Andriy Norets

Professor
Economics Department
Brown University

EmailAndriy_Norets@brown.edu
Office 209 Robinson Hall

CV: pdf

Working Papers

  1. "Locally Robust Efficient Bayesian Inference", with Ulrich Mueller and Marco Del Negro.

Published and Forthcoming Papers

  1. "Semiparametric Bayesian Estimation of Dynamic Discrete Choice Models", pdf, with Kenichi Shimizu. The Journal of Econometrics, Volume 238, Issue 2, January 2024. Replication code: zip.
  2. "Adaptive Bayesian Estimation of Mixed Discrete-Continuous Distributions under Smoothness and Sparsity," pdf, with Justinas Pelenis, Econometrica, Volume 90, Issue 3, May 2022, pp. 1355-1377. Replication code: zip.
  3. "Adaptive Bayesian Estimation of Conditional Discrete-Continuous Distributions with an Application to Stock Market Trading Activity," pdf, with Justinas Pelenis, The Journal of Econometrics, Volume 230, Issue 1, September 2022, pp. 62-82.
  4. "Optimal Auxiliary Priors and Reversible Jump Proposals for a Class of Variable Dimension Models," pdf, Econometric Theory, Volume 37, Issue 1, February 2021, pp. 49-81. Code for a polynomial regression example: zip, code for a mixture of experts application: zip.
  5. "Adaptive Bayesian Estimation of Conditional Densities," pdf, with Debdeep Pati, Econometric Theory, Volume 33, Issue 4, August 2017, pp. 980-1012. Bibliography style file (*.bst) for bibtex that implements Econometric Theory's reference style: et.bst.
  6. "Credibility of Confidence Sets in Nonstandard Econometric Problems," pdf, with Ulrich Mueller, Econometrica, Volume 84, Issue 6, November 2016, pp. 2183-2213.
  7. "Coverage Inducing Priors in Nonstandard Inference Problems," with Ulrich Mueller, pdf, Journal of the American Statistical Association, Volume 111, Issue 515, 2016, pp. 1233-1241.
  8. "Bayesian Regression with Nonparametric Heteroskedasticity," pdf, The Journal of Econometrics, Volume 185, Issue 2, April 2015, pp. 409-419.
  9. "Semiparametric Inference in Dynamic Binary Choice Models," pdf, with Xun Tang, Review of Economic Studies, Volume 81, Issue 3, 2014, pp. 1229-1262. An extension to dynamic multinomial choice models is here: pdf.
  10. "Posterior Consistency in Conditional Density Estimation by Covariate Dependent Mixtures," pdf, with Justinas Pelenis, Econometric Theory, Volume 30, Issue 03, June 2014, pp 606-646, link to replication code for simulation exercises.
  11. "On the Surjectivity of the Mapping between Utilities and Choice Probabilities," pdf, with Satoru Takahashi, 2013, Quantitative Economics, Volume 4, Issue 1, pages 149-155.
  12. "Bayesian Modeling of Joint and Conditional Distributions," pdf, with Justinas Pelenis, 2012, Journal of Econometrics, Volume 168, Issue 2, pages 332-346, web appendix.
  13. "Estimation of Dynamic Discrete Choice Models Using Artificial Neural Network Approximations," pdf, 2012, Econometric Reviews, Volume 31, Issue 1, pages 84-106.
  14. "Approximation of Conditional Densities by Smooth Mixtures of Regressions," pdf, 2010, Annals of Statistics, 38(3), pages 1733-1766.
  15. "Continuity and Differentiability of Expected Value Functions in Dynamic Discrete Choice Models," pdf, 2010, Quantitative Economics 1, pages 305-322.
  16. "Inference in Dynamic Discrete Choice Models with Serially Correlated Unobserved State Variables," pdf, 2009, Econometrica, Volume 77, Issue 5, pages 1665-1682. Web Supplement with proofs: pdf.

Old Working Papers

  1. "Implementation of Bayesian Inference in Dynamic Discrete Choice Models," pdf.
  2. "MCMC Estimation of a Finite Beta Mixture," pdf, Matlab code, with Xun Tang.

Teaching