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Three-dimensional heterogeneous panel data models with multi-level interactive fixed effects 具有多层次交互固定效应的三维异构面板数据模型
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
{"title":"Three-dimensional heterogeneous panel data models with multi-level interactive fixed effects","authors":"Sainan Jin ,&nbsp;Xun Lu ,&nbsp;Liangjun Su","doi":"10.1016/j.jeconom.2025.105957","DOIUrl":"10.1016/j.jeconom.2025.105957","url":null,"abstract":"<div><div>We consider a three-dimensional (3D) panel data model with heterogeneous slope coefficients and multi-level interactive fixed effects consisting of latent global factors and two types of local factors. Our model nests many commonly used 3D panel data models. We propose an iterative estimation procedure that relies on initial consistent estimators obtained through a novel defactored approach. We study the asymptotic properties of our estimators and show that our iterative estimators of the slope coefficients are “oracle efficient” in the sense that they are asymptotically equivalent to those when the factors were known. Some specification testing issues are also considered. Monte Carlo simulations demonstrate that our estimators and tests perform well in finite samples. We apply our new method to the international trade dataset.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"249 ","pages":"Article 105957"},"PeriodicalIF":9.9,"publicationDate":"2025-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143100093","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
Penalized estimation of finite mixture models 有限混合模型的惩罚估计
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
{"title":"Penalized estimation of finite mixture models","authors":"Sofya Budanova","doi":"10.1016/j.jeconom.2025.105958","DOIUrl":"10.1016/j.jeconom.2025.105958","url":null,"abstract":"<div><div>Economists often model unobserved heterogeneity using finite mixtures. In practice, the number of mixture components is rarely known. Model parameters lack point-identification if the estimation includes too many components, thus invalidating the classic properties of maximum likelihood estimation. I propose a penalized likelihood method to estimate finite mixtures with an unknown number of components. The resulting Order-Selection-Consistent Estimator (OSCE) consistently estimates the true number of components and achieves oracle efficiency. This paper extends penalized estimation to models without point-identification and to mixtures with growing number of components. I apply the OSCE to estimate players’ rationality levels in a coordination game.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"249 ","pages":"Article 105958"},"PeriodicalIF":9.9,"publicationDate":"2025-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143171384","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
Identification and estimation of a search model with heterogeneous consumers and firms 具有异质消费者和企业的搜索模型的识别和估计
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 ,&nbsp;May Rostom ,&nbsp;Fabio Sanches ,&nbsp;Daniel Silva Jr ,&nbsp;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 稳健f统计量作为弱仪器的检验
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
{"title":"The robust F-statistic as a test for weak instruments","authors":"Frank Windmeijer","doi":"10.1016/j.jeconom.2025.105951","DOIUrl":"10.1016/j.jeconom.2025.105951","url":null,"abstract":"<div><div>For the linear model with a single endogenous variable, (Montiel Olea and Pflueger 2013) proposed the effective F-statistic as a test for weak instruments in terms of the Nagar bias of the two-stage least squares (2SLS) or limited information maximum likelihood (LIML) estimator relative to a benchmark worst-case bias. We show that their methodology for the 2SLS estimator applies to a class of linear generalized method of moments (GMM) estimators with an associated class of generalized effective F-statistics. The standard robust F-statistic is a member of this class. The associated GMMf estimator, with the extension “f” for first-stage, has the weight matrix based on the first-stage residuals. In the grouped-data IV designs of Andrews (2018) with moderate and high levels of endogeneity and where the robust F-statistic is large but the effective F-statistic is small, the GMMf estimator is shown to behave much better in terms of bias than the 2SLS estimator.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"247 ","pages":"Article 105951"},"PeriodicalIF":9.9,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143181086","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
Bond risk premiums at the zero lower bound 债券风险溢价处于零下限
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
{"title":"Bond risk premiums at the zero lower bound","authors":"Martin M. Andreasen ,&nbsp;Kasper Jørgensen ,&nbsp;Andrew Meldrum","doi":"10.1016/j.jeconom.2024.105939","DOIUrl":"10.1016/j.jeconom.2024.105939","url":null,"abstract":"<div><div>We document that the spread between long- and short-term government bond yields is a stronger predictor of excess bond returns when the U.S. economy is at the zero lower bound (ZLB) than away from this bound. The Gaussian shadow rate model with a linear or quadratic shadow rate is unable to explain this change in return predictability. The same holds for the quadratic term structure model and the autoregressive gamma-zero model that also enforce the ZLB. In contrast, the linear-rational square-root model explains our new empirical finding because the model allows for unspanned stochastic volatility as seen in bond yields.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"247 ","pages":"Article 105939"},"PeriodicalIF":9.9,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143181088","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
Iterative estimation of nonparametric regressions with continuous endogenous variables and discrete instruments 具有连续内生变量和离散仪器的非参数回归的迭代估计
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2025-01-01 DOI: 10.1016/j.jeconom.2025.105950
Samuele Centorrino , Frédérique Fève , Jean-Pierre Florens
{"title":"Iterative estimation of nonparametric regressions with continuous endogenous variables and discrete instruments","authors":"Samuele Centorrino ,&nbsp;Frédérique Fève ,&nbsp;Jean-Pierre Florens","doi":"10.1016/j.jeconom.2025.105950","DOIUrl":"10.1016/j.jeconom.2025.105950","url":null,"abstract":"<div><div>We consider a nonparametric regression model with continuous endogenous independent variables when only discrete instruments are available that are independent of the error term. Although this framework is very relevant for applied research, its implementation is challenging, as the regression function becomes the solution to a nonlinear integral equation. We propose a simple iterative procedure to estimate such models and showcase some of its asymptotic properties. In a simulation experiment, we detail its implementation in the case when the instrumental variable is binary. We conclude with an empirical application to returns to education.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"247 ","pages":"Article 105950"},"PeriodicalIF":9.9,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143182076","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
Simulation error and numerical instability in estimating random coefficient logit demand models 随机系数logit需求模型估计中的仿真误差和数值不稳定性
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2025-01-01 DOI: 10.1016/j.jeconom.2025.105953
Daniel Brunner , Florian Heiss , André Romahn , Constantin Weiser
{"title":"Simulation error and numerical instability in estimating random coefficient logit demand models","authors":"Daniel Brunner ,&nbsp;Florian Heiss ,&nbsp;André Romahn ,&nbsp;Constantin Weiser","doi":"10.1016/j.jeconom.2025.105953","DOIUrl":"10.1016/j.jeconom.2025.105953","url":null,"abstract":"<div><div>The nonlinear GMM-IV estimator of Berry, Levinsohn and Pakes (1995) can suffer from numerical instability resulting in a wide range of parameter estimates and economic implications. This has been reported to depend on technical details such as the choice of the optimization algorithm, starting values, and convergence criteria. We show that numerical approximation errors in the estimator’s moment function are the main driver of this instability. With accurate approximation, the estimation approach is well-behaved. We provide a simple method to determine the required number of simulation draws.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"247 ","pages":"Article 105953"},"PeriodicalIF":9.9,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143181085","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
On testing for spatial or social network dependence in panel data allowing for network variability 在允许网络变异性的面板数据中测试空间或社会网络依赖性
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2025-01-01 DOI: 10.1016/j.jeconom.2024.105925
Xiaodong Liu , Ingmar R. Prucha
{"title":"On testing for spatial or social network dependence in panel data allowing for network variability","authors":"Xiaodong Liu ,&nbsp;Ingmar R. Prucha","doi":"10.1016/j.jeconom.2024.105925","DOIUrl":"10.1016/j.jeconom.2024.105925","url":null,"abstract":"<div><div>The paper introduces robust generalized Moran <span><math><mi>I</mi></math></span> tests for network-generated cross-sectional dependence in a panel data setting where unit-specific effects can be random or fixed. Network dependence may originate from endogenous variables, exogenous variables, and/or disturbances, and the network dependence is allowed to vary over time. The formulation of the test statistics also aims at accommodating situations where the researcher is unsure about the exact nature of the network. Unit-specific effects are eliminated using the Helmert transformation, which is well known to yield time-orthogonality for linear forms of transformed disturbances. Given the specification of our test statistics, these orthogonality properties also extend to the quadratic forms that underlie our test statistics. This greatly simplifies the expressions for the asymptotic variances of our test statistics and their estimation. Monte Carlo simulations suggest that the generalized Moran <span><math><mi>I</mi></math></span> tests introduced in this paper have the proper size and can provide substantial improvement in robustness when the researcher faces uncertainty about the specification of the network topology.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"247 ","pages":"Article 105925"},"PeriodicalIF":9.9,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143181083","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
Modelling large dimensional datasets with Markov switching factor models 用马尔可夫转换因子模型建模大维度数据集
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2025-01-01 DOI: 10.1016/j.jeconom.2024.105919
Matteo Barigozzi , Daniele Massacci
{"title":"Modelling large dimensional datasets with Markov switching factor models","authors":"Matteo Barigozzi ,&nbsp;Daniele Massacci","doi":"10.1016/j.jeconom.2024.105919","DOIUrl":"10.1016/j.jeconom.2024.105919","url":null,"abstract":"<div><div>We study a novel large dimensional approximate factor model with regime changes in the loadings driven by a latent first order Markov process. By exploiting the equivalent linear representation of the model, we first recover the latent factors by means of Principal Component Analysis. We then cast the model in state–space form, and we estimate loadings and transition probabilities through an EM algorithm based on a modified version of the Baum–Lindgren–Hamilton–Kim filter and smoother that makes use of the factors previously estimated. Our approach is appealing as it provides closed form expressions for all estimators. More importantly, it does not require knowledge of the true number of factors. We derive the theoretical properties of the proposed estimation procedure, and we show their good finite sample performance through a comprehensive set of Monte Carlo experiments. The empirical usefulness of our approach is illustrated through three applications to large U.S. datasets of stock returns, macroeconomic variables, and inflation indexes.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"247 ","pages":"Article 105919"},"PeriodicalIF":9.9,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143181084","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
Bootstrapping out-of-sample predictability tests with real-time data 用实时数据引导样本外可预测性测试
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
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