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Local projections vs. VARs: Lessons from thousands of DGPs 本地预测与 VAR：成千上万 DGP 的经验教训
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2024-09-01 DOI: 10.1016/j.jeconom.2024.105722
Dake Li , Mikkel Plagborg-Møller , Christian K. Wolf
{"title":"Local projections vs. VARs: Lessons from thousands of DGPs","authors":"Dake Li ,&nbsp;Mikkel Plagborg-Møller ,&nbsp;Christian K. Wolf","doi":"10.1016/j.jeconom.2024.105722","DOIUrl":"10.1016/j.jeconom.2024.105722","url":null,"abstract":"<div><div>We conduct a simulation study of Local Projection (LP) and Vector Autoregression (VAR) estimators of structural impulse responses across thousands of data generating processes, designed to mimic the properties of the universe of U.S. macroeconomic data. Our analysis considers various identification schemes and several variants of LP and VAR estimators, employing bias correction, shrinkage, or model averaging. A clear bias–variance trade-off emerges: LP estimators have lower bias than VAR estimators, but they also have substantially higher variance at intermediate and long horizons. Bias-corrected LP is the preferred method if and only if the researcher overwhelmingly prioritizes bias. For researchers who also care about precision, VAR methods are the most attractive—Bayesian VARs at short and long horizons, and least-squares VARs at intermediate and long horizons.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"244 2","pages":"Article 105722"},"PeriodicalIF":9.9,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142723207","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
State-dependent local projections 取决于州的地方预测
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2024-09-01 DOI: 10.1016/j.jeconom.2024.105702
Sílvia Gonçalves , Ana María Herrera , Lutz Kilian , Elena Pesavento
{"title":"State-dependent local projections","authors":"Sílvia Gonçalves ,&nbsp;Ana María Herrera ,&nbsp;Lutz Kilian ,&nbsp;Elena Pesavento","doi":"10.1016/j.jeconom.2024.105702","DOIUrl":"10.1016/j.jeconom.2024.105702","url":null,"abstract":"<div><div>Do state-dependent local projections asymptotically recover the population responses of macroeconomic aggregates to structural shocks? The answer to this question depends on how the state of the economy is determined and on the magnitude of the shocks. When the state is exogenous, the local projection estimator recovers the population response regardless of the shock size. When the state depends on macroeconomic shocks, as is common in empirical work, local projections only recover the conditional response to an infinitesimal shock, but not the responses to larger shocks of interest in many applications. Simulations suggest that impulse responses may be off by as much as 82 percent and fiscal multipliers by as much as 40 percent.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"244 2","pages":"Article 105702"},"PeriodicalIF":9.9,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140008362","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
Local projections in unstable environments 不稳定环境中的局部投影
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2024-09-01 DOI: 10.1016/j.jeconom.2024.105726
Atsushi Inoue , Barbara Rossi , Yiru Wang
{"title":"Local projections in unstable environments","authors":"Atsushi Inoue ,&nbsp;Barbara Rossi ,&nbsp;Yiru Wang","doi":"10.1016/j.jeconom.2024.105726","DOIUrl":"10.1016/j.jeconom.2024.105726","url":null,"abstract":"<div><div>This paper develops a local projection estimator for estimating impulse responses in the presence of time variation. Importantly, we allow local instabilities in both slope coefficients and variances. Monte Carlo simulations illustrate that the method performs well in practice. Using our proposed estimator, we shed new light on the effects of fiscal policy shocks and the size of government spending multipliers. Our analysis uncovers the existence of instabilities that were unaccounted for in previous studies, and links time variation in the multipliers to the size of government debt.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"244 2","pages":"Article 105726"},"PeriodicalIF":9.9,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140275177","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
Functional quantile autoregression 功能量子自回归
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2024-09-01 DOI: 10.1016/j.jeconom.2024.105765
Chaohua Dong , Rong Chen , Zhijie Xiao , Weiyi Liu
{"title":"Functional quantile autoregression","authors":"Chaohua Dong ,&nbsp;Rong Chen ,&nbsp;Zhijie Xiao ,&nbsp;Weiyi Liu","doi":"10.1016/j.jeconom.2024.105765","DOIUrl":"10.1016/j.jeconom.2024.105765","url":null,"abstract":"<div><div><span>This paper proposes a new class of time series models, the functional </span>quantile<span> autoregression (FQAR) models, in which the conditional distribution of the observation at the current time point is affected by its past distributional information, and is expressed as a functional of the past conditional quantile functions. Different from the conventional functional time series models which are based on functionally observed data, the proposed FQAR method studies functional dynamics in traditional time series data. We propose a sieve estimator for the model. Asymptotic properties of the estimators are derived. Numerical investigations are conducted to highlight the proposed method.</span></div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"244 2","pages":"Article 105765"},"PeriodicalIF":9.9,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141037216","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
Reprint of: Out-of-sample tests for conditional quantile coverage: An application to Growth-at-Risk 重印本：条件量子覆盖的样本外测试：风险增长的应用
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2024-09-01 DOI: 10.1016/j.jeconom.2024.105746
Valentina Corradi , Jack Fosten , Daniel Gutknecht
{"title":"Reprint of: Out-of-sample tests for conditional quantile coverage: An application to Growth-at-Risk","authors":"Valentina Corradi ,&nbsp;Jack Fosten ,&nbsp;Daniel Gutknecht","doi":"10.1016/j.jeconom.2024.105746","DOIUrl":"10.1016/j.jeconom.2024.105746","url":null,"abstract":"<div><div><span>This paper proposes tests for out-of-sample comparisons of interval forecasts based on parametric conditional quantile models. The </span>tests rank the distance between actual and nominal conditional coverage with respect to the set of conditioning variables from all models, for a given loss function. We propose a pairwise test to compare two models for a single predictive interval. The set-up is then extended to a comparison across multiple models and/or intervals. The limiting distribution varies depending on whether models are strictly non-nested or overlapping. In the latter case, degeneracy may occur. We establish the asymptotic validity of wild bootstrap based critical values across all cases. An empirical application to Growth-at-Risk (GaR) uncovers situations in which a richer set of financial indicators are found to outperform a commonly-used benchmark model when predicting downside risk to economic activity.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"244 2","pages":"Article 105746"},"PeriodicalIF":9.9,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142723205","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
Specification tests for non-Gaussian structural vector autoregressions 非高斯结构向量自回归的规格检验
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2024-09-01 DOI: 10.1016/j.jeconom.2024.105803
Dante Amengual , Gabriele Fiorentini , Enrique Sentana
{"title":"Specification tests for non-Gaussian structural vector autoregressions","authors":"Dante Amengual ,&nbsp;Gabriele Fiorentini ,&nbsp;Enrique Sentana","doi":"10.1016/j.jeconom.2024.105803","DOIUrl":"10.1016/j.jeconom.2024.105803","url":null,"abstract":"<div><div>We propose specification tests for independent component analysis and structural vector autoregressions<span> that assess the cross-sectional independence of non-Gaussian shocks by comparing their joint cumulative distribution with the product of their marginals at both discrete and continuous grids of argument values, the latter yielding a consistent test. We explicitly consider the sampling variability from computing the shocks using consistent estimators. We study the finite sample size of resampled versions of our tests in simulation exercises and show their non-negligible power against a variety of empirically plausible alternatives. Finally, we apply them to a dynamic model for three popular volatility indices.</span></div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"244 2","pages":"Article 105803"},"PeriodicalIF":9.9,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141844382","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
Introduction to the Themed Issue: Macroeconometrics 主题刊物简介：宏观经济计量学
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2024-09-01 DOI: 10.1016/j.jeconom.2024.105870
Zhongjun Qu
{"title":"Introduction to the Themed Issue: Macroeconometrics","authors":"Zhongjun Qu","doi":"10.1016/j.jeconom.2024.105870","DOIUrl":"10.1016/j.jeconom.2024.105870","url":null,"abstract":"","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"244 2","pages":"Article 105870"},"PeriodicalIF":9.9,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142723203","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
Estimation of continuous-time linear DSGE models from discrete-time measurements 从离散时间测量估计连续时间线性 DSGE 模型
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2024-09-01 DOI: 10.1016/j.jeconom.2024.105871
Bent Jesper Christensen , Luca Neri , Juan Carlos Parra-Alvarez
{"title":"Estimation of continuous-time linear DSGE models from discrete-time measurements","authors":"Bent Jesper Christensen ,&nbsp;Luca Neri ,&nbsp;Juan Carlos Parra-Alvarez","doi":"10.1016/j.jeconom.2024.105871","DOIUrl":"10.1016/j.jeconom.2024.105871","url":null,"abstract":"<div><div>We provide a general state space framework for estimation of the parameters of continuous-time linear DSGE models from discrete-time data. Our approach relies on the exact discrete-time representation of the equilibrium dynamics, hence avoiding discretization errors. We construct the exact likelihood for data sampled either as stocks or flows, based on the Kalman filter, and provide necessary and sufficient conditions for local identification of the frequency-invariant structural parameters of the underlying continuous-time model. We recover the unobserved structural shocks at measurement times from the reduced-form residuals in the state space representation by exploiting the underlying causal links implied by the economic model. We illustrate our approach using an off-the-shelf real business cycle model. Extensive Monte Carlo experiments show that the finite sample properties of our estimator are superior to those of an estimator relying on a naive Euler–Maruyama discretization of the economic model. In an application to postwar U.S. macroeconomic data, we estimate the model using series sampled at mixed frequencies, and combinations of series sampled as stocks and flows, and we provide a historical decomposition of the effects of shocks on observables into those stemming from structural supply and demand shocks.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"244 2","pages":"Article 105871"},"PeriodicalIF":9.9,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142723208","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
Reprint of: Robust inference on correlation under general heterogeneity 重印本：一般异质性下相关性的稳健推断
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2024-09-01 DOI: 10.1016/j.jeconom.2024.105744
Liudas Giraitis , Yufei Li , Peter C.B. Phillips
{"title":"Reprint of: Robust inference on correlation under general heterogeneity","authors":"Liudas Giraitis ,&nbsp;Yufei Li ,&nbsp;Peter C.B. Phillips","doi":"10.1016/j.jeconom.2024.105744","DOIUrl":"10.1016/j.jeconom.2024.105744","url":null,"abstract":"<div><div>Considerable evidence in past research shows size distortion in standard tests for zero autocorrelation or zero cross-correlation when time series are not independent identically distributed random variables, pointing to the need for more robust procedures. Recent tests for serial correlation and cross-correlation in Dalla, Giraitis, and Phillips (2022) provide a more robust approach, allowing for heteroskedasticity and dependence in uncorrelated data under restrictions that require a smooth, slowly-evolving deterministic heteroskedasticity process. The present work removes those restrictions and validates the robust testing methodology for a wider class of innovations and regression residuals allowing for heteroscedastic uncorrelated and non-stationary data settings. The updated analysis given here enables more extensive use of the methodology in practical applications. Monte Carlo experiments confirm excellent finite sample performance of the robust test procedures even for extremely complex white noise processes. The empirical examples show that use of robust testing methods can materially reduce spurious evidence of correlations found by standard testing procedures.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"244 2","pages":"Article 105744"},"PeriodicalIF":9.9,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142723300","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
Reprint of: The likelihood ratio test for structural changes in factor models 重印本：因子模型结构变化的似然比检验
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2024-09-01 DOI: 10.1016/j.jeconom.2024.105745
Jushan Bai , Jiangtao Duan , Xu Han
{"title":"Reprint of: The likelihood ratio test for structural changes in factor models","authors":"Jushan Bai ,&nbsp;Jiangtao Duan ,&nbsp;Xu Han","doi":"10.1016/j.jeconom.2024.105745","DOIUrl":"10.1016/j.jeconom.2024.105745","url":null,"abstract":"<div><div>A factor model with a break in its factor loadings is observationally equivalent to a model without changes in the loadings but with a change in the variance of its factors. This approach effectively transforms a high-dimensional structural change problem into a low-dimensional problem. This paper considers the likelihood ratio (LR) test for a variance change in the estimated factors. The LR test implicitly explores a special feature of the estimated factors: the pre-break and post-break variances can be a singular matrix under the alternative hypothesis, making the LR test diverging faster and thus more powerful than Wald-type tests. The better power property of the LR test is also confirmed by simulations. We also consider mean changes and multiple breaks. We apply this procedure to the factor modeling of the US employment and study the structural change problem using monthly industry-level data.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"244 2","pages":"Article 105745"},"PeriodicalIF":9.9,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142723204","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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