Journal of Econometrics最新文献_第4页

Tensor time series imputation through tensor factor modelling

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-02-21 DOI: 10.1016/j.jeconom.2025.105974

Zetai Cen , Clifford Lam

{"title":"Tensor time series imputation through tensor factor modelling","authors":"Zetai Cen , Clifford Lam","doi":"10.1016/j.jeconom.2025.105974","DOIUrl":"10.1016/j.jeconom.2025.105974","url":null,"abstract":"<div><div>We propose tensor time series imputation when the missing pattern in the tensor data can be general, as long as any two data positions along a tensor fibre are both observed for enough time points. The method is based on a tensor time series factor model with Tucker decomposition of the common component. One distinguished feature of the tensor time series factor model used is that there can be weak factors in the factor loading matrix for each mode. This reflects reality better when real data can have weak factors which drive only groups of observed variables, for instance, a sector factor in a financial market driving only stocks in a particular sector. Using the data with missing entries, asymptotic normality is derived for rows of estimated factor loadings, while consistent covariance matrix estimation enables us to carry out inferences. As a first in the literature, we also propose a ratio-based estimator for the rank of the core tensor under general missing patterns. Rates of convergence are spelt out for the imputations from the estimated tensor factor models. Simulation results show that our imputation procedure works well, with asymptotic normality and corresponding inferences also demonstrated. Re-imputation performances are also gauged when we demonstrate that using slightly larger rank then estimated gives superior re-imputation performances. A Fama–French portfolio example with matrix returns and an OECD data example with matrix of economic indicators are presented and analysed, showing the efficacy of our imputation approach compared to direct vector imputation.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"249 ","pages":"Article 105974"},"PeriodicalIF":9.9,"publicationDate":"2025-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143465008","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

When structural break meets threshold effect: Factor analysis under structural instabilities

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-02-20 DOI: 10.1016/j.jeconom.2025.105972

Chenchen Ma , Yundong Tu

{"title":"When structural break meets threshold effect: Factor analysis under structural instabilities","authors":"Chenchen Ma , Yundong Tu","doi":"10.1016/j.jeconom.2025.105972","DOIUrl":"10.1016/j.jeconom.2025.105972","url":null,"abstract":"<div><div>Structural instability has been one of the central research questions in economics and finance over many decades. This paper systematically investigates structural instabilities in high dimensional factor models, which portray both structural breaks and threshold effects simultaneously. The observed high dimensional time series are concatenated at an unknown number of break points, while they are described by multiple threshold factor models that are heterogeneous between any two consecutive subsamples. Both joint and sequential procedures for estimating the break points are developed based on the second moment of the pseudo factor estimates that fully ignore the structural instabilities. In each separated subsample, the group Lasso approach recently proposed by Ma and Tu (2023b) is adopted to efficiently identify the threshold factor structure. An information criterion is further proposed to determine the number of break points, which also serves the purpose to distinguish the two types of instabilities. Theoretical properties of the proposed estimators are established, and their finite sample performance is evaluated in Monte Carlo simulations. An empirical application to the U.S. financial market dataset demonstrates the consequences when structural break meets threshold effect in factor analysis.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"249 ","pages":"Article 105972"},"PeriodicalIF":9.9,"publicationDate":"2025-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143445074","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

Simple subvector inference on sharp identified set in affine models

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-02-14 DOI: 10.1016/j.jeconom.2025.105952

Bulat Gafarov

{"title":"Simple subvector inference on sharp identified set in affine models","authors":"Bulat Gafarov","doi":"10.1016/j.jeconom.2025.105952","DOIUrl":"10.1016/j.jeconom.2025.105952","url":null,"abstract":"<div><div>This paper studies a regularized support function estimator for bounds on components of the parameter vector in the case in which the identified set is a polygon. The proposed regularized estimator has three important properties: (i) it has a uniform asymptotic Gaussian limit in the presence of flat faces in the absence of redundant (or overidentifying) constraints (or vice versa); (ii) the bias from regularization does not enter the first-order limiting distribution; (iii) the estimator remains consistent for sharp (non-enlarged) identified set for the individual components even in the non-regular case. These properties are used to construct <em>uniformly valid</em> confidence sets for an element <span><math><msub><mrow><mi>θ</mi></mrow><mrow><mn>1</mn></mrow></msub></math></span> of a parameter vector <span><math><mrow><mi>θ</mi><mo>∈</mo><msup><mrow><mi>R</mi></mrow><mrow><mi>d</mi></mrow></msup></mrow></math></span> that is partially identified by affine moment equality and inequality conditions. The proposed confidence sets can be computed as a solution to a small number of linear and convex quadratic programs, leading to a substantial decrease in computation time and guarantees a global optimum. As a result, the method provides a uniformly valid inference in applications in which the dimension of the parameter space, <span><math><mi>d</mi></math></span>, and the number of inequalities, <span><math><mi>k</mi></math></span>, were previously computationally unfeasible (<span><math><mrow><mi>d</mi><mo>,</mo><mi>k</mi><mo>=</mo><mn>100</mn></mrow></math></span>). The proposed approach can be extended to construct confidence sets for intersection bounds, to construct joint polygon-shaped confidence sets for multiple components of <span><math><mi>θ</mi></math></span>, and to find the set of solutions to a linear program. Inference for coefficients in the linear IV regression model with an interval outcome is used as an illustrative example.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"249 ","pages":"Article 105952"},"PeriodicalIF":9.9,"publicationDate":"2025-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143422341","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 time-varying panel data models with time-varying interactive fixed effects

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-02-07 DOI: 10.1016/j.jeconom.2025.105960

Xia Wang , Sainan Jin , Yingxing Li , Junhui Qian , Liangjun Su

{"title":"On time-varying panel data models with time-varying interactive fixed effects","authors":"Xia Wang , Sainan Jin , Yingxing Li , Junhui Qian , Liangjun Su","doi":"10.1016/j.jeconom.2025.105960","DOIUrl":"10.1016/j.jeconom.2025.105960","url":null,"abstract":"<div><div>This paper introduces a time-varying (TV) panel data model with interactive fixed effects where both the coefficients and factor loadings are allowed to change smoothly over time. We propose a local version of the least squares and principal component method to estimate the TV coefficients, TV factor loadings, and common factors simultaneously. We provide a bias-corrected local least squares estimator for the TV coefficients and establish the limiting distributions and uniform convergence of the bias-corrected coefficient estimators, estimated factors, and factor loadings in the large <span><math><mi>N</mi></math></span> and large <span><math><mi>T</mi></math></span> framework. Based on the estimates, we propose three test statistics to gauge possible sources of TV features. We establish the limit null distributions and the asymptotic local power properties of our tests. Simulations are conducted to evaluate the finite sample performance of our estimates and tests. We apply our theoretical results to analyze the Phillips curve using the U.S. state-level unemployment rates and nominal wages, and document significant TV behavior in both the slope coefficient and factor loadings.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"249 ","pages":"Article 105960"},"PeriodicalIF":9.9,"publicationDate":"2025-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143349423","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

Three-dimensional heterogeneous panel data models with multi-level interactive fixed effects

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-02-03 DOI: 10.1016/j.jeconom.2025.105957

Sainan Jin , Xun Lu , Liangjun Su

引用次数: 0

Penalized estimation of finite mixture models

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-02-03 DOI: 10.1016/j.jeconom.2025.105958

Sofya Budanova

引用次数: 0

Identification and estimation of a search model with heterogeneous consumers and firms

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-01-30 DOI: 10.1016/j.jeconom.2025.105956

Mateusz Myśliwski , May Rostom , Fabio Sanches , Daniel Silva Jr , Sorawoot Srisuma

{"title":"Identification and estimation of a search model with heterogeneous consumers and firms","authors":"Mateusz Myśliwski , May Rostom , Fabio Sanches , Daniel Silva Jr , Sorawoot Srisuma","doi":"10.1016/j.jeconom.2025.105956","DOIUrl":"10.1016/j.jeconom.2025.105956","url":null,"abstract":"<div><div>We propose a model of nonsequential consumer search where consumers and firms differ in search and production costs respectively. We characterize the equilibrium of the game. We first show the distribution of search cost can be identified by market shares and prices. Subsequently, we identify the production cost distribution using a similar strategy to Guerre, Perrigne and Vuong (2000) as the firms’ decision problems resemble bidders’ problems in a particular procurement auction. We prove the firm’s cost density can be estimated at the same convergence rate as the optimal rate in Guerre et al. uniformly over any fixed subset on the interior of the support. The uniform convergence rate over any expanding support is slower due to a pole in the price pdf that is a feature of the equilibrium. Our simulation study confirms the theoretical features of the model. Our identification and convergence rate results also apply to two generalizations of the baseline search model that allow for: (i) vertically differentiated products; (ii) an intermediary. We apply the latter model to study loan search using UK mortgage data.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"249 ","pages":"Article 105956"},"PeriodicalIF":9.9,"publicationDate":"2025-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143100092","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

The robust F-statistic as a test for weak instruments

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-01-01 DOI: 10.1016/j.jeconom.2025.105951

Frank Windmeijer

引用次数: 0

Bond risk premiums at the zero lower bound

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-01-01 DOI: 10.1016/j.jeconom.2024.105939

Martin M. Andreasen , Kasper Jørgensen , Andrew Meldrum

引用次数: 0

Iterative estimation of nonparametric regressions with continuous endogenous variables and discrete instruments