Martin Mugnier

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  • References:
    Professor Xavier D’Haultfoeuille, CREST – ENSAE
    Professor Stéphane Bonhomme, The University of Chicago
    Professor Laurent Davezies, CREST – ENSAE
  • Research field:
    Econometrics (theory and applications)
  • JMP Abstract:
    In studies based on longitudinal data, researchers often assume time-invariant unobserved heterogeneity or linear-in-parameters conditional expectations. Violation of these assumptions may lead to poor counterfactuals. I study the identification and estimation of a large class of nonlinear grouped fixed effects (NGFE) models where the relationship between observed covariates and cross-sectional unobserved heterogeneity is left unrestricted but the latter only takes a restricted number of paths over time. I show that the corresponding “clusters” and the nonparametrically specified link function can be point-identified when both dimensions of the panel are large. I propose a semiparametric NGFE estimator whose implementation is feasible, and establish its large sample properties in popular binary and count outcome models. Distinctive features of the NGFE estimator are that it is asymptotically normal unbiased at parametric rates, and it allows for the number of periods to grow slowly with the number of cross-sectional units. Monte Carlo simulations suggest good finite sample performance. I apply this new method to revisit the so-called inverted-U relationship between product market competition and innovation. Allowing for clustered patterns of time-varying unobserved heterogeneity leads to a much flatter estimated curve.

Pierre Picard and Alexis Louaas receive the “SCOR-Geneva Risk and Insurance Review Best Paper Award”
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Congratulations to Pierre Picard and Alexis Louaas who received the “SCOR-Geneva Risk and Insurance Review Best Paper Award” for their article “Optimal insurance coverage of low-probability catastrophic risk” published in 2021 in the Geneva Risk and Insurance Review. The award was presented to them on the occasion of the 49th seminar of the European Group of Risk and Insurance Economists (EGRIE) which took place in Vienna (Austria) from September 18 to 21, 2021.

Workshop Artificial Intelligence and Globalization
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Le 27 octobre 2022 de 9:00 à 17:00 au Ministère de l’économie
L’évènement est organisé par DiPLab (Digital Platform Labor), une équipe de recherche animée par Antonio Casilli, Paola Tubaro et Ulrich Laitenberger à l’Institut Polytechnique de Paris.