Open Page007 opened 1 month ago
Suggesting a variety of cuts in the data When we just started working with the combined ff variation and TU data, we talked about a cohort-specific 'heatmap' idea -- I was already implementing a similar version to study the diff in diff in suit probability over the sample calendar time for each cohort. Further, in our weekly meetings, I like to think that I suggest variety of cuts in the data that might be worth studying/trying to find patterns for which writing dynamic models is simple etc. I would like to be better at it and I learn more about it in every meeting. I dare say that a good number of our meetings act as a validation mechanism for the steps we should take next.
Construction of event study plots -- I think you explained ES Plots really nicely to me and I was very happy to make these plots for the first time ever.
I really liked helping with Bartik-Nelson, specifically because it gave me a chance to do algebraic computation!
I think "my best" should include what I really like thinking about. I still really like proving things and being careful about consistency of estimators (like SA), using the delta method to compute SEs for SA estimator, thinking about incidental parameter problems, etc. I really like bootstrapping because it pushes the econometrician to use independence between entities and over the past year, there have been times when I've suggested it! It might have been completely useless, but I still think I was happy to be on Dan's side in the debate between you and him!
Suggestions about consumer default model without bankruptcy: I still think that estimating the probability of transition into the collections state and a transition from the collections state into the sued state across heterogenous borrowers (e.g., hand-to-mouth, middle class, rich borrowers) is an idea worth executing. A model that predicts transition into and out of these states could be an important gateway to understand heterogenous borrower behavior. A lot of the HANK literature would be interested in getting micro-estimates like MPB from such a model.
A model of collection seasoning: Because I'm recollecting everything that's worth mentioning, I choose to document this. As we've talked about in the past-- a model of credit card debt seasoning would be very interesting to look at. I think it is interesting to model a debt-collector's decision to buy/sell unsecured debt. In an ideal world, I would like to write a portfolio choice model of a debt collector and policy levers like FF changes that can be used to regulate them.
That said, I've learnt a great deal about applied practice. I think I can also be much better because most of my skill accrual over the years has been about theory and abstract thinking. But over time, I've come to appreciate research practice a la Nelson (2023), Kaplan, Moll, Violante (2018) and a lot of Erik Hurst's work. Its great to have reduced form evidence and then write an ingenious, parsimonious model that captures a lot of variation in the data. It is worth knowing the economics reasons for the model's inability to capture the "loss".
Thanks for being generous with the analysis course and letting me read macro models, metrics theory and esp. introducing me to Livshits, MacGee and Tertilt's model!
Hi Scott! Thanks for this portfolio exercise. I've tried to add a list of things that I think I have been able to think about competitively and precisely.