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Andrii Babii

University of North Carolina at Chapel Hill

Assistant Professor

Gardner Hall, CB 3305

Chapel Hill, NC 27514

United States

  • University of North Carolina at Chapel Hill

SCHOLARLY PAPERS

16

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4,162

TOTAL CITATIONS
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Top 18,841

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50

Scholarly Papers (16)

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1.

Econometrics of Machine Learning Methods in Economic Forecasting

Kenan Institute of Private Enterprise Research Paper No. 4547321
Number of pages: 35 Posted: 08 Sep 2023 Last Revised: 03 Jan 2024
Andrii Babii, Eric Ghysels and Jonas Striaukas
University of North Carolina at Chapel Hill, University of North Carolina Kenan-Flagler Business School and Copenhagen Business School
Downloads 958 (62,105)

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machine learning, economic forecasting, LASSO, panel data, tensor factor model, asymmetric classification

2.

Machine Learning Panel Data Regressions with Heavy-tailed Dependent Data: Theory and Application

Journal of Econometrics, Vol. 237, No. 2C, 2023
Number of pages: 54 Posted: 24 Sep 2020 Last Revised: 29 Dec 2023
Andrii Babii, Ryan T. Ball, Eric Ghysels and Jonas Striaukas
University of North Carolina at Chapel Hill, The Stephen M. Ross School of Business at the University of Michigan, University of North Carolina Kenan-Flagler Business School and Copenhagen Business School
Downloads 810 (75,727)
Citation 4

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high-dimensional panels, large N and T panels, mixed-frequency data, sparse-group LASSO, fat tails

3.

Machine Learning Time Series Regressions With an Application to Nowcasting

Journal of Business and Economic Statistics (2022), 40(3)
Number of pages: 54 Posted: 05 Jan 2020 Last Revised: 27 Dec 2022
Andrii Babii, Eric Ghysels and Jonas Striaukas
University of North Carolina at Chapel Hill, University of North Carolina Kenan-Flagler Business School and Copenhagen Business School
Downloads 566 (122,503)
Citation 4

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high-dimensional time series, heavy-tails, tau-mixing, sparse-group LASSO, mixed frequency data, textual news data

4.

Tensor PCA for Factor Models

Number of pages: 65 Posted: 04 Jan 2023 Last Revised: 02 Jun 2025
Andrii Babii, Eric Ghysels and Junsu Pan
University of North Carolina at Chapel Hill, University of North Carolina Kenan-Flagler Business School and University of North Carolina at Chapel Hill
Downloads 409 (182,042)
Citation 5

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Multidimensional panel data, tensors, cross-sectional dependence, dynamic networks, spatial data, factor models, principal component analysis, asset pricing.

5.

Panel Data Nowcasting: The Case of Price-Earnings Ratios

Number of pages: 28 Posted: 09 Sep 2022 Last Revised: 22 Aug 2023
Andrii Babii, Ryan T. Ball, Eric Ghysels and Jonas Striaukas
University of North Carolina at Chapel Hill, The Stephen M. Ross School of Business at the University of Michigan, University of North Carolina Kenan-Flagler Business School and Copenhagen Business School
Downloads 330 (235,151)
Citation 6

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Corporate earnings, nowcasting, high-dimensional panels, mixed frequency data, textual news data, sparse-group LASSO

6.

Nowcasting and Aggregation: Why Small Euro Area Countries Matter

Number of pages: 51 Posted: 24 Jul 2024 Last Revised: 29 Sep 2025
Andrii Babii, Luca Barbaglia, Eric Ghysels and Jonas Striaukas
University of North Carolina at Chapel Hill, Joint Research Center of the European Commission, University of North Carolina Kenan-Flagler Business School and Copenhagen Business School
Downloads 166 (456,852)

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hierarchical nowcasting, high-dimensional panels, mixed-frequency data, text data, aggregation

7.

Are Unobservables Separable?

Number of pages: 46 Posted: 04 May 2017 Last Revised: 29 Dec 2023
Andrii Babii and Jean-Pierre Florens
University of North Carolina at Chapel Hill and University of Toulouse
Downloads 166 (451,954)
Citation 1

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unobservables, endogeneity, separability test, Engel curves, heterogeneity in unobservables, distribution of nonparametric IV residuals

8.

Isotonic Regression Discontinuity Designs

Journal of Econometrics, Vol. 234, No. 2, 2023
Number of pages: 52 Posted: 02 Oct 2019 Last Revised: 29 Dec 2023
Andrii Babii and Rohit Kumar
University of North Carolina at Chapel Hill and Indian Statistical Institute, Kolkata
Downloads 149 (502,974)
Citation 1

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regression discontinuity designs, shape constraints, monotonicity, isotonic regression, boundary point, wild bootstrap

9.

High-Dimensional Granger Causality Tests with an Application to VIX and News

Journal of Financial Econometrics (forthcoming)
Number of pages: 56 Posted: 24 Jun 2020 Last Revised: 21 Jun 2022
Andrii Babii, Eric Ghysels and Jonas Striaukas
University of North Carolina at Chapel Hill, University of North Carolina Kenan-Flagler Business School and Copenhagen Business School
Downloads 108 (654,668)
Citation 7

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HAC Estimator, Sparse-Group LASSO, High-Dimensional Time Series, Inference for Groups, Fuk-Nagaev Inequality, τ-Dependent Sequences

10.

Commercial and Residential Mortgage Defaults: Spatial Dependence with Frailty

Journal of Econometrics, Vol. 212, No. 1, 2019
Number of pages: 56 Posted: 29 Mar 2021
Andrii Babii, Xi Chen and Eric Ghysels
University of North Carolina at Chapel Hill, University of North Carolina (UNC) at Chapel Hill and University of North Carolina Kenan-Flagler Business School
Downloads 98 (699,467)
Citation 6

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mortgage defaults, commercial and residential mortgages, frailty, GAS model

11.

High-Dimensional Mixed-Frequency IV Regression

Journal of Business and Economic Statistics (2022), 40(4)
Number of pages: 42 Posted: 22 May 2020 Last Revised: 27 Dec 2022
Andrii Babii
University of North Carolina at Chapel Hill
Downloads 96 (720,278)
Citation 4

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Tikhonov regularization, real-time price elasticity, electricity supply, confidence bands, double/debiased machine learning

12.

Honest Confidence Sets in Nonparametric IV Regression and Other Ill-Posed Models

Econometric Theory (2020), 36(4)
Number of pages: 60 Posted: 05 May 2017 Last Revised: 26 Dec 2022
Andrii Babii
University of North Carolina at Chapel Hill
Downloads 89 (747,755)
Citation 5

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nonparametric instrumental regression, functional linear regression, density deconvolution, honest uniform confidence sets, non-asymptotic inference, ill-posed models, Tikhonov regularization

13.

Is Completeness Necessary? Estimation in Nonidentified Linear Models

Number of pages: 49 Posted: 13 Sep 2017 Last Revised: 14 Jan 2025
Andrii Babii and Jean-Pierre Florens
University of North Carolina at Chapel Hill and University of Toulouse
Downloads 83 (783,685)
Citation 6

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machine learning, high-dimensional regressions, ridge, gradient descent, pca, nonparametric IV, nonidentified models, weak identification

14.

Functional Partial Least-Squares: Adaptive Estimation and Inference

Number of pages: 69 Posted: 08 Mar 2024 Last Revised: 16 Aug 2025
Andrii Babii, Marine Carrasco and Idriss Tsafack
University of North Carolina at Chapel Hill, University of Montreal - Department of Economics and University of Montreal
Downloads 73 (883,195)
Citation 1

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15.

ET Interview: Jean-Pierre Florens

Econometric Theory (2020), 36(3), Kenan Institute of Private Enterprise Research Paper No. 4547331
Number of pages: 17 Posted: 07 Sep 2023
Andrii Babii and Eric Ghysels
University of North Carolina at Chapel Hill and University of North Carolina Kenan-Flagler Business School
Downloads 55 (1,010,164)

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Jean-Pierre Florens

16.

Binary Choice with Asymmetric Loss in a Data-Rich Environment: Theory and an Application to Racial Justice

CEPR Discussion Paper No. DP15418
Number of pages: 72 Posted: 03 Nov 2020
Andrii Babii, Eric Ghysels, Xi Chen and rohit kumar
University of North Carolina at Chapel Hill, University of North Carolina Kenan-Flagler Business School, University of North Carolina (UNC) at Chapel Hill and affiliation not provided to SSRN
Downloads 6 (1,575,921)
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