I am an economist with research interests
in econometric theory and industrial organization.
I will join the Center for Economic and Social Research (CESR)
of the University of Southern California in May 2023.
PUBLICATIONS
A uniform bound on the operator norm of sub-Gaussian random matrices and its applications [pdf]
With Hyungsik Roger Moon
Econometric Theory, 38, 2022, 1073–1091.
For an N×T random matrix X(β) with weakly dependent uniformly sub-Gaussian entries xit(β) that may depend on a possibly infinite-dimensional parameter β ∈ B, we obtain a uniform bound on its operator norm of the form E supβ∈B ||X(β)|| ≤ CK(√max(N, T) + γ2(B, dB)), where C is an absolute constant, K controls the tail behavior of (the increments of) xit(·), and γ2(B, dB) is Talagrand’s functional, a measure of multi-scale complexity of the metric space (B, dB). We illustrate how this result may be used for estimation that seeks to minimize the operator norm of moment conditions as well as for estimation of the maximal number of factors with functional data.
Higher order conditional moment dynamics and forecasting value-at-risk [2014, in Russian, pdf]
Quantile No.12, pp. 69–82
WORKING PAPERS
Bias correction and uniform inference for the quantile density function [July 2022, arxiv]
Submitted
For the kernel estimator of the quantile density function (the derivative of the quantile function), I show how to perform the boundary bias correction, establish the rate of strong uniform consistency of the bias-corrected estimator, and construct the confidence bands that are asymptotically exact uniformly over the entire domain [0,1]. The proposed procedures rely on the pivotality of the studentized bias-corrected estimator and known anti-concentration properties of the Gaussian approximation for its supremum.
Nonparametric inference on counterfactuals in first-price auctions [major revision, June 2022, arxiv]
With Pasha Andreyanov
Submitted
In a classical model of the first-price sealed-bid auction with independent private values, we develop nonparametric estimation and inference procedures for a class of policy-relevant metrics, such as total expected surplus and expected revenue under counterfactual reserve prices. Motivated by the linearity of these metrics in the quantile function of bidders’ values, we propose a bid spacings-based estimator of the latter and derive its Bahadur-Kiefer expansion. This makes it possible to construct exact uniform confidence bands and assess the optimality of a given auction rule. Using the data on U.S. Forest Service timber auctions, we test whether setting zero reserve prices in these auctions was revenue maximizing.
Bias correction for quantile regression estimators [major revision, Dec 2022, arxiv]
With Bulat Gafarov and Kaspar Wüthrich
Resubmitted, Journal of Econometrics
Supercedes "Conditional quantile estimators: a small sample theory"
We study the bias of classical quantile regression and instrumental variable quantile regression estimators. While being asymptotically first-order unbiased, these estimators can have non-negligible second-order biases. We derive a higher-order stochastic expansion of these estimators using empirical process theory. Based on this expansion, we derive an explicit formula for the second-order bias and propose a feasible bias correction procedure that uses finite-difference estimators of the bias components. The proposed bias correction method performs well in simulations. We provide an empirical illustration using Engel's classical data on household expenditure.
Efficient counterfactual estimation in semiparametric discrete choice models: a note on Chiong, Hsieh, and Shum (2017) [Dec 2021, arxiv]
Nonparametric welfare analysis with additively separable heterogeneity [pdf coming soon]
WORK IN PROGRESS
Dyadic quantile regression
With Hyungsik Roger Moon
Estimation and inference in panel models with attrition and refreshment
With Jinyong Hahn, Pierre Hoonhout, Arie Kapteyn, and Geert Ridder
TEACHING
Graduate:
@USC (2017-2022):
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Big data econometrics
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Econometrics
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Probability and statistics
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Time series analysis
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Economics of financial markets
@New Economic School (2012-2014):
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Econometrics I, II, III
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Mathematics for economists I, II
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Game theory
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Empirics of financial markets
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Probability theory
Undergraduate:
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Principles of microeconomics (USC 2017)
CONTACT
Mailing address:
Grigory Franguridi
Department of Economics, USC
3620 South Vermont Ave. Kaprielian (KAP) Hall, 300
Los Angeles, CA 90089
Email: franguri [at] usc [dot] edu