Journal of Econometrics最新文献_第7页

Variable selection in high dimensional linear regressions with parameter instability 具有参数不稳定性的高维线性回归的变量选择

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2024-11-01 DOI: 10.1016/j.jeconom.2024.105900

Alexander Chudik , M. Hashem Pesaran , Mahrad Sharifvaghefi

引用次数: 0

Consistent causal inference for high-dimensional time series 高维时间序列的一致因果推理

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2024-11-01 DOI: 10.1016/j.jeconom.2024.105902

Francesco Cordoni, Alessio Sancetta

引用次数: 0

GLS under monotone heteroskedasticity 单调异方差下的 GLS

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2024-11-01 DOI: 10.1016/j.jeconom.2024.105899

Yoichi Arai , Taisuke Otsu , Mengshan Xu

引用次数: 0

Inference in predictive quantile regressions 预测性量化回归的推论

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2024-10-01 DOI: 10.1016/j.jeconom.2024.105875

Alex Maynard , Katsumi Shimotsu , Nina Kuriyama

{"title":"Inference in predictive quantile regressions","authors":"Alex Maynard , Katsumi Shimotsu , Nina Kuriyama","doi":"10.1016/j.jeconom.2024.105875","DOIUrl":"10.1016/j.jeconom.2024.105875","url":null,"abstract":"<div><div>This paper studies inference in predictive quantile regressions when the predictive regressor has a near-unit root. We derive asymptotic distributions for the quantile regression estimator and its heteroskedasticity and autocorrelation consistent (HAC) <span><math><mi>t</mi></math></span>-statistic in terms of functionals of Ornstein–Uhlenbeck processes. We then propose a switching-fully modified (FM) predictive test for quantile predictability. The proposed test employs an FM style correction with a Bonferroni bound for the local-to-unity parameter when the predictor has a near unit root. It switches to a standard predictive quantile regression test with a slightly conservative critical value when the largest root of the predictor lies in the stationary range. Simulations indicate that the test has a reliable size in small samples and good power. We employ this new methodology to test the ability of three commonly employed, highly persistent and endogenous lagged valuation regressors – the dividend price ratio, earnings price ratio, and book-to-market ratio – to predict the median, shoulders, and tails of the stock return distribution.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"245 1","pages":"Article 105875"},"PeriodicalIF":9.9,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142651238","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 the spectral density of fractional Ornstein–Uhlenbeck processes 论分数奥恩斯坦-乌伦贝克过程的谱密度

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2024-10-01 DOI: 10.1016/j.jeconom.2024.105872

Shuping Shi , Jun Yu , Chen Zhang

{"title":"On the spectral density of fractional Ornstein–Uhlenbeck processes","authors":"Shuping Shi , Jun Yu , Chen Zhang","doi":"10.1016/j.jeconom.2024.105872","DOIUrl":"10.1016/j.jeconom.2024.105872","url":null,"abstract":"<div><div>This paper introduces a novel and easy-to-implement method for accurately approximating the spectral density of discretely sampled fractional Ornstein–Uhlenbeck (fOU) processes. The method offers a substantial reduction in approximation error, particularly within the rough region of the fractional parameter <span><math><mrow><mi>H</mi><mo>∈</mo><mrow><mo>(</mo><mn>0</mn><mo>,</mo><mn>0</mn><mo>.</mo><mn>5</mn><mo>)</mo></mrow></mrow></math></span>. This approximate spectral density has the potential to enhance the performance of estimation methods and hypothesis testing that make use of spectral densities. We introduce the approximate Whittle maximum likelihood (AWML) method for discretely sampled fOU processes, utilizing the approximate spectral density, and demonstrate that the AWML estimator exhibits properties of consistency and asymptotic normality when <span><math><mrow><mi>H</mi><mo>∈</mo><mrow><mo>(</mo><mn>0</mn><mo>,</mo><mn>1</mn><mo>)</mo></mrow></mrow></math></span>, akin to the conventional Whittle maximum likelihood method. Through extensive simulation studies, we show that AWML outperforms existing methods in terms of estimation accuracy in finite samples. We then apply the AWML method to the trading volume of 40 financial assets. Our empirical findings reveal that the estimated Hurst parameters for these assets fall within the range of 0.10 to 0.21, indicating a rough dynamic.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"245 1","pages":"Article 105872"},"PeriodicalIF":9.9,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142528271","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

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 , 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 , Jizhou Liu , Azeem M. Shaikh , 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

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

引用次数: 0