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Why are replication rates so low? 为什么复制率如此之低？
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2024-10-01 DOI: 10.1016/j.jeconom.2024.105868
Patrick Vu
{"title":"Why are replication rates so low?","authors":"Patrick Vu","doi":"10.1016/j.jeconom.2024.105868","DOIUrl":"10.1016/j.jeconom.2024.105868","url":null,"abstract":"<div><div>Many explanations have been offered for why replication rates are low in the social sciences, including selective publication, <span><math><mi>p</mi></math></span>-hacking, and treatment effect heterogeneity. This article emphasizes that issues with the most commonly used approach for setting sample sizes in replication studies may also play an important role. Theoretically, I show in a simple model of the publication process that we should expect the replication rate to fall below its nominal target, even when original studies are unbiased. The main mechanism is that the most commonly used approach for setting the replication sample size does not properly account for the fact that original effect sizes are estimated. Specifically, it sets the replication sample size to achieve a nominal power target under the assumption that estimated effect sizes correspond to fixed true effects. However, since there are non-linearities in the replication power function linking original effect sizes to power, ignoring the fact that effect sizes are estimated leads to systematically lower replication rates than intended. Empirically, I find that a parsimonious model accounting only for these issues can fully explain observed replication rates in experimental economics and social science, and two-thirds of the replication gap in psychology. I conclude with practical recommendations for replicators.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"245 1","pages":"Article 105868"},"PeriodicalIF":9.9,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142528270","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 ,&nbsp;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
Inference in cluster randomized trials with matched pairs 配对分组随机试验中的推论
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2024-10-01 DOI: 10.1016/j.jeconom.2024.105873
Yuehao Bai , Jizhou Liu , Azeem M. Shaikh , Max Tabord-Meehan
{"title":"Inference in cluster randomized trials with matched pairs","authors":"Yuehao Bai ,&nbsp;Jizhou Liu ,&nbsp;Azeem M. Shaikh ,&nbsp;Max Tabord-Meehan","doi":"10.1016/j.jeconom.2024.105873","DOIUrl":"10.1016/j.jeconom.2024.105873","url":null,"abstract":"<div><div>This paper studies inference in cluster randomized trials where treatment status is determined according to a “matched pairs” design. Here, by a cluster randomized experiment, we mean one in which treatment is assigned at the level of the cluster; by a “matched pairs” design, we mean that a sample of clusters is paired according to baseline, cluster-level covariates and, within each pair, one cluster is selected at random for treatment. We study the large-sample behavior of a weighted difference-in-means estimator and derive two distinct sets of results depending on if the matching procedure does or does not match on cluster size. We then propose a single variance estimator which is consistent in either regime. Combining these results establishes the asymptotic exactness of tests based on these estimators. Next, we consider the properties of two common testing procedures based on <span><math><mi>t</mi></math></span>-tests constructed from linear regressions, and argue that both are generally conservative in our framework. We additionally study the behavior of a randomization test which permutes the treatment status for clusters within pairs, and establish its finite-sample and asymptotic validity for testing specific null hypotheses. Finally, we propose a covariate-adjusted estimator which adjusts for additional baseline covariates not used for treatment assignment, and establish conditions under which such an estimator leads to strict improvements in precision. A simulation study confirms the practical relevance of our theoretical results.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"245 1","pages":"Article 105873"},"PeriodicalIF":9.9,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142528269","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
{"title":"Testing for strong exogeneity in Proxy-VARs","authors":"Martin Bruns ,&nbsp;Sascha A. Keweloh","doi":"10.1016/j.jeconom.2024.105876","DOIUrl":"10.1016/j.jeconom.2024.105876","url":null,"abstract":"<div><div>Proxy variables have gained widespread prominence as indispensable tools for identifying structural VAR models. Analogous to instrumental variables, proxies need to be exogenous, i.e. uncorrelated with all non-target shocks. Assessing the exogeneity of proxies has traditionally relied on economic arguments rather than statistical tests. We argue that the economic rationale underlying the construction of commonly used proxy variables aligns with a stronger form of exogeneity. Specifically, proxies are typically constructed as variables not containing any information on the expected value of non-target shocks. We show conditions under which this enhanced concept of proxy exogeneity is testable without additional identifying assumptions.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"245 1","pages":"Article 105876"},"PeriodicalIF":9.9,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142651240","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
Varying-coefficient spatial dynamic panel data models with fixed effects: Theory and application 具有固定效应的可变系数空间动态面板数据模型：理论与应用
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2024-10-01 DOI: 10.1016/j.jeconom.2024.105883
Han Hong , Gaosheng Ju , Qi Li , Karen X. Yan
{"title":"Varying-coefficient spatial dynamic panel data models with fixed effects: Theory and application","authors":"Han Hong ,&nbsp;Gaosheng Ju ,&nbsp;Qi Li ,&nbsp;Karen X. Yan","doi":"10.1016/j.jeconom.2024.105883","DOIUrl":"10.1016/j.jeconom.2024.105883","url":null,"abstract":"<div><div>This paper considers a varying-coefficient spatial dynamic panel data model with fixed effects. We show that a two-point approximation method poses a potential weak identification problem. We propose a robust modified estimator to address this issue. Our two-step estimation procedure incorporates both linear and quadratic moment conditions. We also extend our analysis to a partially linear varying-coefficient model and develop a consistent test for this specification. We establish the asymptotic properties of the proposed estimators. Simulations indicate that our estimators and the test statistic perform well in finite samples. We apply the partially linear varying-coefficient model to study how the sales of liquor producers respond to those of neighboring competitors in China. We find spatial dependence among liquor producers and show that the spatial effects vary with competition intensity.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"245 1","pages":"Article 105883"},"PeriodicalIF":9.9,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142593173","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
Local projections vs. VARs: Lessons from thousands of DGPs 本地预测与 VAR：成千上万 DGP 的经验教训
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2024-09-01 DOI: 10.1016/j.jeconom.2024.105722
Dake Li , Mikkel Plagborg-Møller , Christian K. Wolf
{"title":"Local projections vs. VARs: Lessons from thousands of DGPs","authors":"Dake Li ,&nbsp;Mikkel Plagborg-Møller ,&nbsp;Christian K. Wolf","doi":"10.1016/j.jeconom.2024.105722","DOIUrl":"10.1016/j.jeconom.2024.105722","url":null,"abstract":"<div><div>We conduct a simulation study of Local Projection (LP) and Vector Autoregression (VAR) estimators of structural impulse responses across thousands of data generating processes, designed to mimic the properties of the universe of U.S. macroeconomic data. Our analysis considers various identification schemes and several variants of LP and VAR estimators, employing bias correction, shrinkage, or model averaging. A clear bias–variance trade-off emerges: LP estimators have lower bias than VAR estimators, but they also have substantially higher variance at intermediate and long horizons. Bias-corrected LP is the preferred method if and only if the researcher overwhelmingly prioritizes bias. For researchers who also care about precision, VAR methods are the most attractive—Bayesian VARs at short and long horizons, and least-squares VARs at intermediate and long horizons.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"244 2","pages":"Article 105722"},"PeriodicalIF":9.9,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142723207","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
State-dependent local projections 取决于州的地方预测
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2024-09-01 DOI: 10.1016/j.jeconom.2024.105702
Sílvia Gonçalves , Ana María Herrera , Lutz Kilian , Elena Pesavento
{"title":"State-dependent local projections","authors":"Sílvia Gonçalves ,&nbsp;Ana María Herrera ,&nbsp;Lutz Kilian ,&nbsp;Elena Pesavento","doi":"10.1016/j.jeconom.2024.105702","DOIUrl":"10.1016/j.jeconom.2024.105702","url":null,"abstract":"<div><div>Do state-dependent local projections asymptotically recover the population responses of macroeconomic aggregates to structural shocks? The answer to this question depends on how the state of the economy is determined and on the magnitude of the shocks. When the state is exogenous, the local projection estimator recovers the population response regardless of the shock size. When the state depends on macroeconomic shocks, as is common in empirical work, local projections only recover the conditional response to an infinitesimal shock, but not the responses to larger shocks of interest in many applications. Simulations suggest that impulse responses may be off by as much as 82 percent and fiscal multipliers by as much as 40 percent.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"244 2","pages":"Article 105702"},"PeriodicalIF":9.9,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140008362","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
Local projections in unstable environments 不稳定环境中的局部投影
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2024-09-01 DOI: 10.1016/j.jeconom.2024.105726
Atsushi Inoue , Barbara Rossi , Yiru Wang
{"title":"Local projections in unstable environments","authors":"Atsushi Inoue ,&nbsp;Barbara Rossi ,&nbsp;Yiru Wang","doi":"10.1016/j.jeconom.2024.105726","DOIUrl":"10.1016/j.jeconom.2024.105726","url":null,"abstract":"<div><div>This paper develops a local projection estimator for estimating impulse responses in the presence of time variation. Importantly, we allow local instabilities in both slope coefficients and variances. Monte Carlo simulations illustrate that the method performs well in practice. Using our proposed estimator, we shed new light on the effects of fiscal policy shocks and the size of government spending multipliers. Our analysis uncovers the existence of instabilities that were unaccounted for in previous studies, and links time variation in the multipliers to the size of government debt.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"244 2","pages":"Article 105726"},"PeriodicalIF":9.9,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140275177","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
Functional quantile autoregression 功能量子自回归
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2024-09-01 DOI: 10.1016/j.jeconom.2024.105765
Chaohua Dong , Rong Chen , Zhijie Xiao , Weiyi Liu
{"title":"Functional quantile autoregression","authors":"Chaohua Dong ,&nbsp;Rong Chen ,&nbsp;Zhijie Xiao ,&nbsp;Weiyi Liu","doi":"10.1016/j.jeconom.2024.105765","DOIUrl":"10.1016/j.jeconom.2024.105765","url":null,"abstract":"<div><div><span>This paper proposes a new class of time series models, the functional </span>quantile<span> autoregression (FQAR) models, in which the conditional distribution of the observation at the current time point is affected by its past distributional information, and is expressed as a functional of the past conditional quantile functions. Different from the conventional functional time series models which are based on functionally observed data, the proposed FQAR method studies functional dynamics in traditional time series data. We propose a sieve estimator for the model. Asymptotic properties of the estimators are derived. Numerical investigations are conducted to highlight the proposed method.</span></div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"244 2","pages":"Article 105765"},"PeriodicalIF":9.9,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141037216","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
Reprint of: Out-of-sample tests for conditional quantile coverage: An application to Growth-at-Risk 重印本：条件量子覆盖的样本外测试：风险增长的应用
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2024-09-01 DOI: 10.1016/j.jeconom.2024.105746
Valentina Corradi , Jack Fosten , Daniel Gutknecht
{"title":"Reprint of: Out-of-sample tests for conditional quantile coverage: An application to Growth-at-Risk","authors":"Valentina Corradi ,&nbsp;Jack Fosten ,&nbsp;Daniel Gutknecht","doi":"10.1016/j.jeconom.2024.105746","DOIUrl":"10.1016/j.jeconom.2024.105746","url":null,"abstract":"<div><div><span>This paper proposes tests for out-of-sample comparisons of interval forecasts based on parametric conditional quantile models. The </span>tests rank the distance between actual and nominal conditional coverage with respect to the set of conditioning variables from all models, for a given loss function. We propose a pairwise test to compare two models for a single predictive interval. The set-up is then extended to a comparison across multiple models and/or intervals. The limiting distribution varies depending on whether models are strictly non-nested or overlapping. In the latter case, degeneracy may occur. We establish the asymptotic validity of wild bootstrap based critical values across all cases. An empirical application to Growth-at-Risk (GaR) uncovers situations in which a richer set of financial indicators are found to outperform a commonly-used benchmark model when predicting downside risk to economic activity.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"244 2","pages":"Article 105746"},"PeriodicalIF":9.9,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142723205","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
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