发布求助
文献互助 智能选刊 最新文献

Journal of Econometric Methods最新文献

筛选
英文 中文
Uniformity and the Delta Method 均匀性和Delta法
Journal of Econometric Methods Pub Date : 2015-07-21 DOI: 10.1515/JEM-2018-0001
Maximilian Kasy
{"title":"Uniformity and the Delta Method","authors":"Maximilian Kasy","doi":"10.1515/JEM-2018-0001","DOIUrl":"https://doi.org/10.1515/JEM-2018-0001","url":null,"abstract":"Abstract When are asymptotic approximations using the delta-method uniformly valid? We provide sufficient conditions as well as closely related necessary conditions for uniform negligibility of the remainder of such approximations. These conditions are easily verified by empirical practitioners and permit to identify settings and parameter regions where pointwise asymptotic approximations perform poorly. Our framework allows for a unified and transparent discussion of uniformity issues in various sub-fields of statistics and econometrics. Our conditions involve uniform bounds on the remainder of a first-order approximation for the function of interest.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"8 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2015-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/JEM-2018-0001","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66939366","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: 29
Intercept Homogeneity Test for Fixed Effect Models under Cross-sectional Dependence: Some Insights 横截面依赖下固定效应模型的截距齐性检验:一些见解
Journal of Econometric Methods Pub Date : 2015-03-09 DOI: 10.1515/jem-2015-0004
G. Basak, Samarjit Das
{"title":"Intercept Homogeneity Test for Fixed Effect Models under Cross-sectional Dependence: Some Insights","authors":"G. Basak, Samarjit Das","doi":"10.1515/jem-2015-0004","DOIUrl":"https://doi.org/10.1515/jem-2015-0004","url":null,"abstract":"Abstract This paper develops a test for intercept homogeneity in fixed-effects one-way error component models assuming slope homogeneity. We show that the proposed test works equally well when intercepts are assumed to be either fixed (non-stochastic) or random. Moreover, this test can also be used to test for random effect vs. fixed effect although in the restrictive sense. The test is shown to be robust to cross-sectional dependence; for both weak and strong dependence. The proposed test is shown to have a standard χ2 limiting distribution and is free from nuisance parameters under the null hypothesis. Monte Carlo simulations also show that the proposed test delivers more accurate finite sample sizes than existing tests for various combinations of N and T. Simulation study shows that F-test is either over-sized or under-sized depending on the pattern of cross-sectional dependence. The performance of Hausman test (1978), on the other hand, is quite unstable across various DGPs; and empirical size varies from 0% to the nominal sizes depending on the structure of error variance-covariance matrix. The power of the proposed test outperforms the other two tests. It is worthwhile to mention that the power of our proposed test increases with T in contrast to that of Hausman test which is known to have no power as T→∞. An empirical illustration to examine the Kuznets’ U curve hypothesis with balanced panel data of Indian states is also provided. This empirical illustration points out the efficacy and the necessity of our robust test.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"6 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2015-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/jem-2015-0004","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66939440","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: 6
Root-n Consistent Kernel Density Estimation in Practice 实用的根n一致核密度估计
Journal of Econometric Methods Pub Date : 2015-01-01 DOI: 10.1515/jem-2014-0010
D. Henderson, Christopher F. Parmeter
{"title":"Root-n Consistent Kernel Density Estimation in Practice","authors":"D. Henderson, Christopher F. Parmeter","doi":"10.1515/jem-2014-0010","DOIUrl":"https://doi.org/10.1515/jem-2014-0010","url":null,"abstract":"Abstract This paper details implementation of the recently proposed root-n kernel density estimator of (Escanciano, J. C., and D. T. Jacho-Chávez. 2012. “ n $sqrt n $ -uniformly consistent density estimation in nonparametric regression models.” Journal of Econometrics 167: 305–316.) that circumvents the slow rate of convergence of traditional nonparametric kernel density estimators. We discuss implementation issues such as bandwidth selection and controlling for heteroskedasticity. Two empirical examples are provided; we re-examine the classic study of the emerging multimodality of the cross-country distribution of income per capita, finding more local structure with this new method, and we study the distribution of lean body mass across gender, where we demonstrate robustness of the new methods to alternative bandwidth selection mechanisms.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"6 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2015-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/jem-2014-0010","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66939266","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
Quantile Regression with Clustered Data 聚类数据的分位数回归
Journal of Econometric Methods Pub Date : 2015-01-01 DOI: 10.1515/jem-2014-0011
Paulo M. D. C. Parente, J. S. Santos Silva
{"title":"Quantile Regression with Clustered Data","authors":"Paulo M. D. C. Parente, J. S. Santos Silva","doi":"10.1515/jem-2014-0011","DOIUrl":"https://doi.org/10.1515/jem-2014-0011","url":null,"abstract":"Abstract We study the properties of the quantile regression estimator when data are sampled from independent and identically distributed clusters, and show that the estimator is consistent and asymptotically normal even when there is intra-cluster correlation. A consistent estimator of the covariance matrix of the asymptotic distribution is provided, and we propose a specification test capable of detecting the presence of intra-cluster correlation. A small simulation study illustrates the finite sample performance of the test and of the covariance matrix estimator.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"5 1","pages":"1 - 15"},"PeriodicalIF":0.0,"publicationDate":"2015-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/jem-2014-0011","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66939277","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: 222
Selection of an Estimation Window in the Presence of Data Revisions and Recent Structural Breaks 在数据修订和最近的结构断裂存在的估计窗口的选择
Journal of Econometric Methods Pub Date : 2015-01-01 DOI: 10.1515/jem-2015-0021
Jari Hännikäinen
{"title":"Selection of an Estimation Window in the Presence of Data Revisions and Recent Structural Breaks","authors":"Jari Hännikäinen","doi":"10.1515/jem-2015-0021","DOIUrl":"https://doi.org/10.1515/jem-2015-0021","url":null,"abstract":"Abstract In this paper, we analyze the forecasting performance of a set of widely used window selection methods in the presence of data revisions and recent structural breaks. Our Monte Carlo and empirical results for U.S. real GDP and inflation show that the expanding window estimator often yields the most accurate forecasts after a recent break. It performs well regardless of whether the revisions are news or noise, or whether we forecast first-release or final values. We find that the differences in the forecasting accuracy are large in practice, especially when we forecast inflation after the break of the early 1980s.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"6 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2015-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/jem-2015-0021","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66939260","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: 2
Teaching Nonparametric Econometrics to Undergraduates 大学生非参数计量经济学教学
Journal of Econometric Methods Pub Date : 2015-01-01 DOI: 10.1515/jem-2015-0007
D. Henderson, Christopher F. Parmeter
{"title":"Teaching Nonparametric Econometrics to Undergraduates","authors":"D. Henderson, Christopher F. Parmeter","doi":"10.1515/jem-2015-0007","DOIUrl":"https://doi.org/10.1515/jem-2015-0007","url":null,"abstract":"Abstract Given the popularity of nonparametric methods in applied econometric research, it is beneficial if students have exposure to these methods. We provide a simple, heuristic overview that can be used to discuss smoothing and nonparametric density and regression estimation suitable for an undergraduate econometrics class. We make connections to existing methods known to students (e.g. weighted least-squares through the idea of local weighting) which allows easy access to these methods. Examples are given as well as a discussion of available methods across an array of statistical software to fit the needs of educators.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"5 1","pages":"179 - 193"},"PeriodicalIF":0.0,"publicationDate":"2015-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/jem-2015-0007","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66939604","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
Model Uncertainty and Model Averaging in Regression Discontinuity Designs 回归不连续设计中的模型不确定性和模型平均
Journal of Econometric Methods Pub Date : 2015-01-01 DOI: 10.1515/jem-2014-0016
Patrick Button
{"title":"Model Uncertainty and Model Averaging in Regression Discontinuity Designs","authors":"Patrick Button","doi":"10.1515/jem-2014-0016","DOIUrl":"https://doi.org/10.1515/jem-2014-0016","url":null,"abstract":"Abstract Parametric (polynomial) models are popular in research employing regression discontinuity designs and are required when data are discrete. However, researchers often choose a parametric model based on data inspection or pretesting. These approaches lead to standard errors and confidence intervals that are too small because they do not incorporate model uncertainty. I propose using Frequentist model averaging to incorporate model uncertainty into parametric models. My Monte Carlo experiments show that Frequentist model averaging leads to mean square error and coverage probability improvements over pretesting. An application to [Lee, D. S. 2008. “Randomized Experiments From Non-Random Selection in US House Elections.” Journal of Econometrics 142 (2): 675–697.] shows how this approach works in practice, and how conventionally selected models may not be ideal.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"5 1","pages":"103 - 116"},"PeriodicalIF":0.0,"publicationDate":"2015-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/jem-2014-0016","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66939288","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: 2
Regression Discontinuity with Errors in the Running Variable: Effect on Truthful Margin 运行变量误差的回归不连续:对真实边际的影响
Journal of Econometric Methods Pub Date : 2015-01-01 DOI: 10.1515/jem-2015-0017
Myoung‐jae Lee
{"title":"Regression Discontinuity with Errors in the Running Variable: Effect on Truthful Margin","authors":"Myoung‐jae Lee","doi":"10.1515/jem-2015-0017","DOIUrl":"https://doi.org/10.1515/jem-2015-0017","url":null,"abstract":"Abstract In regression discontinuity (RD) with a running variable S crossing a known cutoff c, an unexpectedly small break magnitude is due to S being a mis-measured version of the genuine running variable G. Has all been lost, and is RD useless when G≠S? This paper proves three things. First, when P(G=S)=0, nonparametric RD identification fails. Second, when P(G=S)>0, although the usual RD effect on the margin E(·|G=c) is not nonparametrically identified, the “effect on the truthful margin” E(·|G=S=c) is. Third, under a no-selection-problem assumption, the effect on the truthful margin becomes the effect on the margin; the no-selection-problem assumption is unnecessary, as long as the effect on the truthful margin is taken as a parameter of interest.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"6 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2015-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/jem-2015-0017","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66939251","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: 7
An Algorithm to Estimate the Two-Way Fixed Effects Model 一种估计双向固定效应模型的算法
Journal of Econometric Methods Pub Date : 2015-01-01 DOI: 10.1515/jem-2014-0008
Paulo Somaini, F. Wolak
{"title":"An Algorithm to Estimate the Two-Way Fixed Effects Model","authors":"Paulo Somaini, F. Wolak","doi":"10.1515/jem-2014-0008","DOIUrl":"https://doi.org/10.1515/jem-2014-0008","url":null,"abstract":"Abstract We present an algorithm to estimate the two-way fixed effect linear model. The algorithm relies on the Frisch-Waugh-Lovell theorem and applies to ordinary least squares (OLS), two-stage least squares (TSLS) and generalized method of moments (GMM) estimators. The coefficients of interest are computed using the residuals from the projection of all variables on the two sets of fixed effects. Our algorithm has three desirable features. First, it manages memory and computational resources efficiently which speeds up the computation of the estimates. Second, it allows the researcher to estimate multiple specifications using the same set of fixed effects at a very low computational cost. Third, the asymptotic variance of the parameters of interest can be consistently estimated using standard routines on the residualized data.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"5 1","pages":"143 - 152"},"PeriodicalIF":0.0,"publicationDate":"2015-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/jem-2014-0008","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66939238","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: 20
Additive Nonparametric Instrumental Regressions: A Guide to Implementation 加性非参数工具回归:实施指南
Journal of Econometric Methods Pub Date : 2015-01-01 DOI: 10.1515/jem-2015-0010
S. Centorrino, F. Fève, J. Florens
{"title":"Additive Nonparametric Instrumental Regressions: A Guide to Implementation","authors":"S. Centorrino, F. Fève, J. Florens","doi":"10.1515/jem-2015-0010","DOIUrl":"https://doi.org/10.1515/jem-2015-0010","url":null,"abstract":"Abstract We present a review on the implementation of regularization methods for the estimation of additive nonparametric regression models with instrumental variables. We consider various versions of Tikhonov, Landweber-Fridman and Sieve (Petrov-Galerkin) regularization. We review data-driven techniques for the sequential choice of the smoothing and the regularization parameters. Through Monte Carlo simulations, we discuss the finite sample properties of each regularization method for different smoothness properties of the regression function. Finally, we present an application to the estimation of the Engel curve for food in a sample of rural households in Pakistan, where a partially linear specification is described that allows one to embed other exogenous covariates.","PeriodicalId":36727,"journal":{"name":"Journal of Econometric Methods","volume":"6 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2015-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/jem-2015-0010","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66939658","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: 25
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信