arXiv subjects

Marcelo Fernandes

Publications and source records attributed to Marcelo Fernandes.

5 recordsLinked to original sources

arXiv2026

Estimation risk in conditional expectiles

We establish the consistency and asymptotic normality of a two-step estimator of conditional expectiles in the context of conditional scale models. We first estimate the conditional variance parameters by quasi-maximum likelihood and then compute the unconditional expectile of the innovations using the empirical distribution of the standardized residuals. We show how replacing true innovations with standardized residuals affects the asymptotic variances of both conditional and unconditional expectile estimators. Finally, our empirical analysis reveals that conditional expectiles assess tail risk in cryptomarkets in a more robust manner than traditional quantile-based risk measures, such as value at risk and expected shortfall.

econ.EM↗

arXiv2026

Treatment-effect heterogeneity and interactive fixed effects: Can we control for too much?

This paper studies the interactive fixed effects (IFE) estimator in a panel-data setting with heterogeneous treatment effects. We show that, if the treatment-effect heterogeneity admits a linear factor structure, the IFE estimator could fail to recover the average treatment effect on the treated units. The problem arises because the interactive fixed effects absorb the heterogeneity in the treatment effect, creating a \textit{bad-control} problem. With time-invariant factors or unit-invariant loadings in the treatment effect heterogeneity, identification may further break down due to multicollinearity. These problems are not present in alternative estimation methods that exclude treated units in post-treatment periods from the factor estimation.

econ.EM↗

arXiv2023

Overcoming Challenges in DevOps Education through Teaching Methods

DevOps is a set of practices that deals with coordination between development and operation teams and ensures rapid and reliable new software releases that are essential in industry. DevOps education assumes the vital task of preparing new professionals in these practices using appropriate teaching methods. However, there are insufficient studies investigating teaching methods in DevOps. We performed an analysis based on interviews to identify teaching methods and their relationship with DevOps educational challenges. Our findings show that project-based learning and collaborative learning are emerging as the most relevant teaching methods.

cs.SE↗

arXiv2022

DevOps Education: An Interview Study of Challenges and Recommendations

Over the last years, the software industry has adopted several DevOps technologies related to practices such as continuous integration and continuous delivery. The high demand for DevOps practitioners requires non-trivial adjustments in traditional software engineering courses and educational methodologies. This work presents an interview study with 14 DevOps educators from different universities and countries, aiming to identify the main challenges and recommendations for DevOps teaching. Our study identified 83 challenges, 185 recommendations, and several association links and conflicts between them. Our findings can help educators plan, execute and evaluate DevOps courses. They also highlight several opportunities for researchers to propose new methods and tools for teaching DevOps.

cs.SE↗

arXiv2019

Smoothing quantile regressions

We propose to smooth the entire objective function, rather than only the check function, in a linear quantile regression context. Not only does the resulting smoothed quantile regression estimator yield a lower mean squared error and a more accurate Bahadur-Kiefer representation than the standard estimator, but it is also asymptotically differentiable. We exploit the latter to propose a quantile density estimator that does not suffer from the curse of dimensionality. This means estimating the conditional density function without worrying about the dimension of the covariate vector. It also allows for two-stage efficient quantile regression estimation. Our asymptotic theory holds uniformly with respect to the bandwidth and quantile level. Finally, we propose a rule of thumb for choosing the smoothing bandwidth that should approximate well the optimal bandwidth. Simulations confirm that our smoothed quantile regression estimator indeed performs very well in finite samples.

econ.EM↗