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Change-point analysis of time series with evolutionary spectra 利用演化谱对时间序列进行变化点分析
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2024-06-01 DOI: 10.1016/j.jeconom.2024.105811
Alessandro Casini , Pierre Perron
{"title":"Change-point analysis of time series with evolutionary spectra","authors":"Alessandro Casini ,&nbsp;Pierre Perron","doi":"10.1016/j.jeconom.2024.105811","DOIUrl":"10.1016/j.jeconom.2024.105811","url":null,"abstract":"<div><p>This paper develops change-point methods for the spectrum of a locally stationary time series. We focus on series with a bounded spectral density that change smoothly under the null hypothesis but exhibits change-points or becomes less smooth under the alternative. We address two local problems. The first is the detection of discontinuities (or breaks) in the spectrum at unknown dates and frequencies. The second involves abrupt yet continuous changes in the spectrum over a short time period at an unknown frequency without signifying a break. Both problems can be cast into changes in the degree of smoothness of the spectral density over time. We consider estimation and minimax-optimal testing. We determine the optimal rate for the minimax distinguishable boundary, i.e., the minimum break magnitude such that we are able to uniformly control type I and type II errors. We propose a novel procedure for the estimation of the change-points based on a wild sequential top-down algorithm and show its consistency under shrinking shifts and possibly growing number of change-points.</p></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"242 2","pages":"Article 105811"},"PeriodicalIF":9.9,"publicationDate":"2024-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141571081","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
On LASSO for high dimensional predictive regression 关于高维预测回归的 LASSO
IF 9.9 3区 经济学
Journal of Econometrics Pub Date : 2024-06-01 DOI: 10.1016/j.jeconom.2024.105809
Ziwei Mei, Zhentao Shi
{"title":"On LASSO for high dimensional predictive regression","authors":"Ziwei Mei,&nbsp;Zhentao Shi","doi":"10.1016/j.jeconom.2024.105809","DOIUrl":"https://doi.org/10.1016/j.jeconom.2024.105809","url":null,"abstract":"<div><p>This paper examines LASSO, a widely-used <span><math><msub><mrow><mi>L</mi></mrow><mrow><mn>1</mn></mrow></msub></math></span>-penalized regression method, in high dimensional linear predictive regressions, particularly when the number of potential predictors exceeds the sample size and numerous unit root regressors are present. The consistency of LASSO is contingent upon two key components: the deviation bound of the cross product of the regressors and the error term, and the restricted eigenvalue of the Gram matrix. We present new probabilistic bounds for these components, suggesting that LASSO’s rates of convergence are different from those typically observed in cross-sectional cases. When applied to a mixture of stationary, nonstationary, and cointegrated predictors, LASSO maintains its asymptotic guarantee if predictors are scale-standardized. Leveraging machine learning and macroeconomic domain expertise, LASSO demonstrates strong performance in forecasting the unemployment rate, as evidenced by its application to the FRED-MD database.</p></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"242 2","pages":"Article 105809"},"PeriodicalIF":9.9,"publicationDate":"2024-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141593217","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
A simple specification test for models with many conditional moment inequalities 对具有多个条件矩不等式的模型进行简单的规格检验
IF 6.3 3区 经济学
Journal of Econometrics Pub Date : 2024-05-01 DOI: 10.1016/j.jeconom.2024.105788
Mathieu Marcoux , Thomas M. Russell , Yuanyuan Wan
{"title":"A simple specification test for models with many conditional moment inequalities","authors":"Mathieu Marcoux ,&nbsp;Thomas M. Russell ,&nbsp;Yuanyuan Wan","doi":"10.1016/j.jeconom.2024.105788","DOIUrl":"https://doi.org/10.1016/j.jeconom.2024.105788","url":null,"abstract":"<div><p>This paper proposes a simple specification test for partially identified models with a large or possibly uncountably infinite number of conditional moment (in)equalities. The approach is valid under weak assumptions, allowing for both weak identification and non-differentiable moment conditions. Computational simplifications are obtained by reusing certain expensive-to-compute components of the test statistic when constructing the critical values. Because of the weak assumptions, the procedure faces a new set of interesting theoretical issues which we show can be addressed by an unconventional sample-splitting procedure that runs multiple tests of the same null hypothesis. The resulting specification test controls size uniformly over a large class of data generating processes, has power tending to 1 for fixed alternatives, and has power against certain local alternatives which we characterize. Finally, the testing procedure is demonstrated in three simulation exercises.</p></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"242 1","pages":"Article 105788"},"PeriodicalIF":6.3,"publicationDate":"2024-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304407624001349/pdfft?md5=684a607d51596956bac4bcdef522a2c3&pid=1-s2.0-S0304407624001349-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141250952","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
Better the devil you know: Improved forecasts from imperfect models 宁可信其有，不可信其无利用不完善的模型改进预测
IF 6.3 3区 经济学
Journal of Econometrics Pub Date : 2024-05-01 DOI: 10.1016/j.jeconom.2024.105767
Dong Hwan Oh , Andrew J. Patton
{"title":"Better the devil you know: Improved forecasts from imperfect models","authors":"Dong Hwan Oh ,&nbsp;Andrew J. Patton","doi":"10.1016/j.jeconom.2024.105767","DOIUrl":"https://doi.org/10.1016/j.jeconom.2024.105767","url":null,"abstract":"<div><p>Many important economic decisions are based on a parametric forecasting model that is known to be good but imperfect. We propose methods to improve out-of-sample forecasts from a misspecified model by estimating its parameters using a form of local <em>M</em> estimation (thereby nesting local OLS and local MLE), drawing on information from a state variable that is correlated with the misspecification of the model. We theoretically consider the forecast environments in which our approach is likely to offer improvements over standard methods, and we find significant forecast improvements from applying the proposed method across four distinct empirical analyses including volatility forecasting, risk management, and yield curve forecasting.</p></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"242 1","pages":"Article 105767"},"PeriodicalIF":6.3,"publicationDate":"2024-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141083567","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
Modeling long cycles 长周期建模
IF 6.3 3区 经济学
Journal of Econometrics Pub Date : 2024-05-01 DOI: 10.1016/j.jeconom.2024.105751
Da Natasha Kang , Vadim Marmer
{"title":"Modeling long cycles","authors":"Da Natasha Kang ,&nbsp;Vadim Marmer","doi":"10.1016/j.jeconom.2024.105751","DOIUrl":"10.1016/j.jeconom.2024.105751","url":null,"abstract":"<div><p>Recurrent boom-and-bust cycles are a salient feature of economic and financial history. Cycles found in the data are stochastic, often highly persistent, and span substantial fractions of the sample size. We refer to such cycles as “long”. In this paper, we develop a novel approach to modeling cyclical behavior specifically designed to capture long cycles. We show that existing inferential procedures may produce misleading results in the presence of long cycles and propose a new econometric procedure for the inference on the cycle length. Our procedure is asymptotically valid regardless of the cycle length. We apply our methodology to a set of macroeconomic and financial variables for the U.S. We find evidence of long stochastic cycles in the standard business cycle variables, as well as in credit and house prices. However, we rule out the presence of stochastic cycles in asset market data. Moreover, according to our result, financial cycles, as characterized by credit and house prices, tend to be twice as long as business cycles.</p></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"242 1","pages":"Article 105751"},"PeriodicalIF":6.3,"publicationDate":"2024-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141188779","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
Maximum likelihood estimation of a spatial autoregressive model for origin–destination flow variables 始发地-目的地流量变量空间自回归模型的最大似然估计
IF 6.3 3区 经济学
Journal of Econometrics Pub Date : 2024-05-01 DOI: 10.1016/j.jeconom.2024.105790
Hanbat Jeong , Lung-fei Lee
{"title":"Maximum likelihood estimation of a spatial autoregressive model for origin–destination flow variables","authors":"Hanbat Jeong ,&nbsp;Lung-fei Lee","doi":"10.1016/j.jeconom.2024.105790","DOIUrl":"https://doi.org/10.1016/j.jeconom.2024.105790","url":null,"abstract":"<div><p>We introduce a spatial autoregressive hurdle model for nonnegative origin–destination flows <span><math><msub><mrow><mi>y</mi></mrow><mrow><mi>N</mi><mo>,</mo><mi>i</mi><mi>j</mi></mrow></msub></math></span>. The model incorporates a hurdle formulation to elucidate the different data-generating processes for zero and positive flows. Our model specifies three types of spatial influences on flow <span><math><msub><mrow><mi>y</mi></mrow><mrow><mi>N</mi><mo>,</mo><mi>i</mi><mi>j</mi></mrow></msub></math></span> that quantify the impact of third-party characteristics on the flow <span><math><msub><mrow><mi>y</mi></mrow><mrow><mi>N</mi><mo>,</mo><mi>i</mi><mi>j</mi></mrow></msub></math></span>: (i) the effect of outflows from origin <span><math><mi>j</mi></math></span>, (ii) the effect of inflows to destination <span><math><mi>i</mi></math></span>, and (iii) the effect of flows among third-party units. We account for two-way fixed effects in the model to capture the inherent characteristics of both origins and destinations. We employ maximum likelihood estimation to estimate the model parameters. To address statistical inference issues, we analyze the asymptotic properties of the ML estimator using the spatial near-epoch dependence concept. We confirm the presence of an asymptotic bias that arises from the fixed effects, whose dimensions grow with the sample size. Applying our model to migration flows among U.S. states, we estimate significant spatial influences, particularly from inflows to destinations and outflows from origins. Our findings support the notion that zero and positive flow formations are distinct. Consequently, our proposed model outperforms the spatial autoregressive Tobit specification for origin–destination flows, thus providing a better fit to the data.</p></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"242 1","pages":"Article 105790"},"PeriodicalIF":6.3,"publicationDate":"2024-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304407624001362/pdfft?md5=786f5e7638754e34b7724ba424cace3d&pid=1-s2.0-S0304407624001362-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141292244","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
Prewhitened long-run variance estimation robust to nonstationarity 对非平稳性稳健的预白化长期方差估计
IF 6.3 3区 经济学
Journal of Econometrics Pub Date : 2024-05-01 DOI: 10.1016/j.jeconom.2024.105794
Alessandro Casini , Pierre Perron
{"title":"Prewhitened long-run variance estimation robust to nonstationarity","authors":"Alessandro Casini ,&nbsp;Pierre Perron","doi":"10.1016/j.jeconom.2024.105794","DOIUrl":"https://doi.org/10.1016/j.jeconom.2024.105794","url":null,"abstract":"<div><p>We introduce a nonparametric nonlinear VAR prewhitened long-run variance (LRV) estimator for the construction of standard errors robust to autocorrelation and heteroskedasticity that can be used for hypothesis testing in a variety of contexts including the linear regression model. Existing methods either are theoretically valid only under stationarity and have poor finite-sample properties under nonstationarity (i.e., fixed-<span><math><mi>b</mi></math></span> methods), or are theoretically valid under the null hypothesis but lead to tests that are not consistent under nonstationary alternative hypothesis (i.e., both fixed-<span><math><mi>b</mi></math></span> and traditional HAC estimators). The proposed estimator accounts explicitly for nonstationarity, unlike previous prewhitened procedures which are known to be unreliable, and leads to tests with accurate null rejection rates and good monotonic power. We also establish MSE bounds for LRV estimation that are sharper than previously established and use them to determine the data-dependent bandwidths.</p></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"242 1","pages":"Article 105794"},"PeriodicalIF":6.3,"publicationDate":"2024-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141292245","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
2SLS with multiple treatments 多重处理的 2SLS
IF 6.3 3区 经济学
Journal of Econometrics Pub Date : 2024-05-01 DOI: 10.1016/j.jeconom.2024.105785
Manudeep Bhuller , Henrik Sigstad
{"title":"2SLS with multiple treatments","authors":"Manudeep Bhuller ,&nbsp;Henrik Sigstad","doi":"10.1016/j.jeconom.2024.105785","DOIUrl":"https://doi.org/10.1016/j.jeconom.2024.105785","url":null,"abstract":"<div><p>We study what two-stage least squares (2SLS) identifies in models with multiple treatments under treatment effect heterogeneity. Two conditions are shown to be necessary and sufficient for the 2SLS to identify positively weighted sums of agent-specific effects of each treatment: <em>average conditional monotonicity</em> and <em>no cross effects</em>. Our identification analysis allows for any number of treatments, any number of continuous or discrete instruments, and the inclusion of covariates. We provide testable implications and present characterizations of choice behavior implied by our identification conditions.</p></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"242 1","pages":"Article 105785"},"PeriodicalIF":6.3,"publicationDate":"2024-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304407624001313/pdfft?md5=2731cd7dd32f64f1ed1eb1837a569f7d&pid=1-s2.0-S0304407624001313-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141292121","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
Bridging the Covid-19 data and the epidemiological model using the time-varying parameter SIRD model 利用时变参数 SIRD 模型连接 Covid-19 数据和流行病学模型
IF 6.3 3区 经济学
Journal of Econometrics Pub Date : 2024-05-01 DOI: 10.1016/j.jeconom.2024.105787
Cem Çakmaklı , Yasin Şimşek
{"title":"Bridging the Covid-19 data and the epidemiological model using the time-varying parameter SIRD model","authors":"Cem Çakmaklı ,&nbsp;Yasin Şimşek","doi":"10.1016/j.jeconom.2024.105787","DOIUrl":"https://doi.org/10.1016/j.jeconom.2024.105787","url":null,"abstract":"<div><p>This paper extends the canonical model of epidemiology, the SIRD model, to allow for time-varying parameters for real-time measurement and prediction of the trajectory of the Covid-19 pandemic. Time variation in model parameters is captured using the score-driven modeling structure designed for the typical daily count data related to the pandemic. The resulting specification permits a flexible yet parsimonious model with a low computational cost. The model is extended to allow for unreported cases using a mixed-frequency setting. Results suggest that these cases’ effects on the parameter estimates might be sizeable. Full sample results show that the flexible framework accurately captures the successive waves of the pandemic. A real-time exercise indicates that the proposed structure delivers timely and precise information on the pandemic’s current stance. This superior performance, in turn, transforms into accurate predictions of the death cases and cases treated in Intensive Care Units (ICUs).</p></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"242 1","pages":"Article 105787"},"PeriodicalIF":6.3,"publicationDate":"2024-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141292246","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
On the performance of the Neyman Allocation with small pilots 关于小飞行员的奈曼分配性能
IF 6.3 3区 经济学
Journal of Econometrics Pub Date : 2024-05-01 DOI: 10.1016/j.jeconom.2024.105793
Yong Cai , Ahnaf Rafi
{"title":"On the performance of the Neyman Allocation with small pilots","authors":"Yong Cai ,&nbsp;Ahnaf Rafi","doi":"10.1016/j.jeconom.2024.105793","DOIUrl":"https://doi.org/10.1016/j.jeconom.2024.105793","url":null,"abstract":"<div><p>The Neyman Allocation is used in many papers on experimental design, which typically assume that researchers have access to large pilot studies. This may be unrealistic. To understand the properties of the Neyman Allocation with small pilots, we study its behavior in an asymptotic framework that takes pilot size to be fixed even as the size of the main wave tends to infinity. Our analysis shows that the Neyman Allocation can lead to estimates of the ATE with higher asymptotic variance than with (non-adaptive) balanced randomization. In particular, this happens when the outcome variable is relatively homoskedastic with respect to treatment status or when it exhibits high kurtosis. We provide a series of empirical examples showing that such situations can arise in practice. Our results suggest that researchers with small pilots should not use the Neyman Allocation if they believe that outcomes are homoskedastic or heavy-tailed. Finally, we examine some potential methods for improving the finite sample performance of the FNA via simulations.</p></div>","PeriodicalId":15629,"journal":{"name":"Journal of Econometrics","volume":"242 1","pages":"Article 105793"},"PeriodicalIF":6.3,"publicationDate":"2024-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141292230","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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