in data. I derive finite-sample optimal tests in the Gaussian location model and show that the robustness-efficiency tradeoffs embedded in the optimal tests are essentially determined by the maximal persistence. I find that with an appropriate adjustment to the critical value, it is nearly optimal to use the so-called equal-weighted cosine (EWC) test, where the long-run variance is estimated by projections onto q type II cosines. The practical implications are an explicit link between the choice of q and assumptions on the underlying persistence, as well as a corresponding adjustment to the usual Student-t critical value. I illustrate the results in two empirical examples.
Quantifying Delay Propagation in Airline Networks. (Joint with Jakub Kastl and John Lazarev.)
We develop a framework for quantifying delay propagation in airline networks. Using a large comprehensive data set on actual delays and a model-selection algorithm (elastic net) we estimate a weighted directed graph of delay propagation for each major airline in the US. We use these estimates to decompose the airline performance into "luck" and "ability." We further use these estimates to describe how network topology and other airline network characteristics (such as aircraft fleet heterogeneity) affect the expected delays. Finally, we propose a model of aircraft scheduler who allocates effort to minimize costs of delay on a network and show how the effort cost can be estimated. We then use the estimated effort cost to evaluate counterfactual scenarios of investments in airport infrastructure in terms of their impact on delays.
Forthcoming and Published Papers
Generalized Local-to-Unity Models. Econometrica, 89 (2021), 1825-1854. (Joint with Ulrich K. Müller.) [ DOI | Supplement | .pdf ]
Catalyst of Business Cycle Synchronizations in East Asia. The Singapore Economic Review , 62 (2017), 703-719. (Joint with Hui-Ying Sng and Pradumna B. Rana.) [ DOI ]
Trial and Error in Influential Social Networks. In Proceedings of the 19th ACM SIGKDD Conference on Knowledge, Discovery, and Data Mining (KDD), ed. by Inderjit S. Dhillon et al., ACM (2013), 1016-1024. (Joint with Ning Chen, Xiaohui Bei, Xiangru Huang and Ruixin Qiang.) [ DOI | .pdf ]