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empirical-research

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End-to-end Python econometric toolkit implementing Dustmann et al.'s (2025) decomposition framework for identifying the true labor market impact of immigration. Separates aggregate immigration effects into displacement, crowding-out, and selection components using 2SLS, FD-IV, and Wild Cluster Bootstrap on German social security microdata.

  • Updated Nov 2, 2025
  • Jupyter Notebook

End-to-End Python implementation of Massacci et al.'s (2025) novel Randomized Alpha Test for high-dimensional factor models. Features robust OLS estimation, Extreme Value Theory-based inference, Monte Carlo simulation engine, and rolling-window empirical analysis. Handles N>T panels with non-Gaussian, heteroskedastic returns.

  • Updated Jul 26, 2025
  • Jupyter Notebook

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