Journal of Econometrics最新文献_第7页

Sequential quantile regression for stream data by least squares 用最小二乘法对流数据进行顺序分位数回归

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-05-01 DOI: 10.1016/j.jeconom.2024.105791

Ye Fan , Nan Lin

引用次数: 0

Quantile control via random forest 随机森林分位数控制

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-05-01 DOI: 10.1016/j.jeconom.2024.105789

Qiang Chen , Zhijie Xiao , Qingsong Yao

{"title":"Quantile control via random forest","authors":"Qiang Chen , Zhijie Xiao , Qingsong Yao","doi":"10.1016/j.jeconom.2024.105789","DOIUrl":"10.1016/j.jeconom.2024.105789","url":null,"abstract":"<div><div><span>This paper studies robust inference procedure for treatment effects in panel data with flexible relationship across units via the random forest method. The key contribution of this paper is twofold. First, we propose a direct construction of prediction intervals for the treatment effect by exploiting the information of the joint distribution of the cross-sectional units using random forest. In particular, we propose a Quantile Control Method (QCM) using the Quantile Random Forest (QRF) to accommodate flexible cross-sectional structure as well as high dimensionality. Second, we establish the asymptotic consistency of QRF under the panel/time series setup with high dimensionality, which is of theoretical interest on its own right. In addition, Monte Carlo simulations are conducted and show that prediction intervals via the QCM have excellent coverage probability for the treatment effects comparing to existing methods in the literature, and are robust to </span>heteroskedasticity<span>, autocorrelation<span>, and various types of model misspecifications. Finally, an empirical application to study the effect of the economic integration between Hong Kong<span> and mainland China on Hong Kong’s economy is conducted to highlight the potential of the proposed method.</span></span></span></div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"249 ","pages":"Article 105789"},"PeriodicalIF":9.9,"publicationDate":"2025-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144071699","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 on time series nonparametric conditional moment restrictions using nonlinear sieves 非线性筛子对时间序列非参数条件矩约束的推断

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-05-01 DOI: 10.1016/j.jeconom.2024.105920

Xiaohong Chen , Yuan Liao , Weichen Wang

{"title":"Inference on time series nonparametric conditional moment restrictions using nonlinear sieves","authors":"Xiaohong Chen , Yuan Liao , Weichen Wang","doi":"10.1016/j.jeconom.2024.105920","DOIUrl":"10.1016/j.jeconom.2024.105920","url":null,"abstract":"<div><div>This paper studies estimation of and inference on dynamic nonparametric conditional moment restrictions of high dimensional variables for weakly dependent data, where the unknown functions of endogenous variables can be approximated via nonlinear sieves such as neural networks and Gaussian radial bases. The true unknown functions and their sieve approximations are allowed to be in general weighted function spaces with unbounded supports, which is important for time series data. Under some regularity conditions, the optimally weighted general nonlinear sieve quasi-likelihood ratio (GN-QLR) statistic for the expectation functional of unknown function is asymptotically Chi-square distributed regardless whether the functional could be estimated at a root-<span><math><mi>n</mi></math></span> rate or not, and the estimated expectation functional is asymptotically efficient if it is root-<span><math><mi>n</mi></math></span> estimable. Our general theories are applied to two important examples: (1) estimating the value function and the off-policy evaluation in reinforcement learning (RL); and (2) estimating the averaged partial mean and averaged partial derivative of dynamic nonparametric quantile instrumental variable (NPQIV) models. We demonstrate the finite sample performance of our optimal inference procedure on averaged partial derivative of a dynamic NPQIV model in simulation studies.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"249 ","pages":"Article 105920"},"PeriodicalIF":9.9,"publicationDate":"2025-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144071700","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

Interval quantile correlations with applications to testing high-dimensional quantile effects 区间分位数与测试高维分位数效应的应用程序的相关性

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-05-01 DOI: 10.1016/j.jeconom.2024.105922

Yaowu Zhang , Yeqing Zhou , Liping Zhu

引用次数: 0

Estimating time-varying networks for high-dimensional time series 高维时间序列时变网络的估计

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-05-01 DOI: 10.1016/j.jeconom.2024.105941

Jia Chen , Degui Li , Yu-Ning Li , Oliver Linton

{"title":"Estimating time-varying networks for high-dimensional time series","authors":"Jia Chen , Degui Li , Yu-Ning Li , Oliver Linton","doi":"10.1016/j.jeconom.2024.105941","DOIUrl":"10.1016/j.jeconom.2024.105941","url":null,"abstract":"<div><div>We explore time-varying networks for high-dimensional locally stationary time series, using the large VAR model framework with both the transition and (error) precision matrices evolving smoothly over time. Two types of time-varying graphs are investigated: one containing directed edges of Granger causality linkages, and the other containing undirected edges of partial correlation linkages. Under the sparse structural assumption, we propose a penalised local linear method with time-varying weighted group LASSO to jointly estimate the transition matrices and identify their significant entries, and a time-varying CLIME method to estimate the precision matrices. The estimated transition and precision matrices are then used to determine the time-varying network structures. Under some mild conditions, we derive the theoretical properties of the proposed estimates including the consistency and oracle properties. In addition, we extend the methodology and theory to cover highly-correlated large-scale time series, for which the sparsity assumption becomes invalid and we allow for common factors before estimating the factor-adjusted time-varying networks. We provide extensive simulation studies and an empirical application to a large U.S. macroeconomic dataset to illustrate the finite-sample performance of our methods.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"249 ","pages":"Article 105941"},"PeriodicalIF":9.9,"publicationDate":"2025-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144068126","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

Inequality and the zero lower bound 不等式和下界为零

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-05-01 DOI: 10.1016/j.jeconom.2024.105819

Jesús Fernández-Villaverde , Joël Marbet , Galo Nuño , Omar Rachedi

引用次数: 0

Machine Learning for Economic Policy 经济政策的机器学习

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-05-01 DOI: 10.1016/j.jeconom.2025.105970

Maryam Haghighi , Andreas Joseph , George Kapetanios , Christopher Kurz , Michele Lenza , Juri Marcucci

引用次数: 0

On superlevel sets of conditional densities and multivariate quantile regression 关于超水平条件密度集和多元量子回归

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-05-01 DOI: 10.1016/j.jeconom.2024.105807

Annika Camehl, Dennis Fok, Kathrin Gruber

引用次数: 0

Efficient quantile covariate adjusted response adaptive experiments 有效的分位数协变量调整响应自适应实验

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-05-01 DOI: 10.1016/j.jeconom.2024.105857

Zhonghua Li , Lan Luo , Jingshen Wang , Long Feng

{"title":"Efficient quantile covariate adjusted response adaptive experiments","authors":"Zhonghua Li , Lan Luo , Jingshen Wang , Long Feng","doi":"10.1016/j.jeconom.2024.105857","DOIUrl":"10.1016/j.jeconom.2024.105857","url":null,"abstract":"<div><div>In program evaluation studies, understanding the heterogeneous distributional impacts of a program beyond the average effect is crucial. Quantile treatment effect (QTE) provides a natural measure to capture such heterogeneity. While much of the existing work for estimating QTE has focused on analyzing observational data based on untestable causal assumptions, little work has gone into designing randomized experiments specifically for estimating QTE. In this manuscript, we propose two covariate-adjusted response adaptive design strategies–fully adaptive designs and multi-stage designs–to efficiently estimate the QTE. We demonstrate that the QTE estimator obtained from our designs attains the optimal variance lower bound from a semiparametric theory perspective, which does not impose any parametric assumptions on underlying data distributions. Moreover, we show that using continuous covariates in multi-stage designs can improve the precision of the estimated QTE compared to the classical fully adaptive setting. We illustrate the finite-sample performance of our designs through Monte Carlo experiments and one synthetic case study on charitable giving. Our proposed designs offer a new approach to conducting randomized experiments to estimate QTE, which can have important implications for policy and program evaluation.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"249 ","pages":"Article 105857"},"PeriodicalIF":9.9,"publicationDate":"2025-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144071701","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

Central bank mandates and monetary policy stances: Through the lens of Federal Reserve speeches 中央银行的任务和货币政策立场：通过美联储的演讲

IF 9.9 3区经济学

Journal of Econometrics Pub Date : 2025-05-01 DOI: 10.1016/j.jeconom.2025.105948

Christoph Bertsch , Isaiah Hull , Robin L. Lumsdaine , Xin Zhang

{"title":"Central bank mandates and monetary policy stances: Through the lens of Federal Reserve speeches","authors":"Christoph Bertsch , Isaiah Hull , Robin L. Lumsdaine , Xin Zhang","doi":"10.1016/j.jeconom.2025.105948","DOIUrl":"10.1016/j.jeconom.2025.105948","url":null,"abstract":"<div><div>The Federal Reserve System has an institutional mandate to pursue price stability and maximum sustainable employment; however, it remains unclear whether it can also pursue secondary objectives. The academic literature has largely argued that it should not. We characterize the Fed’s interpretation of its mandate using state-of-the-art methods from natural language processing, including a collection of large language models (LLMs) that we modify for enhanced performance on central bank texts. We apply these methods and models to a comprehensive corpus of Fed speeches delivered between 1960 and 2022. We find that the Fed perceives financial stability to be the most important policy concern that is not directly enumerated in its mandate, especially in times when the debt-to-GDP ratio is high, but does not generally treat it as a separate policy objective. In its policy discourse, it has frequently discussed the use of monetary policy to achieve financial stability, which we demonstrate generates movements in asset prices, even after rigorously controlling for macroeconomic and financial variables.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"249 ","pages":"Article 105948"},"PeriodicalIF":9.9,"publicationDate":"2025-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144068123","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