Andrii Babii

Andrii Babii Andrii Babii


Economics Department
Assistant Professor

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Working Papers

  1. Tensor principal component analysis, with Eric Ghysels, and Junsu Pan, 2022.

  2. Binary choice with asymmetric loss in a data-rich environment: theory and an application to racial justice, with Xi Chen, Eric Ghysels, and Rohit Kumar, 2022, submitted. [slides], [IAAE Webinar]

  3. Panel data nowcasting in a data-rich environment: the case of price-earnings ratios, with Ryan T. Ball, Eric Ghysels and Jonas Striaukas, 2022, R&R.

  4. Is completeness necessary? Estimation in nonidentified linear models, with Jean-Pierre Florens, 2021, R&R.

  5. Are unobservables separable?, with Jean-Pierre Florens, 2022, R&R. [slides]

Publications

  1. Isotonic regression discontinuity designs, with Rohit Kumar, Journal of Econometrics (2022), forthcoming. [slides]

  2. Machine learning panel data regressions with heavy-tailed dependent data: theory and application, with Ryan T. Ball, Eric Ghysels and Jonas Striaukas, Journal of Econometrics (2022), forthcoming. [R package]

  3. High-dimensional Granger causality tests with an application to VIX and news, with Eric Ghysels and Jonas Striaukas, Journal of Financial Econometrics (2022), forthcoming. [slides]

  4. High-dimensional mixed-frequency IV regression, Journal of Business & Economic Statistics (2022), 40(4).

  5. Machine learning time series regressions with an application to nowcasting, with Eric Ghysels and Jonas Striaukas, Journal of Business & Economic Statistics, (2022), 40(3). [slides], [R package], [Julia package]

  6. Honest confidence sets in nonparametric IV regression and other ill-posed models, Econometric Theory (2020), 36(4). [slides]

  7. ET interview: Jean-Pierre Florens, with Eric Ghysels, Econometric Theory (2020), 36(3).

  8. Commercial and residential mortgage defaults: spatial dependence with frailty, with Xi Chen and Eric Ghysels, Journal of Econometrics (2019), 212(1).

Academic Genealogy: Jean-Pierre Florens (1980) - Jean-Pierre Raoult (1969) - Daniel Dugué (1937) - Georges Darmois (1921) - Édouard Goursat (1881) - Gaston Darboux (1866) - Michel Chasles (1814) - Siméon Denis Poisson (1800) - Pierre-Simon Laplace (1769) and Joseph Louis Lagrange (1754) - Leonhard Euler (1726) - Johann Bernoulli (1694) - Jacob Bernoulli (1676)