Journal of Econometrics最新文献

Multivariate spatiotemporal models with low rank coefficient matrix 低秩系数矩阵多变量时空模型

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2024-11-01 DOI: 10.1016/j.jeconom.2024.105897

Dan Pu , Kuangnan Fang , Wei Lan , Jihai Yu , Qingzhao Zhang

{"title":"Multivariate spatiotemporal models with low rank coefficient matrix","authors":"Dan Pu , Kuangnan Fang , Wei Lan , Jihai Yu , Qingzhao Zhang","doi":"10.1016/j.jeconom.2024.105897","DOIUrl":"10.1016/j.jeconom.2024.105897","url":null,"abstract":"<div><div>Multivariate spatiotemporal data arise frequently in practical applications, often involving complex dependencies across cross-sectional units, time points and multivariate variables. In the literature, few studies jointly model the dependence in three dimensions. To simultaneously model the cross-sectional, dynamic and cross-variable dependence, we propose a multivariate reduced-rank spatiotemporal model. By imposing the low-rank assumption on the spatial influence matrix, the proposed model achieves substantial dimension reduction and has a nice interpretation, especially for financial data. Due to the innate endogeneity, we propose the quasi-maximum likelihood estimator (QMLE) to estimate the unknown parameters. A ridge-type ratio estimator is also developed to determine the rank of the spatial influence matrix. We establish the asymptotic distribution of the QMLE and the rank selection consistency of the ridge-type ratio estimator. The proposed methodology is further illustrated via extensive simulation studies and two applications to a stock market dataset and an air pollution dataset.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"246 1","pages":"Article 105897"},"PeriodicalIF":9.9,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142656946","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

GLS under monotone heteroskedasticity 单调异方差下的 GLS

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2024-11-01 DOI: 10.1016/j.jeconom.2024.105899

Yoichi Arai , Taisuke Otsu , Mengshan Xu

引用次数: 0

Inference in predictive quantile regressions 预测性量化回归的推论

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2024-10-01 DOI: 10.1016/j.jeconom.2024.105875

Alex Maynard , Katsumi Shimotsu , Nina Kuriyama

{"title":"Inference in predictive quantile regressions","authors":"Alex Maynard , Katsumi Shimotsu , Nina Kuriyama","doi":"10.1016/j.jeconom.2024.105875","DOIUrl":"10.1016/j.jeconom.2024.105875","url":null,"abstract":"<div><div>This paper studies inference in predictive quantile regressions when the predictive regressor has a near-unit root. We derive asymptotic distributions for the quantile regression estimator and its heteroskedasticity and autocorrelation consistent (HAC) <span><math><mi>t</mi></math></span>-statistic in terms of functionals of Ornstein–Uhlenbeck processes. We then propose a switching-fully modified (FM) predictive test for quantile predictability. The proposed test employs an FM style correction with a Bonferroni bound for the local-to-unity parameter when the predictor has a near unit root. It switches to a standard predictive quantile regression test with a slightly conservative critical value when the largest root of the predictor lies in the stationary range. Simulations indicate that the test has a reliable size in small samples and good power. We employ this new methodology to test the ability of three commonly employed, highly persistent and endogenous lagged valuation regressors – the dividend price ratio, earnings price ratio, and book-to-market ratio – to predict the median, shoulders, and tails of the stock return distribution.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"245 1","pages":"Article 105875"},"PeriodicalIF":9.9,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142651238","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Polar amplification in a moist energy balance model: A structural econometric approach to estimation and testing 湿能量平衡模型中的极地放大效应：估算和检验的结构计量经济学方法

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2024-10-01 DOI: 10.1016/j.jeconom.2024.105885

William A. Brock , J. Isaac Miller

{"title":"Polar amplification in a moist energy balance model: A structural econometric approach to estimation and testing","authors":"William A. Brock , J. Isaac Miller","doi":"10.1016/j.jeconom.2024.105885","DOIUrl":"10.1016/j.jeconom.2024.105885","url":null,"abstract":"<div><div>Poleward transport of atmospheric moisture and heat play major roles in the magnification of warming in poleward latitudes per degree of global warming, a phenomenon known as polar amplification (PA). We derive a time series econometric framework using a system of equations that have error-correction mechanisms restricted across equations to estimate and an identification strategy to recover the parameters of a moist energy balance model (MEBM) similar to those in the recent climate science literature. This framework enables the climate econometrician to estimate and forecast temperature rise in latitude belts as cumulative emissions continue to grow as well as account for effects of increases in atmospheric moisture suggested by the Clausius–Clapeyron equation, a driver of spatial non-uniformity in climate change. Non-uniformity is important for two reasons: climate change has unequal economic consequences that need to be better understood and amplification of temperatures in polar latitudes may trigger irreversible climate tipping points, which are disproportionately located in those regions.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"245 1","pages":"Article 105885"},"PeriodicalIF":9.9,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142651239","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Testing for strong exogeneity in Proxy-VARs 检验 Proxy-VARs 中的强外生性

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2024-10-01 DOI: 10.1016/j.jeconom.2024.105876

Martin Bruns , Sascha A. Keweloh

引用次数: 0

Policy evaluation during a pandemic 大流行期间的政策评估

IF 6.3 3区经济学

Journal of Econometrics Pub Date : 2023-09-01 DOI: 10.1016/j.jeconom.2023.03.009

Brantly Callaway , Tong Li

{"title":"Policy evaluation during a pandemic","authors":"Brantly Callaway , Tong Li","doi":"10.1016/j.jeconom.2023.03.009","DOIUrl":"10.1016/j.jeconom.2023.03.009","url":null,"abstract":"<div><p>National and local governments have implemented a large number of policies in response to the Covid-19 pandemic. Evaluating the effects of these policies, both on the number of Covid-19 cases as well as on other economic outcomes is a key ingredient for policymakers to be able to determine which policies are most effective as well as the relative costs and benefits of particular policies. In this paper, we consider the relative merits of common identification strategies that exploit variation in the timing of policies across different locations by checking whether the identification strategies are compatible with leading epidemic models in the epidemiology literature. We argue that unconfoundedness type approaches, that condition on the pre-treatment “state” of the pandemic, are likely to be more useful for evaluating policies than difference-in-differences type approaches due to the highly nonlinear spread of cases during a pandemic. For difference-in-differences, we further show that a version of this problem continues to exist even when one is interested in understanding the effect of a policy on other economic outcomes when those outcomes also depend on the number of Covid-19 cases. We propose alternative approaches that are able to circumvent these issues. We apply our proposed approach to study the effect of state level shelter-in-place orders early in the pandemic.</p></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"236 1","pages":"Article 105454"},"PeriodicalIF":6.3,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10276647/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"9714704","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 9

The spread of COVID-19 in London: Network effects and optimal lockdowns COVID-19在伦敦的传播:网络效应和最佳封锁

IF 6.3 3区经济学

Journal of Econometrics Pub Date : 2023-08-01 DOI: 10.1016/j.jeconom.2023.02.012

Christian Julliard , Ran Shi , Kathy Yuan

{"title":"The spread of COVID-19 in London: Network effects and optimal lockdowns","authors":"Christian Julliard , Ran Shi , Kathy Yuan","doi":"10.1016/j.jeconom.2023.02.012","DOIUrl":"10.1016/j.jeconom.2023.02.012","url":null,"abstract":"<div><p>We generalise a stochastic version of the workhorse SIR (Susceptible-Infectious-Removed) epidemiological model to account for spatial dynamics generated by network interactions. Using the London metropolitan area as a salient case study, we show that commuter network externalities account for about 42% of the propagation of COVID-19. We find that the UK lockdown measure reduced total propagation by 44%, with more than one third of the effect coming from the reduction in network externalities. Counterfactual analyses suggest that: <span><math><mrow><mo>(</mo><mi>i</mi><mo>)</mo></mrow></math></span> the lockdown was somehow late, but further delay would have had more extreme consequences; <span><math><mrow><mo>(</mo><mi>i</mi><mi>i</mi><mo>)</mo></mrow></math></span> a targeted lockdown of a small number of highly connected geographic regions would have been equally effective, arguably with significantly lower economic costs; <span><math><mrow><mo>(</mo><mi>i</mi><mi>i</mi><mi>i</mi><mo>)</mo></mrow></math></span> targeted lockdowns based on threshold number of cases are not effective, since they fail to account for network externalities.</p></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"235 2","pages":"Pages 2125-2154"},"PeriodicalIF":6.3,"publicationDate":"2023-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10184951/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"9709527","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 3

Dividend suspensions and cash flows during the Covid-19 pandemic: A dynamic econometric model 2019冠状病毒病大流行期间的股息暂停和现金流:一个动态计量模型

IF 6.3 3区经济学

Journal of Econometrics Pub Date : 2023-08-01 DOI: 10.1016/j.jeconom.2022.11.008

Davide Pettenuzzo , Riccardo Sabbatucci , Allan Timmermann

引用次数: 5

Distribution-invariant differential privacy 分布不变微分隐私

IF 6.3 3区经济学

Journal of Econometrics Pub Date : 2023-08-01 DOI: 10.1016/j.jeconom.2022.05.004

Xuan Bi , Xiaotong Shen

引用次数: 7

Statistical inference for linear mediation models with high-dimensional mediators and application to studying stock reaction to COVID-19 pandemic 高维介质线性中介模型的统计推断及其在股票对COVID-19大流行反应研究中的应用

IF 6.3 3区经济学

Journal of Econometrics Pub Date : 2023-07-01 DOI: 10.1016/j.jeconom.2022.03.001

Xu Guo , Runze Li , Jingyuan Liu , Mudong Zeng

{"title":"Statistical inference for linear mediation models with high-dimensional mediators and application to studying stock reaction to COVID-19 pandemic","authors":"Xu Guo , Runze Li , Jingyuan Liu , Mudong Zeng","doi":"10.1016/j.jeconom.2022.03.001","DOIUrl":"10.1016/j.jeconom.2022.03.001","url":null,"abstract":"<div><p>Mediation analysis draws increasing attention in many research areas such as economics, finance and social sciences. In this paper, we propose new statistical inference procedures for high dimensional mediation models, in which both the outcome model and the mediator model are linear with high dimensional mediators. Traditional procedures for mediation analysis cannot be used to make statistical inference for high dimensional linear mediation models due to high-dimensionality of the mediators. We propose an estimation procedure for the indirect effects of the models via a partially penalized least squares method, and further establish its theoretical properties. We further develop a partially penalized Wald test on the indirect effects, and prove that the proposed test has a <span><math><msup><mrow><mi>χ</mi></mrow><mrow><mn>2</mn></mrow></msup></math></span> limiting null distribution. We also propose an <span><math><mi>F</mi></math></span>-type test for direct effects and show that the proposed test asymptotically follows a <span><math><msup><mrow><mi>χ</mi></mrow><mrow><mn>2</mn></mrow></msup></math></span>-distribution under null hypothesis and a noncentral <span><math><msup><mrow><mi>χ</mi></mrow><mrow><mn>2</mn></mrow></msup></math></span>-distribution under local alternatives. Monte Carlo simulations are conducted to examine the finite sample performance of the proposed tests and compare their performance with existing ones. We further apply the newly proposed statistical inference procedures to study stock reaction to COVID-19 pandemic via an empirical analysis of studying the mediation effects of financial metrics that bridge company’s sector and stock return.</p></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"235 1","pages":"Pages 166-179"},"PeriodicalIF":6.3,"publicationDate":"2023-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9759674/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"9359130","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 7