Journal of Econometric Methods最新文献_第3页

Accounting for Endogeneity in Regression Models Using Copulas: A Step-by-Step Guide for Empirical Studies 核算内生性的回归模型使用copula:一步一步的指导经验研究

Journal of Econometric Methods Pub Date : 2021-04-12 DOI: 10.1515/jem-2020-0007

A. Papadopoulos

引用次数: 6

Time on the Market and Probability of Sale Using a Generalized Geometric Hazard Model 基于广义几何风险模型的市场时间和销售概率

Journal of Econometric Methods Pub Date : 2021-04-12 DOI: 10.1515/jem-2020-0017

S. Caudill, Ksenija Bogosavljevic, Ken H. Johnson, F. Mixon

{"title":"Time on the Market and Probability of Sale Using a Generalized Geometric Hazard Model","authors":"S. Caudill, Ksenija Bogosavljevic, Ken H. Johnson, F. Mixon","doi":"10.1515/jem-2020-0017","DOIUrl":"https://doi.org/10.1515/jem-2020-0017","url":null,"abstract":"Abstract This study makes two main contributions to the applied econometrics literature. First, it shows how the all-important marginal effects for time on the market and probability of sale can be obtained from any hazard model. Second, it extends the generalization of the geometric due to Gómez-Déniz, E. 2010. “Another Generalization of the Geometric Distribution.” Test 19: 399–415 to include covariates for use in the estimation of time on the market and probability of sale regressions in real estate, thus creating an entirely new hazard model based on probability of sale rather than time on the market. For the generalized geometric we develop expressions for the marginal effects (with approximate standard errors) for both the probability of sale and time on the market. This formulation allows the impact of changes in independent variables on both the probability of sale and time on the market to be determined from a single regression model. For comparison, we also obtain these two sets of marginal effects for the popular Weibull hazard model. The geometric, generalized geometric, and Weibull hazard models, along with two sets of marginal effects for each, are estimated using data on condominium listings in a metropolitan area in Florida.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"11 1","pages":"1 - 16"},"PeriodicalIF":0.0,"publicationDate":"2021-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/jem-2020-0017","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48401956","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: 1

On the Implementation of Approximate Randomization Tests in Linear Models with a Small Number of Clusters 小簇线性模型中近似随机化检验的实现

Journal of Econometric Methods Pub Date : 2021-02-17 DOI: 10.1515/jem-2021-0030

Y. Cai, Ivan A. Canay, Deborah Kim, A. Shaikh

{"title":"On the Implementation of Approximate Randomization Tests in Linear Models with a Small Number of Clusters","authors":"Y. Cai, Ivan A. Canay, Deborah Kim, A. Shaikh","doi":"10.1515/jem-2021-0030","DOIUrl":"https://doi.org/10.1515/jem-2021-0030","url":null,"abstract":"Abstract This paper provides a user’s guide to the general theory of approximate randomization tests developed in Canay, Romano, and Shaikh (2017a. “Randomization Tests under an Approximate Symmetry Assumption.” Econometrica 85 (3): 1013–30) when specialized to linear regressions with clustered data. An important feature of the methodology is that it applies to settings in which the number of clusters is small – even as small as five. We provide a step-by-step algorithmic description of how to implement the test and construct confidence intervals for the parameter of interest. In doing so, we additionally present three novel results concerning the methodology: we show that the method admits an equivalent implementation based on weighted scores; we show the test and confidence intervals are invariant to whether the test statistic is studentized or not; and we prove convexity of the confidence intervals for scalar parameters. We also articulate the main requirements underlying the test, emphasizing in particular common pitfalls that researchers may encounter. Finally, we illustrate the use of the methodology with two applications that further illuminate these points: one to a linear regression with clustered data based on Meng, Qian, and Yared (2015. “The Institutional Causes of china’s Great Famine, 1959–1961.” The Review of Economic Studies 82 (4): 1568–611) and a second to a linear regression with temporally dependent data based on Munyo and Rossi (2015. “First-day Criminal Recidivism.” Journal of Public Economics 124: 81–90). The companion R and Stata packages facilitate the implementation of the methodology and the replication of the empirical exercises.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"12 1","pages":"85 - 103"},"PeriodicalIF":0.0,"publicationDate":"2021-02-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41905972","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

Frontmatter Frontmatter

Journal of Econometric Methods Pub Date : 2021-01-01 DOI: 10.1515/jem-2021-frontmatter1

引用次数: 0

Identification of Seasonal Effects in Impulse Responses Using Score-Driven Multivariate Location Models 使用分数驱动的多变量定位模型识别脉冲响应中的季节效应

Journal of Econometric Methods Pub Date : 2020-10-29 DOI: 10.1515/jem-2020-0003

Szabolcs Blazsek, A. Escribano, Adrián Licht

{"title":"Identification of Seasonal Effects in Impulse Responses Using Score-Driven Multivariate Location Models","authors":"Szabolcs Blazsek, A. Escribano, Adrián Licht","doi":"10.1515/jem-2020-0003","DOIUrl":"https://doi.org/10.1515/jem-2020-0003","url":null,"abstract":"Abstract For policy decisions, capturing seasonal effects in impulse responses are important for the correct specification of dynamic models that measure interaction effects for policy-relevant macroeconomic variables. In this paper, a new multivariate method is suggested, which uses the score-driven quasi-vector autoregressive (QVAR) model, to capture seasonal effects in impulse response functions (IRFs). The nonlinear QVAR-based method is compared with the existing linear VAR-based method. The following technical aspects of the new method are presented: (i) mathematical formulation of QVAR; (ii) first-order representation and infinite vector moving average, VMA (∞), representation of QVAR; (iii) IRF of QVAR; (iv) statistical inference of QVAR and conditions of consistency and asymptotic normality of the estimates. Control data are used for the period of 1987:Q1 to 2013:Q2, from the following policy-relevant macroeconomic variables: crude oil real price, United States (US) inflation rate, and US real gross domestic product (GDP). A graphical representation of seasonal effects among variables is provided, by using the IRF. According to the estimation results, annual seasonal effects are almost undetected by using the existing linear VAR tool, but those effects are detected by using the new QVAR tool.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"10 1","pages":"53 - 66"},"PeriodicalIF":0.0,"publicationDate":"2020-10-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/jem-2020-0003","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48642646","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: 5

Econometrics Pedagogy and Cloud Computing: Training the Next Generation of Economists and Data Scientists 计量经济学教学法与云计算:培养下一代经济学家和数据科学家

Journal of Econometric Methods Pub Date : 2020-10-16 DOI: 10.1515/jem-2020-0012

Danielle Handel, A. T. Ho, Kim P. Huynh, David T. Jacho-Chávez, Carson H. Rea

引用次数: 1

Identifying Causal Channels of Policy Reforms with Multiple Treatments and Different Types of Selection 多重处理、不同类型选择下政策改革的因果通道

Journal of Econometric Methods Pub Date : 2020-10-11 DOI: 10.1515/jem-2019-0012

Annabelle Doerr, Anthony Strittmatter

{"title":"Identifying Causal Channels of Policy Reforms with Multiple Treatments and Different Types of Selection","authors":"Annabelle Doerr, Anthony Strittmatter","doi":"10.1515/jem-2019-0012","DOIUrl":"https://doi.org/10.1515/jem-2019-0012","url":null,"abstract":"Abstract We study the identification of channels of policy reforms with multiple treatments and different types of selection for each treatment. We disentangle reform effects into policy effects, selection effects, and time effects under the assumption of conditional independence, common trends, and an additional exclusion restriction on the non-treated. Furthermore, we show the identification of direct- and indirect policy effects after imposing additional sequential conditional independence assumptions on mediating variables. We illustrate the approach using the German reform of the allocation system of vocational training for unemployed persons. The reform changed the allocation of training from a mandatory system to a voluntary voucher system. Simultaneously, the selection criteria for participants changed, and the reform altered the composition of course types. We consider the course composition as a mediator of the policy reform. We show that the empirical evidence from previous studies reverses when considering the course composition. This has important implications for policy conclusions.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"10 1","pages":"67 - 88"},"PeriodicalIF":0.0,"publicationDate":"2020-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/jem-2019-0012","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42670116","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: 3

Time–Frequency Regression 时间-频率回归

Journal of Econometric Methods Pub Date : 2020-10-07 DOI: 10.1515/jem-2019-0025

Yoshito Funashima

引用次数: 3

Simple Multivariate Conditional Covariance Dynamics Using Hyperbolically Weighted Moving Averages 使用双曲线加权移动平均线的简单多变量条件协方差动力学

Journal of Econometric Methods Pub Date : 2020-10-07 DOI: 10.1515/jem-2020-0004

H. Kawakatsu

引用次数: 0

Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility 基于消费的资本资产定价模型与波动性的最大熵分析

Journal of Econometric Methods Pub Date : 2020-07-01 DOI: 10.1515/jem-2019-0022

Tae-Hwy Lee, Millie Yi Mao, A. Ullah

引用次数: 1