Welcome to my personal page! I am a Lecturer (Assistant professor) at the University of Bristol, where I started in September 2022. I received my PhD in Economics from the University of California, San Diego. My research focus is in Econometrics and Policy Evaluation. I study how to robustify causal inference procedures against data limitations that typically arise in applied economic research.
PhD in Economics, 2022
University of California, San Diego
MS in Applied Economics, 2016
Cornell University
BA in Economics and Management, 2013
Bocconi University
This paper studies the robustness of estimated policy effects to changes in the distribution of covariates. Robustness to covariate shifts is important, for example, when evaluating the external validity of (quasi)-experimental results, which are often used as a benchmark for evidence-based policy-making. I propose a novel scalar robustness metric. This metric measures the magnitude of the smallest covariate shift needed to invalidate a claim on the policy effect (for example, \( ATE \geq 0 \) ) supported by the (quasi)-experimental evidence. My metric links the heterogeneity of policy effects and robustness in a flexible, nonparametric way and does not require functional form assumptions. I cast the estimation of the robustness metric as a de-biased GMM problem. This approach guarantees a parametric convergence rate for the robustness metric while allowing for machine learning-based estimators of policy effect heterogeneity (for example, lasso, random forest, boosting, neural nets). I apply my procedure to the Oregon Health Insurance experiment. I study the robustness of policy effects estimates of health-care utilization and financial strain outcomes, relative to a shift in the distribution of context-specific covariates. Such covariates are likely to differ across US states, making quantification of robustness an important exercise for adoption of the insurance policy in states other than Oregon. I find that the effect on outpatient visits is the most robust among the metrics of health-care utilization considered.
This paper studies the implication of a fraction of the population not responding to the instrument when selecting into treatment. We show that, in general, the presence of non-responders biases the Marginal Treatment Effect (MTE) curve and many of its functionals. We obtain partial identification results for the MTE, the LATE and the MPRTE. Moreover, in a linear-in-covariates model we obtain a testable implication for the presence of non-responders. Simulation results show that our proposed estimators, using the range of the propensity score, work well.
This project focuses on the exercise of comparing coefficients across regression specifications, broadly known as robustness checks, a very popular tool in applied economic research. The econometric literature has proposed to formalize this coefficient stability exercise in linear models by turning robustness checks into a robustness test. Unfortunately, for available procedures, a rejection in their proposed test may be due to either a failure in the notion of robustness or to a failure of the linearity of the model, making the robustness test non-specific. I bypass this difficulty by proposing a semi-parametric test based on linear sieve estimators that allows for non-linearity and is specific to testing the coefficient stability.
The classic Arrow-Debreu (1954) general equilibrium model cannot sustain or account for the existence of money. This lacuna arises because each household and firm faces a single budget constraint summarizing revenue and expense in all commodities. Money, a carrier of value between transactions, has no function when all credits and debits are rolled into a single expression. A trading post model of $N \geq 3$ commodities and transaction costs generates \(\frac{1}{2} N (N-1) \) separate budget constraints with distinct bid and ask prices. General equilibrium, market-clearing prices and transactions at each trading post, exists under conventional continuity and convexity conditions. Commodities acquired by an agent at one trading post and disbursed at another constitute commodity money.
A thick market external effect is applied to a trading post model of \( N\geq 3 \) commodities with transaction costs and distinct bid and ask prices. We state and prove an existence theorem for general equilibrium with external effects in the trading post model. Media of exchange occur endogenously as liquid commodities, characterized by a narrow bid/ask price spread. The thick market externality can lead to concentration of the endogenously determined media of exchange towards an equilibrium with a single medium. In a class of examples, we show that if the households have sufficiently heterogeneous tastes relative to the size of the economy, the monetary equilibrium leads to higher consumption than the barter equilibrium.
Average instructor rating: 4.8/5
“Pietro is the best lecturer I have ever had at university. You can really tell he puts a lot of effort into his teaching and is really enthusiastic about it. He creates a very safe teaching environment where I always felt comfortable asking questions. He was always very helpful answering questions and adapting to students preferences in lectures."
Check out the Syllabus I designed for Introduction to Econometrics.
Student Evaluations: Summer 2020; Summer 2020
“The learning environment that he provided for us was above and beyond expectations. He is easily reached in and outside of class and he makes learning this difficult material easier to understand”
“I really enjoyed having Pietro as an instructor. He promotes a fantastic learning environment and truly understands the content he teaches. He is one of the best instructors I’ve had so far, especially in terms of caring for his students”
Student Evaluations: Fall 2018; Fall 2019; Fall 2020
Student Evaluations: Spring 2018; Winter 2021
Student Evaluations: Fall 2017; Winter 2018; Spring 2019; Spring 2019; Winter 2020; Winter 2020
Student Evaluations: Winter 2019
“Pietro’s sections are a joy. I especially enjoy it when he solves qual questions. Keep it up!"
-UCSD Econometrics PhD Qualifying Exam Tutor, Summer 2019
Yixiao Sun | Kaspar Wuthrich | James D. Hamilton | Melissa Famulari |
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yisun@ucsd.edu | kwuthrich@ucsd.edu | jhamilton@ucsd.edu | mfamulari@ucsd.edu |
+1 (858) 534-4692 | +1 (858) 534-3383 | +1 (858) 534-5986 | +1 (858) 534-3878 |