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Bootstrapping out-of-sample predictability tests with real-time data
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2025-01-01 DOI: 10.1016/j.jeconom.2024.105916
Sílvia Gonçalves , Michael W. McCracken , Yongxu Yao
{"title":"Bootstrapping out-of-sample predictability tests with real-time data","authors":"Sílvia Gonçalves ,&nbsp;Michael W. McCracken ,&nbsp;Yongxu Yao","doi":"10.1016/j.jeconom.2024.105916","DOIUrl":"10.1016/j.jeconom.2024.105916","url":null,"abstract":"<div><div>In this paper we develop a block bootstrap approach to out-of-sample inference when real-time data are used to produce forecasts. In particular, we establish its first-order asymptotic validity for West-type (1996) tests of predictive ability in the presence of regular data revisions. This allows the user to conduct asymptotically valid inference without having to estimate the asymptotic variances derived in Clark and McCracken’s (2009) extension of West (1996) when data are subject to revision. Monte Carlo experiments indicate that the bootstrap can provide satisfactory finite sample size and power even in modest sample sizes. We conclude with an application to inflation forecasting that revisits the results in Ang et al. (2007) in the presence of real-time data.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"247 ","pages":"Article 105916"},"PeriodicalIF":9.9,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143181090","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
Uniform inference for cointegrated vector autoregressive processes
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2025-01-01 DOI: 10.1016/j.jeconom.2024.105944
Christian Holberg, Susanne Ditlevsen
{"title":"Uniform inference for cointegrated vector autoregressive processes","authors":"Christian Holberg,&nbsp;Susanne Ditlevsen","doi":"10.1016/j.jeconom.2024.105944","DOIUrl":"10.1016/j.jeconom.2024.105944","url":null,"abstract":"<div><div>Uniformly valid inference for cointegrated vector autoregressive processes has so far proven difficult due to certain discontinuities arising in the asymptotic distribution of the least squares estimator. We extend asymptotic results from the univariate case to multiple dimensions and show how inference can be based on these results. Furthermore, we show that lag augmentation and a recent instrumental variable procedure can also yield uniformly valid tests and confidence regions. We verify the theoretical findings and investigate finite sample properties in simulation experiments for two specific examples.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"247 ","pages":"Article 105944"},"PeriodicalIF":9.9,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143182077","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
Inference on dynamic systemic risk measures
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2025-01-01 DOI: 10.1016/j.jeconom.2024.105936
Christian Francq, Jean-Michel Zakoïan
{"title":"Inference on dynamic systemic risk measures","authors":"Christian Francq,&nbsp;Jean-Michel Zakoïan","doi":"10.1016/j.jeconom.2024.105936","DOIUrl":"10.1016/j.jeconom.2024.105936","url":null,"abstract":"<div><div>Systemic risk measures (SRM) quantify the risk of a system induced by the possible distress of any of its components. Applications in economics and finance are numerous. We define a general dynamic framework for the risk factors, allowing us to obtain explicit expressions of the corresponding dynamic SRM. We deduce an easy-to-implement statistical approach which, based on semi-parametric assumptions, reduces to estimating univariate location-scale models and to computing (static) quantiles of the residuals. We derive a sound asymptotic theory (including confidence intervals, tests, validity of a residual bootstrap) for major SRM, namely the Conditional VaR (CoVaR) and Delta-CoVaR. Our theoretical results are illustrated via Monte-Carlo experiments and real financial and macroeconomic time series.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"247 ","pages":"Article 105936"},"PeriodicalIF":9.9,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143182078","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
Natural disasters as macroeconomic tail risks
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2025-01-01 DOI: 10.1016/j.jeconom.2024.105914
Sulkhan Chavleishvili , Emanuel Moench
{"title":"Natural disasters as macroeconomic tail risks","authors":"Sulkhan Chavleishvili ,&nbsp;Emanuel Moench","doi":"10.1016/j.jeconom.2024.105914","DOIUrl":"10.1016/j.jeconom.2024.105914","url":null,"abstract":"<div><div>We introduce quantile and moment impulse response functions for structural quantile vector autoregressive models. We use them to study how climate-related natural disasters affect the predictive distribution of output growth and inflation. Disasters strongly shift the forecast distribution particularly in the tails. They result in an initial sharp increase of the downside risk for growth, followed by a temporary rebound. Upside risk to inflation increases markedly for a few months and then subsides. As a result, natural disasters have a persistent impact on the conditional variance and skewness of macroeconomic aggregates which standard linear models estimating conditional mean dynamics fail to match. We perform a scenario analysis to evaluate the hypothetical effects of more frequent large disasters on the macroeconomy due to increased atmospheric carbon concentration. Our results indicate a substantially higher conditional volatility of growth and inflation as well as increased upside risk to inflation particularly in a scenario where only currently pledged climate policies are implemented.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"247 ","pages":"Article 105914"},"PeriodicalIF":9.9,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143181089","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
Individual welfare analysis: Random quasilinear utility, independence, and confidence bounds
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2025-01-01 DOI: 10.1016/j.jeconom.2024.105927
Junlong Feng , Sokbae Lee
{"title":"Individual welfare analysis: Random quasilinear utility, independence, and confidence bounds","authors":"Junlong Feng ,&nbsp;Sokbae Lee","doi":"10.1016/j.jeconom.2024.105927","DOIUrl":"10.1016/j.jeconom.2024.105927","url":null,"abstract":"<div><div>We introduce a novel framework for individual-level welfare analysis. It builds on a parametric model for continuous demand with a quasilinear utility function, allowing for heterogeneous coefficients and unobserved individual-good-level preference shocks. We obtain bounds on the individual-level consumer welfare loss at any confidence level due to a hypothetical price increase, solving a scalable optimization problem constrained by a novel confidence set under an independence restriction. This confidence set is computationally simple and robust to weak instruments, nonlinearity, and partial identification. The validity of the confidence set is guaranteed by our new results on the joint limiting distribution of the independence test by Chatterjee (2021). These results together with the confidence set may have applications beyond welfare analysis. Monte Carlo simulations and two empirical applications on gasoline and food demand demonstrate the effectiveness of our method.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"247 ","pages":"Article 105927"},"PeriodicalIF":9.9,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143181082","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
Shrinkage estimators for periodic autoregressions
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2025-01-01 DOI: 10.1016/j.jeconom.2024.105937
Richard Paap, Philip Hans Franses
{"title":"Shrinkage estimators for periodic autoregressions","authors":"Richard Paap,&nbsp;Philip Hans Franses","doi":"10.1016/j.jeconom.2024.105937","DOIUrl":"10.1016/j.jeconom.2024.105937","url":null,"abstract":"<div><div>A periodic autoregression [PAR] is a seasonal time series model where the autoregressive parameters vary over the seasons. A drawback of PAR models is that the number of parameters increases dramatically when the number of seasons gets large. Hence, one needs many periods with intra-seasonal data to be able to get reliable parameter estimates. Therefore, these models are rarely applied for weekly or daily observations. In this paper we propose shrinkage estimators which shrink the periodic autoregressive parameters to a common value determined by the data. We derive the asymptotic properties of these estimators in case of a quadratic penalty and we illustrate the bias–variance trade-off. Empirical illustrations show that shrinkage improves forecasting with PAR models.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"247 ","pages":"Article 105937"},"PeriodicalIF":9.9,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143181087","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
Estimating and testing for smooth structural changes in moment condition models 估计和测试矩条件模型中的平稳结构变化
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2024-11-01 DOI: 10.1016/j.jeconom.2024.105896
Haiqi Li , Jin Zhou , Yongmiao Hong
{"title":"Estimating and testing for smooth structural changes in moment condition models","authors":"Haiqi Li ,&nbsp;Jin Zhou ,&nbsp;Yongmiao Hong","doi":"10.1016/j.jeconom.2024.105896","DOIUrl":"10.1016/j.jeconom.2024.105896","url":null,"abstract":"<div><div>Numerous studies have been devoted to estimating and testing for moment condition models. Most existing studies assume that structural parameters are either fixed or change abruptly over time. This study considers estimating and testing for smooth structural changes in moment condition models where the data-generating process is locally stationary. A novel local generalized method of moments estimator and its boundary-corrected counterpart are proposed to estimate the smoothly changing parameters. Consistency and asymptotic normality are established, and an optimal weighting matrix and its consistent estimator are obtained. Moreover, we propose a consistent test to detect both smooth changes and abrupt breaks, as well as a consistent test for a parametric functional form of time-varying parameters. The tests are asymptotically pivotal and do not require prior information about the alternatives. Monte Carlo simulation studies show that the proposed estimators and tests have superior finite-sample performance. In an empirical application, we document the time-varying features of the risk aversion parameter in an asset pricing model, indicating that investors’ risk aversion is counter-cyclical.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"246 1","pages":"Article 105896"},"PeriodicalIF":9.9,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142701256","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
From LATE to ATE: A Bayesian approach 从LATE到ATE：贝叶斯方法
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2024-11-01 DOI: 10.1016/j.jeconom.2024.105895
Isaac M. Opper
{"title":"From LATE to ATE: A Bayesian approach","authors":"Isaac M. Opper","doi":"10.1016/j.jeconom.2024.105895","DOIUrl":"10.1016/j.jeconom.2024.105895","url":null,"abstract":"<div><div>We develop a Bayesian model that produces a posterior distribution of the marginal treatment effect (MTE) function. The method provides researchers with a principled way to extrapolate from the observed moments using flexible assumptions, thereby allowing researchers to generate plausible ranges of important and potentially policy-relevant quantities of interest. We then use the model to propose a natural decomposition of the posterior variance into “statistical uncertainty,” i.e., variance that stems from the imprecise estimation of the observed moments, and “extrapolation uncertainty,” i.e., variance that stems from uncertainty in how to extrapolate away from the observed moments. We conclude by showing that under our preferred priors, even in an experiment as large as the Oregon Health Insurance Experiment, the main source of uncertainty in the ATE comes from uncertainty in the true values of the observed moments.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"246 1","pages":"Article 105895"},"PeriodicalIF":9.9,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142748725","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
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 ,&nbsp;Kuangnan Fang ,&nbsp;Wei Lan ,&nbsp;Jihai Yu ,&nbsp;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
Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models 半参数时间序列模型的伪方差准极大似然估计
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2024-11-01 DOI: 10.1016/j.jeconom.2024.105894
Mirko Armillotta , Paolo Gorgi
{"title":"Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models","authors":"Mirko Armillotta ,&nbsp;Paolo Gorgi","doi":"10.1016/j.jeconom.2024.105894","DOIUrl":"10.1016/j.jeconom.2024.105894","url":null,"abstract":"<div><div>We propose a novel estimation approach for a general class of semi-parametric time series models where the conditional expectation is modeled through a parametric function. The proposed class of estimators is based on a Gaussian quasi-likelihood function and it relies on the specification of a parametric pseudo-variance that can contain parametric restrictions with respect to the conditional expectation. The specification of the pseudo-variance and the parametric restrictions follow naturally in observation-driven models with bounds in the support of the observable process, such as count processes and double-bounded time series. We derive the asymptotic properties of the estimators and a validity test for the parameter restrictions. We show that the results remain valid irrespective of the correct specification of the pseudo-variance. The key advantage of the restricted estimators is that they can achieve higher efficiency compared to alternative quasi-likelihood methods that are available in the literature. Furthermore, the testing approach can be used to build specification tests for parametric time series models. We illustrate the practical use of the methodology in a simulation study and two empirical applications featuring integer-valued autoregressive processes, where assumptions on the dispersion of the thinning operator are formally tested, and autoregressions for double-bounded data with application to a realized correlation time series.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"246 1","pages":"Article 105894"},"PeriodicalIF":9.9,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142723000","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
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