Journal of Econometrics最新文献_第8页

Estimation and inference for causal functions with multi-way clustered data 基于多路聚类数据的因果函数估计与推理

IF 4 3区经济学

Journal of Econometrics Pub Date : 2026-01-01 Epub Date: 2026-01-07 DOI: 10.1016/j.jeconom.2025.106178

Nan Liu , Yanbo Liu , Yuya Sasaki

{"title":"Estimation and inference for causal functions with multi-way clustered data","authors":"Nan Liu , Yanbo Liu , Yuya Sasaki","doi":"10.1016/j.jeconom.2025.106178","DOIUrl":"10.1016/j.jeconom.2025.106178","url":null,"abstract":"<div><div>We propose methods for estimation and uniform inference for a broad class of causal functions, such as conditional average treatment effects and continuous treatment effects, under multi-way clustering. The causal function is identified as the conditional expectation of a Neyman-orthogonal signal that depends on high-dimensional nuisance parameters. We introduce a two-step procedure: the first step uses machine learning to estimate the nuisance parameters, and the second step projects the estimated Neyman-orthogonal signal onto a dictionary of basis functions whose dimension grows with the sample size. We consider both full-sample and multi-way cross-fitting approaches to this procedure and derive a functional limit theory for the resulting estimators. For uniform inference, we develop a novel resampling method, <em>the multi-way cluster-robust sieve score bootstrap</em>, which extends the sieve score bootstrap of Chen and Christensen (2018) to settings with multi-way clustering. Extensive simulations demonstrate that the proposed methods exhibit favorable finite-sample performance. We apply our approach to study the causal relationship between mistrust levels in Africa and historical exposure to the slave trade. Accounting for the two-way clustering by ethnicity and region, our inference method rejects the null hypothesis of uniformly zero effects and uncover heterogeneous treatment effects, with particularly strong impacts in regions with high historical trade intensity.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"253 ","pages":"Article 106178"},"PeriodicalIF":4.0,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145938446","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

GLS estimation of local projections: Trading robustness for efficiency 局部预测的GLS估计：以鲁棒性换取效率

IF 4 3区经济学

Journal of Econometrics Pub Date : 2026-01-01 Epub Date: 2026-01-19 DOI: 10.1016/j.jeconom.2026.106182

Ignace De Vos , Gerdie Everaert

引用次数: 0

Multivariate kernel regression in vector and product metric spaces 向量和积度量空间中的多元核回归

IF 4 3区经济学

Journal of Econometrics Pub Date : 2026-01-01 Epub Date: 2025-12-22 DOI: 10.1016/j.jeconom.2025.106168

Marcia Schafgans , Victoria Zinde-Walsh

{"title":"Multivariate kernel regression in vector and product metric spaces","authors":"Marcia Schafgans , Victoria Zinde-Walsh","doi":"10.1016/j.jeconom.2025.106168","DOIUrl":"10.1016/j.jeconom.2025.106168","url":null,"abstract":"<div><div>This paper derives limit properties of nonparametric kernel regression estimators without requiring existence of density for regressors in <span><math><msup><mi>R</mi><mi>q</mi></msup></math></span>. In functional regression limit properties are established for multivariate functional regression. The rate and asymptotic normality for the Nadaraya–Watson (NW) estimator is established for distributions of regressors in <span><math><msup><mi>R</mi><mi>q</mi></msup></math></span> that allow for mass points, factor structure, multicollinearity and nonlinear dependence, as well as fractal distribution; when bounded density exists we provide statistical guarantees for the standard rate and the asymptotic normality without requiring smoothness. We demonstrate faster convergence associated with dimension reducing types of singularity, such as a fractal distribution or a factor structure in the regressors. The paper extends asymptotic normality of kernel functional regression to multivariate regression over a product of any number of metric spaces. Finite sample evidence confirms rate improvement due to singularity in regression over <span><math><msup><mi>R</mi><mi>q</mi></msup></math></span>. For functional regression the simulations underline the importance of accounting for multiple functional regressors. We demonstrate the applicability and advantages of the NW estimator in our empirical study, which reexamines the job training program evaluation based on the LaLonde data.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"253 ","pages":"Article 106168"},"PeriodicalIF":4.0,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145836615","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

Doubly-robust inference for conditional average treatment effects with high-dimensional controls 高维控制条件平均处理效果的双鲁棒推理

IF 4 3区经济学

Journal of Econometrics Pub Date : 2026-01-01 Epub Date: 2026-01-14 DOI: 10.1016/j.jeconom.2026.106180

Adam Baybutt , Manu Navjeevan

引用次数: 0

Decomposition and interpretation of treatment effects in settings with delayed outcomes 结果延迟的情况下治疗效果的分解和解释

IF 4 3区经济学

Journal of Econometrics Pub Date : 2026-01-01 Epub Date: 2025-12-05 DOI: 10.1016/j.jeconom.2025.106160

Federico A. Bugni , Ivan A. Canay , Steve McBride

{"title":"Decomposition and interpretation of treatment effects in settings with delayed outcomes","authors":"Federico A. Bugni , Ivan A. Canay , Steve McBride","doi":"10.1016/j.jeconom.2025.106160","DOIUrl":"10.1016/j.jeconom.2025.106160","url":null,"abstract":"<div><div>This paper studies settings where the analyst is interested in identifying and estimating the average <em>direct</em> causal effect of a binary treatment on an outcome. We consider a setup in which the outcome realization does not get immediately realized after the treatment assignment, a feature that is ubiquitous in empirical settings. The period between the treatment and the realization of the outcome allows other observed actions to occur and affect the outcome. In this context, we study several regression-based estimands routinely used in empirical work to capture the average treatment effect and shed light on interpreting them in terms of ceteris paribus effects, indirect causal effects, and selection terms. We obtain three main and related takeaways under a common set of assumptions. First, the three most popular estimands do not generally satisfy what we call <em>strong sign preservation</em>, in the sense that these estimands may be negative even when the treatment positively affects the outcome conditional on any possible combination of other actions. Second, the most popular regression that includes the other actions as controls satisfies strong sign preservation <em>if and only if</em> these actions are mutually exclusive binary variables. Finally, we show that a linear regression that fully stratifies the other actions leads to estimands that satisfy strong sign preservation.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"253 ","pages":"Article 106160"},"PeriodicalIF":4.0,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145690430","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

Data-driven policy learning for continuous treatments 数据驱动的连续治疗策略学习

IF 4 3区经济学

Journal of Econometrics Pub Date : 2026-01-01 Epub Date: 2025-12-25 DOI: 10.1016/j.jeconom.2025.106170

Chunrong Ai , Yue Fang , Haitian Xie

引用次数: 0

Inference for two-stage experiments under covariate-adaptive randomization 协变量自适应随机化下两阶段实验的推理

IF 4 3区经济学

Journal of Econometrics Pub Date : 2026-01-01 Epub Date: 2026-01-18 DOI: 10.1016/j.jeconom.2026.106189

Jizhou Liu

{"title":"Inference for two-stage experiments under covariate-adaptive randomization","authors":"Jizhou Liu","doi":"10.1016/j.jeconom.2026.106189","DOIUrl":"10.1016/j.jeconom.2026.106189","url":null,"abstract":"<div><div>This paper studies inference in two-stage randomized experiments under covariate-adaptive randomization. In the initial stage of this experimental design, clusters (e.g., households, schools, or graph partitions) are stratified and randomly assigned to control or treatment groups based on cluster-level covariates. Subsequently, an independent second-stage design is carried out, wherein units within each treated cluster are further stratified and randomly assigned to either control or treatment groups, based on individual-level covariates. Under the homogeneous partial interference assumption, I establish conditions under which the proposed difference-in-“average of averages” estimators are consistent and asymptotically normal for the corresponding average primary and spillover effects and develop consistent estimators of their asymptotic variances. Combining these results establishes the asymptotic validity of tests based on these estimators. My findings suggest that ignoring covariate information in the design stage can result in efficiency loss, and commonly used inference methods that ignore or improperly use covariate information can lead to either conservative or invalid inference. Then, I apply these results to studying optimal use of covariate information under covariate-adaptive randomization in large samples, and demonstrate that a specific generalized matched-pair design achieves minimum asymptotic variance for each proposed estimator. Finally, I discuss covariate adjustment, which incorporates additional baseline covariates not used for treatment assignment. The practical relevance of the theoretical results is illustrated through a simulation study and an empirical application.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"253 ","pages":"Article 106189"},"PeriodicalIF":4.0,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146034687","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

Unobserved component models, approximate filters and dynamic adaptive mixture models 未观察组件模型，近似滤波器和动态自适应混合模型

IF 4 3区经济学

Journal of Econometrics Pub Date : 2026-01-01 Epub Date: 2025-11-28 DOI: 10.1016/j.jeconom.2025.106155

Leopoldo Catania , Enzo D’Innocenzo , Alessandra Luati

{"title":"Unobserved component models, approximate filters and dynamic adaptive mixture models","authors":"Leopoldo Catania , Enzo D’Innocenzo , Alessandra Luati","doi":"10.1016/j.jeconom.2025.106155","DOIUrl":"10.1016/j.jeconom.2025.106155","url":null,"abstract":"<div><div>State estimation in unobserved component models with parameter uncertainty is traditionally performed through approximate filters, where Gaussian distributions with given moments are employed to replace otherwise intractable conditional densities. This paper re-examines signal-plus-noise models where parameter uncertainty is induced by a latent variable that may assume a fixed number of states. First, it is shown that, for these models, the approximate filters commonly adopted in the literature can be obtained as linear combinations of minimum variance linear unbiased estimators. Second, it is observed that they coincide with filters implied by a novel class of dynamic adaptive mixture models, where the parameters of a mixture of distributions evolve over time following a recursion that is based on the score of the one-step-ahead predictive distribution. Focusing on a robust specification, where the mixture components are Student’s <em>t</em> distributions, we prove existence, stationarity, and ergodicity of the data generating process as well as invertibility of the filter, and consistency and asymptotic normality of the maximum likelihood estimator of the static parameters. An application to energy spot prices is discussed, where the novel specification is compared with, and shown to outperform, robust score-driven filters and the related class of mixture autoregressive models.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"253 ","pages":"Article 106155"},"PeriodicalIF":4.0,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145621626","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

Quantile approach to intertemporal consumption with multiple assets 多资产跨期消费的分位数方法

IF 4 3区经济学

Journal of Econometrics Pub Date : 2026-01-01 Epub Date: 2025-12-08 DOI: 10.1016/j.jeconom.2025.106161

Luciano de Castro , Antonio F. Galvao , Hirofumi Ota

{"title":"Quantile approach to intertemporal consumption with multiple assets","authors":"Luciano de Castro , Antonio F. Galvao , Hirofumi Ota","doi":"10.1016/j.jeconom.2025.106161","DOIUrl":"10.1016/j.jeconom.2025.106161","url":null,"abstract":"<div><div>This paper develops a novel economic model and econometric methods to jointly identify and estimate parameters related to intertemporal preference and risk attitude. We begin by formulating an intertemporal consumption model with multiple assets based on dynamic quantile preferences that account for elasticity of intertemporal substitution, risk attitude, and discount factor. We establish the properties of the model and obtain interesting explicit expressions for the value function, and the optimal consumption. In addition, we derive the quantile Euler equation. From this equilibrium condition, we show that, when at least two returns are available, one is able to separately identify the risk attitude, which is measured by the quantile <em>τ</em>, and the elasticity of intertemporal substitution and discount factor. We propose new econometric theory for estimating these parameters of interest and establish the statistical properties of the semiparametric two-step estimator. In particular, we show that the estimator is consistent, with a cubic-root rate of convergence, derive its limiting distribution, and suggest a subsampling procedure for inference. Finally, we empirically estimate the structural model, and results show evidence that discount factor is slightly smaller than one, the elasticity of intertemporal substitution is larger than one, and risk attitude is close to the median.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"253 ","pages":"Article 106161"},"PeriodicalIF":4.0,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145747252","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

Difference-in-Differences with compositional changes 差异中的差异与成分的变化

IF 4 3区经济学

Journal of Econometrics Pub Date : 2026-01-01 Epub Date: 2025-11-19 DOI: 10.1016/j.jeconom.2025.106147

Pedro H.C. Sant’Anna , Qi Xu

{"title":"Difference-in-Differences with compositional changes","authors":"Pedro H.C. Sant’Anna , Qi Xu","doi":"10.1016/j.jeconom.2025.106147","DOIUrl":"10.1016/j.jeconom.2025.106147","url":null,"abstract":"<div><div>This paper studies Difference-in-Differences (DiD) setups with repeated cross-sectional data and potential compositional changes across time periods. We begin our analysis by deriving the efficient influence function and the semiparametric efficiency bound for the average treatment effect on the treated (ATT). We introduce nonparametric estimators that attain the semiparametric efficiency bound under mild rate conditions on the estimators of the nuisance functions, exhibiting a type of rate doubly robust (DR) property. Additionally, we document a trade-off related to compositional changes: We derive the asymptotic bias of DR DiD estimators that erroneously exclude compositional changes and the efficiency loss when one fails to correctly rule out compositional changes. We propose a nonparametric Hausman-type test for compositional changes based on these trade-offs. The finite sample performance of the proposed DiD tools is evaluated through Monte Carlo experiments and an empirical application. We consider extensions of our framework that accommodate double machine learning procedures with cross-fitting, and setups when some units are observed in both pre- and post-treatment periods. As a by-product of our analysis, we present a new uniform stochastic expansion of the local polynomial multinomial logit estimator, which may be of independent interest.</div></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"253 ","pages":"Article 106147"},"PeriodicalIF":4.0,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145577891","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