arXiv subjects

Eric Qian

Publications and source records attributed to Eric Qian.

4 recordsLinked to original sources

arXiv2025

Local Projections or VARs? A Primer for Macroeconomists

What should applied macroeconomists know about local projection (LP) and vector autoregression (VAR) impulse response estimators? The two methods share the same estimand, but in finite samples lie on opposite ends of a bias-variance trade-off. While the low bias of LPs comes at a quite steep variance cost, this cost must be paid to achieve robust uncertainty assessments. Hence, when the goal is to convey what can be learned about dynamic causal effects from the data, VARs should only be used with long lag lengths, ensuring equivalence with LP. For LP estimation, we provide guidance on selection of lag length and controls, bias correction, and confidence interval construction.

econ.EM↗

arXiv2024

Double Robustness of Local Projections and Some Unpleasant VARithmetic

We consider impulse response inference in a locally misspecified vector autoregression (VAR) model. The conventional local projection (LP) confidence interval has correct coverage even when the misspecification is so large that it can be detected with probability approaching 1. This result follows from a "double robustness" property analogous to that of popular partially linear regression estimators. By contrast, the conventional VAR confidence interval with short-to-moderate lag length can severely undercover for misspecification that is small, difficult to detect statistically, and cannot be ruled out based on economic theory. The VAR confidence interval has robust coverage if, and only if, the lag length is so large that the interval is as wide as the LP interval.

econ.EM↗

arXiv2023

Heterogeneity-robust granular instruments

Granular instrumental variables (GIV) has experienced sharp growth in empirical macro-finance. The methodology's rise showcases granularity's potential for identification across many economic environments, like the estimation of spillovers and demand systems. I propose a new estimator--called robust granular instrumental variables (RGIV)--that enables studying unit-level heterogeneity in spillovers. Unlike existing methods that assume heterogeneity is a function of observables, RGIV leaves heterogeneity unrestricted. In contrast to the baseline GIV estimator, RGIV allows for unknown shock variances and does not require skewness in the size distribution. I find evidence of unit-level heterogeneity in applications to sovereign yield spillovers and the inelastic markets hypothesis.

econ.EM↗

arXiv2023

In-situ Water quality monitoring in Oil and Gas operations

From agriculture to mining, to energy, surface water quality monitoring is an essential task. As oil and gas operators work to reduce the consumption of freshwater, it is increasingly important to actively manage fresh and non-fresh water resources over the long term. For large-scale monitoring, manual sampling at many sites has become too time-consuming and unsustainable, given the sheer number of dispersed ponds, small lakes, playas, and wetlands over a large area. Therefore, satellite-based environmental monitoring presents great potential. Many existing satellite-based monitoring studies utilize index-based methods to monitor large water bodies such as rivers and oceans. However, these existing methods fail when monitoring small ponds-the reflectance signal received from small water bodies is too weak to detect. To address this challenge, we propose a new Water Quality Enhanced Index (WQEI) Model, which is designed to enable users to determine contamination levels in water bodies with weak reflectance patterns. Our results show that 1) WQEI is a good indicator of water turbidity validated with 1200 water samples measured in the laboratory, and 2) by applying our method to commonly available satellite data (e.g. LandSat8), one can achieve high accuracy water quality monitoring efficiently in large regions. This provides a tool for operators to optimize the quality of water stored within surface storage ponds and increasing the readiness and availability of non-fresh water.

cs.CV↗