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Bias correction for quantile regression estimators 分位数回归估计的偏差校正
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2025-07-05 DOI: 10.1016/j.jeconom.2025.106053
Grigory Franguridi , Bulat Gafarov , Kaspar Wüthrich
{"title":"Bias correction for quantile regression estimators","authors":"Grigory Franguridi ,&nbsp;Bulat Gafarov ,&nbsp;Kaspar Wüthrich","doi":"10.1016/j.jeconom.2025.106053","DOIUrl":"10.1016/j.jeconom.2025.106053","url":null,"abstract":"<div><div>We study the bias of classical quantile regression and instrumental variable quantile regression estimators. While being asymptotically first-order unbiased, these estimators can have non-negligible second-order biases. We derive a higher-order stochastic expansion of these estimators using empirical process theory. Based on this expansion, we derive an explicit formula for the second-order bias and propose a feasible bias correction procedure that uses finite-difference estimators of the bias components. The proposed bias correction method performs well in simulations. We provide an empirical illustration using Engel’s classical data on household food expenditure.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"251 ","pages":"Article 106053"},"PeriodicalIF":9.9,"publicationDate":"2025-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144562891","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
Asymptotic theory of the best-choice rerandomization using the Mahalanobis distance 利用马氏距离的最佳选择再随机化的渐近理论
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2025-06-25 DOI: 10.1016/j.jeconom.2025.106049
Yuhao Wang , Xinran Li
{"title":"Asymptotic theory of the best-choice rerandomization using the Mahalanobis distance","authors":"Yuhao Wang ,&nbsp;Xinran Li","doi":"10.1016/j.jeconom.2025.106049","DOIUrl":"10.1016/j.jeconom.2025.106049","url":null,"abstract":"<div><div>Rerandomization, a design that utilizes pretreatment covariates and improves their balance between different treatment groups, has received attention recently in both theory and practice. From a survey by Bruhn and McKenzie (2009), there are at least two types of rerandomization that are used in practice: the first rerandomizes the treatment assignment until covariate imbalance is below a prespecified threshold; the second randomizes the treatment assignment multiple times and chooses the one with the best covariate balance. In this paper we will consider the second type of rerandomization, namely the best-choice rerandomization, whose theory and inference are still lacking in the literature. In particular, we will focus on the best-choice rerandomization that uses the Mahalanobis distance to measure covariate imbalance, which is one of the most commonly used imbalance measure for multivariate covariates and is invariant to affine transformations of covariates. We will study the large-sample repeatedly sampling properties of the best-choice rerandomization, allowing both the number of covariates and the number of tried complete randomizations to increase with the sample size. We show that the asymptotic distribution of the difference-in-means estimator is more concentrated around the true average treatment effect under rerandomization than under the complete randomization, and propose large-sample accurate confidence intervals for rerandomization that are shorter than that for the completely randomized experiment. We further demonstrate that, with moderate number of covariates and with the number of tried randomizations increasing polynomially with the sample size, the best-choice rerandomization can achieve the ideally optimal precision that one can expect even with perfectly balanced covariates. The developed theory and methods for rerandomization are also illustrated using real field experiments.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"251 ","pages":"Article 106049"},"PeriodicalIF":9.9,"publicationDate":"2025-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144479985","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 robust residual-based test for structural changes in factor models 一个稳健的残差为基础的测试结构变化的因素模型
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2025-06-12 DOI: 10.1016/j.jeconom.2025.106042
Bin Peng , Liangjun Su , Yayi Yan
{"title":"A robust residual-based test for structural changes in factor models","authors":"Bin Peng ,&nbsp;Liangjun Su ,&nbsp;Yayi Yan","doi":"10.1016/j.jeconom.2025.106042","DOIUrl":"10.1016/j.jeconom.2025.106042","url":null,"abstract":"<div><div>In this paper, we propose an easy-to-implement residual-based specification testing procedure for detecting structural changes in factor models, which is powerful against both smooth and abrupt structural changes with unknown break dates. The proposed test is robust to the over-specified number of factors, and serially and cross-sectionally correlated error processes. A new central limit theorem is given for the quadratic forms of panel data with dependence over both dimensions, thereby filling a gap in the literature. We establish the asymptotic properties of the proposed test statistic, and accordingly develop a simulation-based scheme to select critical value in order to improve finite sample performance. Through extensive simulations and a real-world application, we confirm our theoretical results and demonstrate that the proposed test exhibits desirable size and power in practice.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"251 ","pages":"Article 106042"},"PeriodicalIF":9.9,"publicationDate":"2025-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144271055","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
Multivariate stochastic volatility models based on generalized Fisher transformation 基于广义Fisher变换的多元随机波动模型
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2025-06-11 DOI: 10.1016/j.jeconom.2025.106041
Han Chen , Yijie Fei , Jun Yu
{"title":"Multivariate stochastic volatility models based on generalized Fisher transformation","authors":"Han Chen ,&nbsp;Yijie Fei ,&nbsp;Jun Yu","doi":"10.1016/j.jeconom.2025.106041","DOIUrl":"10.1016/j.jeconom.2025.106041","url":null,"abstract":"<div><div>Modeling multivariate stochastic volatility (MSV) can pose significant challenges, particularly when both variances and covariances are time-varying. In this study, we tackle these complexities by introducing novel MSV models based on the generalized Fisher transformation (GFT) proposed by Archakov and Hansen (2021). Our model exhibits remarkable flexibility, ensuring the positive-definiteness of the variance–covariance matrix, and disentangling the driving forces of volatilities and correlations. To conduct Bayesian analysis of the models, we employ a Particle Gibbs Ancestor Sampling (PGAS) method, facilitating efficient Bayesian model comparisons. Furthermore, we extend our MSV model to cover leverage effects and incorporate realized measures. Our simulation studies demonstrate that the proposed method performs well for our GFT-based MSV model. Furthermore, empirical studies based on equity returns show that the MSV models outperform alternative specifications in both in-sample and out-of-sample performances.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"251 ","pages":"Article 106041"},"PeriodicalIF":9.9,"publicationDate":"2025-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144262373","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
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
{"title":"Time-varying vector error-correction models: Estimation and inference","authors":"Jiti Gao ,&nbsp;Bin Peng ,&nbsp;Yayi Yan","doi":"10.1016/j.jeconom.2025.106035","DOIUrl":"10.1016/j.jeconom.2025.106035","url":null,"abstract":"<div><div>This paper considers a time-varying vector error-correction model that allows for different time series behaviors (e.g., unit-root and locally stationary processes) to interact with each other and co-exist. From a practical perspective, this framework can be used to estimate shifts in the predictability of non-stationary variables, and test whether economic theories hold periodically, etc. We first develop a time-varying Granger Representation Theorem, which facilitates the establishment of an asymptotic theory for the model, and then propose estimation and inferential methods for both short-run and long-run coefficients. We also propose an information criterion to estimate the lag length, a singular-value ratio test to determine the cointegration rank, and a hypothesis test to examine the parameter stability. Finally, we extend the framework to allow for unknown structural breaks in either cointegration relationship or time-varying coefficient functions. To validate the theoretical findings, we conduct extensive simulations, and demonstrate the empirical relevance by testing the present value model for stock returns.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"251 ","pages":"Article 106035"},"PeriodicalIF":9.9,"publicationDate":"2025-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144212972","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
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 ,&nbsp;Nianqing Liu ,&nbsp;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
{"title":"Multilevel matrix factor model","authors":"Yuteng Zhang ,&nbsp;Yongchang Hui ,&nbsp;Junrong Song ,&nbsp;Shurong Zheng","doi":"10.1016/j.jeconom.2025.106033","DOIUrl":"10.1016/j.jeconom.2025.106033","url":null,"abstract":"<div><div>Large scale matrix data has been widely discovered and continuously studied in various fields recently. We propose a multilevel matrix factor model considering the existence of multi level factor structure in matrix time series. This model incorporates both global factors influencing all matrix time series and local factors confined to impact specific matrix time series. Asymptotic properties are established to ensure the consistency of our procedure for estimating factor loading matrices. To demonstrate the finite-sample performance of our estimation, we present comprehensive simulation results. Finally, we apply our model to an empirical analysis of eight indexes, including return, trading volume, and trading value, across 200 stocks from ten distinct industries.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"251 ","pages":"Article 106033"},"PeriodicalIF":9.9,"publicationDate":"2025-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144184328","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
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
{"title":"Realized candlestick wicks","authors":"Yifan Li ,&nbsp;Ingmar Nolte ,&nbsp;Sandra Nolte ,&nbsp;Shifan Yu","doi":"10.1016/j.jeconom.2025.106014","DOIUrl":"10.1016/j.jeconom.2025.106014","url":null,"abstract":"<div><div>We develop a novel nonparametric estimator of integrated variance by summing up the squared wick lengths of intraday candlesticks over a fixed time interval. The proposed wick-based estimator is robust to short-lived extreme price movements, such as gradual jumps and flash crashes. We investigate the asymptotic properties of the proposed estimator, and show that its asymptotic variance is about four times smaller than the state-of-the-art differenced-return volatility (DV) estimator. We also develop a Hausman-type test for the presence of both jumps and episodic extreme price movements. Monte Carlo simulations and empirical applications further validate the practical reliability of our proposed estimator.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"250 ","pages":"Article 106014"},"PeriodicalIF":9.9,"publicationDate":"2025-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144139050","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 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
{"title":"Inference for large dimensional factor models under general missing data patterns","authors":"Liangjun Su ,&nbsp;Fa Wang","doi":"10.1016/j.jeconom.2025.106022","DOIUrl":"10.1016/j.jeconom.2025.106022","url":null,"abstract":"<div><div>This paper establishes the inferential theory for the least squares estimation of large factor models with missing data. We propose a unified framework for asymptotic analysis of factor models that covers a wide range of missing patterns, including heterogenous random missing, selection on covariates/factors/loadings, block/staggered missing, mixed frequency and ragged edge. We establish the average convergence rates of the estimated factor space and loading space, the limit distributions of the estimated factors and loadings, as well as the limit distributions of the estimated average treatment effects and the parameter estimates in the factor-augmented regressions. These results allow us to impute the unbalanced panel appropriately or make inference for the heterogenous treatment effects. For computation, we can use the nuclear norm regularized estimator as the initial value for the EM algorithm and iterate until convergence. Empirically, we apply our method to test the average treatment effects of partisan alignment on grant allocation in UK.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"250 ","pages":"Article 106022"},"PeriodicalIF":9.9,"publicationDate":"2025-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144134114","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
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 ,&nbsp;Lajos Horváth ,&nbsp;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
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