Journal of Econometrics最新文献

Time-varying vector error-correction models: Estimation and inference 时变矢量误差校正模型：估计与推断

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-06-05 DOI: 10.1016/j.jeconom.2025.106035

Jiti Gao , Bin Peng , Yayi Yan

引用次数: 0

Distribution regression with censored selection 带有删节选择的分布回归

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-06-03 DOI: 10.1016/j.jeconom.2025.106030

Songnian Chen , Nianqing Liu , Hanghui Zhang

{"title":"Distribution regression with censored selection","authors":"Songnian Chen , Nianqing Liu , Hanghui Zhang","doi":"10.1016/j.jeconom.2025.106030","DOIUrl":"10.1016/j.jeconom.2025.106030","url":null,"abstract":"<div><div>Chernozhukov, Fernández-Val, and Luo (2023, CFL (2023) hereafter) considered a distribution regression model subject to sample selection with a binary selection mechanism. In this paper, we show how to identify and estimate a semi-parametric distribution regression model subject to a censored selection rule. With censored selection, we do not need to impose the usual outcome exclusion restriction or exclusion of the level of the latent selection variable from the selection sorting function for model identification, unlike CFL (2023). We propose new semiparametric estimators and corresponding inference procedures for model parameters and related functional parameters. We apply our method to investigate wage inequality in the UK for the period 1978–2000 using the Family Expenditure Survey (FES) data. Our findings reveal that (i) the selection sorting exclusion and outcome exclusion restrictions imposed by CFL (2023) are rejected; (ii) there is negative selection into work at most quantile levels for females, but not for males; (iii) in contrast to CFL (2023), our selection sorting effect pattern does not offer clear evidence on assortative matching or glass ceiling in the UK labor market; (iv) the latent gender wage gaps after correcting for selection bias are about 25%–50% of CFL (2023)’s estimates, and are also significantly smaller than the observed wage gaps; (v) similar to CFL (2023), there exists some strong evidence on gender discrimination in the UK labor market.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"251 ","pages":"Article 106030"},"PeriodicalIF":9.9,"publicationDate":"2025-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144195267","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

Multilevel matrix factor model 多层矩阵因子模型

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-05-31 DOI: 10.1016/j.jeconom.2025.106033

Yuteng Zhang , Yongchang Hui , Junrong Song , Shurong Zheng

引用次数: 0

Realized candlestick wicks 实现烛台灯芯

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-05-27 DOI: 10.1016/j.jeconom.2025.106014

Yifan Li , Ingmar Nolte , Sandra Nolte , Shifan Yu

引用次数: 0

Inference for large dimensional factor models under general missing data patterns 一般缺失数据模式下大维度因子模型的推理

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-05-26 DOI: 10.1016/j.jeconom.2025.106022

Liangjun Su , Fa Wang

引用次数: 0

On changepoint detection in functional data using empirical energy distance 基于经验能量距离的函数数据变化点检测

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-05-23 DOI: 10.1016/j.jeconom.2025.106023

B. Cooper Boniece , Lajos Horváth , Lorenzo Trapani

{"title":"On changepoint detection in functional data using empirical energy distance","authors":"B. Cooper Boniece , Lajos Horváth , Lorenzo Trapani","doi":"10.1016/j.jeconom.2025.106023","DOIUrl":"10.1016/j.jeconom.2025.106023","url":null,"abstract":"<div><div>We propose a novel family of test statistics to detect the presence of changepoints in a sequence of dependent, possibly multivariate, functional-valued observations. Our approach allows to test for a very general class of changepoints, including the “classical” case of changes in the mean, and even changes in the whole distribution. Our statistics are based on a generalisation of the empirical energy distance; we propose weighted functionals of the energy distance process, which are designed in order to enhance the ability to detect breaks occurring at sample endpoints. The limiting distribution of the maximally selected version of our statistics requires only the computation of the eigenvalues of the covariance function, thus being readily implementable in the most commonly employed packages, e.g. <span>R</span>. We show that, under the alternative, our statistics are able to detect changepoints occurring even very close to the beginning/end of the sample. In the presence of multiple changepoints, we propose a binary segmentation algorithm to estimate the number of breaks and the locations thereof. Simulations show that our procedures work very well in finite samples. We complement our theory with applications to financial and temperature data.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"250 ","pages":"Article 106023"},"PeriodicalIF":9.9,"publicationDate":"2025-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144124770","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

Finite- and large-sample inference for ranks using multinomial data with an application to ranking political parties 利用多项数据进行有限样本和大样本的排名推断，并应用于政党排名

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-05-13 DOI: 10.1016/j.jeconom.2025.106010

Sergei Bazylik , Magne Mogstad , Joseph P. Romano , Azeem M. Shaikh , Daniel Wilhelm

{"title":"Finite- and large-sample inference for ranks using multinomial data with an application to ranking political parties","authors":"Sergei Bazylik , Magne Mogstad , Joseph P. Romano , Azeem M. Shaikh , Daniel Wilhelm","doi":"10.1016/j.jeconom.2025.106010","DOIUrl":"10.1016/j.jeconom.2025.106010","url":null,"abstract":"<div><div>It is common to rank different categories by means of preferences that are revealed through data on choices. A prominent example is the ranking of political candidates or parties using the estimated share of support each one receives in surveys or polls about political attitudes. Since these rankings are computed using estimates of the share of support rather than the true share of support, there may be considerable uncertainty concerning the true ranking of the political candidates or parties. In this paper, we consider the problem of accounting for such uncertainty by constructing confidence sets for the rank of each category. We consider both the problem of constructing marginal confidence sets for the rank of a particular category as well as simultaneous confidence sets for the ranks of all categories. A distinguishing feature of our analysis is that we exploit the multinomial structure of the data to develop confidence sets that are valid in finite samples. We additionally develop confidence sets using the bootstrap that are valid only approximately in large samples. We use our methodology to rank political parties in Australia using data from the 2019 Australian Election Survey. We find that our finite-sample confidence sets are informative across the entire ranking of political parties, even in Australian territories with few survey respondents and/or with parties that are chosen by only a small share of the survey respondents. In contrast, the bootstrap-based confidence sets may sometimes be considerably less informative. These findings motivate us to compare these methods in an empirically-driven simulation study, in which we conclude that our finite-sample confidence sets often perform better than their large-sample, bootstrap-based counterparts, especially in settings that resemble our empirical application.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"250 ","pages":"Article 106010"},"PeriodicalIF":9.9,"publicationDate":"2025-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143936819","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

Dynamic treatment effect estimation with interactive fixed effects and short panels 基于交互式固定效应和短面板的动态治疗效果估计

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-05-10 DOI: 10.1016/j.jeconom.2025.106013

Nicholas L. Brown , Kyle Butts

{"title":"Dynamic treatment effect estimation with interactive fixed effects and short panels","authors":"Nicholas L. Brown , Kyle Butts","doi":"10.1016/j.jeconom.2025.106013","DOIUrl":"10.1016/j.jeconom.2025.106013","url":null,"abstract":"<div><div>We study the estimation and inference of dynamic average treatment effect parameters when parallel trends holds conditional on interactive fixed effects and where units enter into treatment at different time periods. Our proposed generalized method of moments estimator consists of two parts: first, we estimate the unobserved time effects by applying the fixed-<span><math><mi>T</mi></math></span> consistent quasi-long-differencing estimator of Ahn et al., (2013) to the never-treated group. Second, we estimate the interactive fixed effects for treated groups post-treatment to recover their unobserved counterfactual outcomes then subtract this quantity from the observed outcomes and average over group membership to estimate the Average Treatment Effect on the Treated. We also demonstrate the robustness of two-way fixed effects to certain parallel trends violations and describe how to test for consistency. We investigate the effect of Walmart openings on local economic conditions and demonstrate that our methods ameliorate pre-trend violations commonly found in the literature. We also provide statistical software to implement our estimator in <span>Julia</span> and <span>R</span>.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"250 ","pages":"Article 106013"},"PeriodicalIF":9.9,"publicationDate":"2025-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143927528","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

A simple and computationally trivial estimator for grouped fixed effects models 对于分组固定效应模型的一个简单且计算微不足道的估计器

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-05-09 DOI: 10.1016/j.jeconom.2025.106011

Martin Mugnier

引用次数: 0

Faster estimation of dynamic discrete choice models using index invertibility 基于指标可逆性的动态离散选择模型的快速估计

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-05-09 DOI: 10.1016/j.jeconom.2025.106004

Jackson Bunting , Takuya Ura

{"title":"Faster estimation of dynamic discrete choice models using index invertibility","authors":"Jackson Bunting , Takuya Ura","doi":"10.1016/j.jeconom.2025.106004","DOIUrl":"10.1016/j.jeconom.2025.106004","url":null,"abstract":"<div><div>Many estimators of dynamic discrete choice models with persistent unobserved heterogeneity have desirable statistical properties but are computationally intensive. In this paper we propose a method to quicken estimation for a broad class of dynamic discrete choice problems by exploiting semiparametric index restrictions. Specifically, we propose an estimator for models whose reduced form parameters are invertible functions of one or more linear indices (Ahn et al., 2018) , a property we term index invertibility. We establish that index invertibility implies a set of equality constraints on the model parameters. Our proposed estimator uses the equality constraints to decrease the dimension of the optimization problem, thereby generating computational gains. Our main result shows that the proposed estimator is asymptotically equivalent to the unconstrained, computationally heavy estimator. In addition, we provide a series of results on the number of independent index restrictions on the model parameters, providing theoretical guidance on the extent of computational gains. Finally, we demonstrate the advantages of our approach via Monte Carlo simulations.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"250 ","pages":"Article 106004"},"PeriodicalIF":9.9,"publicationDate":"2025-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143923089","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