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Difference-in-Differences Estimators of Intertemporal Treatment Effects 跨期治疗效果的差中差估计
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2020-07-08 DOI: 10.2139/ssrn.3731856
Clément de Chaisemartin, Xavier D’Haultfœuille
{"title":"Difference-in-Differences Estimators of Intertemporal Treatment Effects","authors":"Clément de Chaisemartin, Xavier D’Haultfœuille","doi":"10.2139/ssrn.3731856","DOIUrl":"https://doi.org/10.2139/ssrn.3731856","url":null,"abstract":"We consider the estimation of the effect of a treatment, using panel data where groups of units are exposed to different doses of the treatment at different times. We consider two sets of parameters of interest. The first are the average effects of having changed treatment for the first time $ell$ periods ago. Those parameters generalize the average effect of having started receiving the treatment $ell$ periods ago that has often been estimated in applications with a binary treatment and staggered adoption. We also consider cost-benefit ratios a planner may use to compare the treatments actually assigned to a counterfactual textit{status quo} scenario where groups receive their period-one treatment throughout the panel. We show that under common trends conditions, all these parameters are unbiasedly estimated by weighted sums of differences-in-differences. Our estimators are valid if the treatment effect is heterogeneous, contrary to the commonly-used dynamic two-way fixed effects regressions. We also propose estimators of a dynamic linear model, with group-specific but time-invariant effects of the current and lagged treatments, which may be used to evaluate ex-ante the effect of future policies. In an application, we find that our estimators differ substantially from those obtained with dynamic two-way fixed effects regressions.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127470577","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 130
Efficiency of Faith and Secular Based Microfinance Institutions 信仰和世俗小额信贷机构的效率
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2020-06-29 DOI: 10.2139/ssrn.3637875
Adithya Kiran Kolloju, M. Meoli
{"title":"Efficiency of Faith and Secular Based Microfinance Institutions","authors":"Adithya Kiran Kolloju, M. Meoli","doi":"10.2139/ssrn.3637875","DOIUrl":"https://doi.org/10.2139/ssrn.3637875","url":null,"abstract":"This paper represents numerical illustration with real data from three major continental regions Asia, Africa, and South America (Latin America & Caribbean). The financial and social data was obtained legally for each institution from the above regions and the aim is to examine the efficiencies with intermediate approach non-parametric two-stage data envelopment analysis (DEA) is implemented followed by Tobit regression random effect model. Here the faith and secular firms were identified and filtered later through smoothed homogeneous bootstrapped procedure the efficiencies are estimated with suitable inputs and outputs. The principles of respective religions are provided to show the differences. The efficiency of each financial institution is different socially and financially according to the geographical locations. The regression results are obtained by the censored model from a minimum value to the maximum value of the dependent variable.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123785259","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Consistent Estimation of the Fixed Effects Probit Model 固定效应概率模型的一致性估计
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2020-04-24 DOI: 10.2139/ssrn.3590304
José Tudón
{"title":"Consistent Estimation of the Fixed Effects Probit Model","authors":"José Tudón","doi":"10.2139/ssrn.3590304","DOIUrl":"https://doi.org/10.2139/ssrn.3590304","url":null,"abstract":"This paper introduces a new estimator for the fixed-effects binary choice model. The proposed method consists of eliminating the fixed effect by reworking the inequalities implied by the binary choice model and is akin in spirit to a linear panel first-difference estimator. The new method is very simple, faster than current alternatives, as shown by Monte Carlo simulations, and, more importantly, consistent. The dynamic nonlinear panel model is also covered. As an empirical application, I consider the demand for video games in Steam.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127800084","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Does Social Policy through Rent Controls Inhibit New Construction? Some Answers from Long-Run Historical Evidence 租金管制的社会政策会抑制新建筑吗?来自长期历史证据的一些答案
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2020-01-01 DOI: 10.2139/ssrn.3518332
K. Kholodilin, Sebastian Kohl
{"title":"Does Social Policy through Rent Controls Inhibit New Construction? Some Answers from Long-Run Historical Evidence","authors":"K. Kholodilin, Sebastian Kohl","doi":"10.2139/ssrn.3518332","DOIUrl":"https://doi.org/10.2139/ssrn.3518332","url":null,"abstract":"The (re-)introduction of rent regulation in the form of rent controls, tenant protection or supply rationing is back on the agenda of policymakers in light of rent inflation in many global cities. While rent control as social policy promises short-term relief, economists point to their negative long-run effects on new construction. This paper present long-run data on both rent regulation and housing construction for 16 developed countries (1910-2017) and 44 developing countries since the 1980s to confirm the economists’ view generally, albeit with certain reservations. The negative effect of regulation can be offset by exemptions for new construction, by compensating government construction and by a flight of new construction into the owner-occupied sector. The overall magnitude of the effect is therefore not as high as expected and shows non-linearities. But, although rent control is usually introduced with good social-policy intentions, it generally risks to crowd out its object of regulation through inhibiting new construction.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"62 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114821823","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Local Asymptotic Equivalence of the Bai and Ng (2004) and Moon and Perron (2004) Frameworks for Panel Unit Root Testing Bai和Ng(2004)和Moon和Perron(2004)面板单位根检验框架的局部渐近等价
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2019-05-27 DOI: 10.2139/ssrn.3394839
Oliver Wichert, I. G. Becheri, F. C. Drost, Ramon Van den Akker
{"title":"Local Asymptotic Equivalence of the Bai and Ng (2004) and Moon and Perron (2004) Frameworks for Panel Unit Root Testing","authors":"Oliver Wichert, I. G. Becheri, F. C. Drost, Ramon Van den Akker","doi":"10.2139/ssrn.3394839","DOIUrl":"https://doi.org/10.2139/ssrn.3394839","url":null,"abstract":"This paper considers unit-root tests in large n and large T heterogeneous panels with cross-sectional dependence generated by unobserved factors. We reconsider the two prevalent approaches in the literature, that of Moon and Perron (2004) and the PANIC setup proposed in Bai and Ng (2004). While these have been considered as completely different setups, we show that, in case of Gaussian innovations, the frameworks are asymptotically equivalent in the sense that both experiments are locally asymptotically normal (LAN) with the same central sequence. Using Le Cam's theory of statistical experiments we determine the local asymptotic power envelope and derive an optimal test jointly in both setups. We show that the popular Moon and Perron (2004) and Bai and Ng (2010) tests only attain the power envelope in case there is no heterogeneity in the long-run variance of the idiosyncratic components. The new test is asymptotically uniformly most powerful irrespective of possible heterogeneity. Moreover, it turns out that for any test, satisfying a mild regularity condition, the size and local asymptotic power are the same under both data generating processes. Thus, applied researchers do not need to decide on one of the two frameworks to conduct unit root tests. Monte-Carlo simulations corroborate our asymptotic results and document significant gains in finite-sample power if the variances of the idiosyncratic shocks differ substantially among the cross sectional units.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123505719","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","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 Group Factor Models with an Application to Mixed Frequency Data 群因子模型在混频数据中的应用
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2019-01-05 DOI: 10.2139/ssrn.2731334
Elena Andreou, P. Gagliardini, Eric Ghysels, M. Rubin
{"title":"Inference in Group Factor Models with an Application to Mixed Frequency Data","authors":"Elena Andreou, P. Gagliardini, Eric Ghysels, M. Rubin","doi":"10.2139/ssrn.2731334","DOIUrl":"https://doi.org/10.2139/ssrn.2731334","url":null,"abstract":"We derive asymptotic properties of estimators and test statistics to determine - in a grouped data setting - common versus group-specific factors. Despite the fact that our test statistic for the number of common factors, under the null, involves a parameter at the boundary (related to unit canonical correlations) we derive a parameter-free asymptotic Gaussian distribution. We show how the group factor setting applies to mixed frequency data. As an empirical illustration we address the question whether Industrial Production (IP) is still the dominant factor driving the U.S. economy using a mixed-frequency data panel of IP and non-IP sectors. We find that a single common factor explains 89% of IP output growth and 61% of total GDP growth despite the diminishing role of manufacturing.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125126664","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 13
Tax Revenues, Development, and the Fiscal Cost of Trade Liberalization, 1792-2006 税收、发展和贸易自由化的财政成本，1792-2006
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2017-11-01 DOI: 10.2139/ssrn.2117152
Julia Cagé, Lucie Gadenne
{"title":"Tax Revenues, Development, and the Fiscal Cost of Trade Liberalization, 1792-2006","authors":"Julia Cagé, Lucie Gadenne","doi":"10.2139/ssrn.2117152","DOIUrl":"https://doi.org/10.2139/ssrn.2117152","url":null,"abstract":"This paper examines the impact of trade liberalizations on government revenues. Using a new dataset on tax revenues for 130 countries between 1792 and 2006 we find that on average countries were able to recover the tax revenues lost by liberalizing trade by using other sources of revenue. There are however important differences between the experiences of developing countries and that of today's rich countries when they were at a similar state of development. Trade liberalization led to a larger decline in tax revenues in developing countries since 1970 than in rich countries in the 19th and early 20th centuries. Over 40% of the developing countries in our sample experience a fall in total tax revenues that lasts more than ten years after an episode of trade liberalization. Results are similar when we consider government expenditures, suggesting decreases in trade tax revenues negatively affect governments' capacity to provide public services in many developing countries.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114360439","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 37
Chinese Import Competition and Skill Demand in Japanese Manufacturing 中国进口竞争与日本制造业技能需求
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2017-10-01 DOI: 10.2139/ssrn.3056851
N. Yamashita, M. Endoh
{"title":"Chinese Import Competition and Skill Demand in Japanese Manufacturing","authors":"N. Yamashita, M. Endoh","doi":"10.2139/ssrn.3056851","DOIUrl":"https://doi.org/10.2139/ssrn.3056851","url":null,"abstract":"This paper examines the hypothesis that manufacturing industries in Japan that have been exposed to import competition from China experience greater skill upgrading by increasing demand for skilled workers. Using an industry panel dataset over the period 1980–2010, we exploit variations of workers’ skill categories by occupation, paired with information and communication technology (ICT) investment data in the employment share regression. We find that while import competition from China have shifted from labour intensive to more capital-intensive products, this has not resulted in substituting skilled workers in Japanese manufacturing. Rather, it has had the profound positive effect of raising overall demand for skilled workers. Most of the competition effects were felt among production workers, leaving middle-skilled workers largely unaffected.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"95 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116528164","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Estimating Dynamic Panel Models: Backing Out the Nickell Bias 估计动态面板模型:消除镍偏差
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2017-10-01 DOI: 10.1920/WP.CEM.2017.5317
J. Hausman, M. Pinkovskiy
{"title":"Estimating Dynamic Panel Models: Backing Out the Nickell Bias","authors":"J. Hausman, M. Pinkovskiy","doi":"10.1920/WP.CEM.2017.5317","DOIUrl":"https://doi.org/10.1920/WP.CEM.2017.5317","url":null,"abstract":"We propose a new estimator for the dynamic panel model, which solves the failure of strict exogeneity by calculating the bias in the first-order conditions as a function of the autoregressive parameter and solving the resulting equation. The estimator does well in a wide variety of situations where other estimators do not perform well: stationary initial condition, predetermined but not strictly exogenous regressors, and the presence of correlation between the error terms and the fixed effects. We also propose a general method for including predetermined variables infixed-effects panel regressions.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131788447","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
Causal Linkages Among the Product Diversification of Exports, Economic Globalization and Economic Growth 出口产品多样化、经济全球化与经济增长的因果关系
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2017-08-01 DOI: 10.1111/rode.12301
Giray Gozgor, Muhlis Can
{"title":"Causal Linkages Among the Product Diversification of Exports, Economic Globalization and Economic Growth","authors":"Giray Gozgor, Muhlis Can","doi":"10.1111/rode.12301","DOIUrl":"https://doi.org/10.1111/rode.12301","url":null,"abstract":"This paper examines causal relationships between economic globalization, the three indices for product diversification of exports (Theil index, intensive margin and extensive margin) and economic growth in the unbalanced panel data framework in 139 countries over the period 1970–2010. We also consider the subgroup of the countries related to the income levels and run the panel Granger non-causality tests for heterogeneous panels. The empirical results indicate that there is a bidirectional causal relationship between economic globalization and economic growth. There is also a significant causal relationship that runs from all three indices for the diversification of exports to economic growth. After implementing various robustness checks, we observe that diversification of exports and economic globalization are positively related with economic growth merely in the upper middle economies.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121919183","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 85
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