发布求助
文献互助 智能选刊 最新文献

Journal of Applied Econometrics最新文献

筛选
英文 中文
Optimal multi-action treatment allocation: A two-phase field experiment to boost immigrant naturalization 优化多重行动治疗分配：促进移民入籍的两阶段实地实验
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-09-05 DOI: 10.1002/jae.3092
Achim Ahrens, Alessandra Stampi-Bombelli, Selina Kurer, Dominik Hangartner
{"title":"Optimal multi-action treatment allocation: A two-phase field experiment to boost immigrant naturalization","authors":"Achim Ahrens,&nbsp;Alessandra Stampi-Bombelli,&nbsp;Selina Kurer,&nbsp;Dominik Hangartner","doi":"10.1002/jae.3092","DOIUrl":"10.1002/jae.3092","url":null,"abstract":"<p>Research underscores the role of naturalization in enhancing immigrants' socio-economic integration, yet application rates remain low. We estimate a policy rule for a letter-based information campaign encouraging newly eligible immigrants in Zurich, Switzerland, to naturalize. The policy rule assigns one out of three treatment letters to each individual, based on their observed characteristics. We field the policy rule to one-half of 1717 immigrants, while sending random treatment letters to the other half. Despite only moderate treatment effect heterogeneity, the policy tree yields a larger, albeit insignificant, increase in application rates compared with assigning the same letter to everyone.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 7","pages":"1379-1395"},"PeriodicalIF":2.3,"publicationDate":"2024-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3092","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142211624","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
Heterogeneous autoregressions in short T panel data models 短 T 面板数据模型中的异质自回归
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-08-09 DOI: 10.1002/jae.3085
M. Hashem Pesaran, Liying Yang
{"title":"Heterogeneous autoregressions in short \u0000\u0000 \u0000 T\u0000 panel data models","authors":"M. Hashem Pesaran,&nbsp;Liying Yang","doi":"10.1002/jae.3085","DOIUrl":"10.1002/jae.3085","url":null,"abstract":"<p>This paper considers a first-order autoregressive (AR) panel data model with individual-specific effects and heterogeneous AR coefficients defined on the interval \u0000<span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mo>(</mo>\u0000 <mo>−</mo>\u0000 <mn>1,1</mn>\u0000 <mo>]</mo>\u0000 </mrow>\u0000 <annotation>$$ left(-1,1right] $$</annotation>\u0000 </semantics></math>, thus allowing for some of the individual processes to have unit roots. It proposes estimators for the moments of the cross-sectional distribution of the AR coefficients, assuming a random coefficient model for the AR coefficients without imposing any restrictions on the fixed effects. It is shown that the standard generalized method of moments estimators obtained under homogeneous slopes are biased. Small sample properties of the proposed estimators are investigated by Monte Carlo experiments and compared with a number of alternatives, both under homogeneous and heterogeneous slopes. It is found that a simple moment estimator of the mean of heterogeneous AR coefficients performs very well even for moderate sample sizes, but to reliably estimate the variance of AR coefficients, much larger samples are required. It is also required that the true value of this variance is not too close to zero. The utility of the heterogeneous approach is illustrated in the context of earnings dynamics.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 7","pages":"1359-1378"},"PeriodicalIF":2.3,"publicationDate":"2024-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3085","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141922413","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
Panel treatment effects measurement: Factor or linear projection modelling? 小组治疗效果测量：因子模型还是线性预测模型？
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-08-09 DOI: 10.1002/jae.3081
Cheng Hsiao, Qiankun Zhou
{"title":"Panel treatment effects measurement: Factor or linear projection modelling?","authors":"Cheng Hsiao,&nbsp;Qiankun Zhou","doi":"10.1002/jae.3081","DOIUrl":"10.1002/jae.3081","url":null,"abstract":"<div>\u0000 \u0000 <p>We discuss methods of measuring the treatment effects of a unit through the use of other units in panel data by either the factor-based (FB) approach or the linear projection (LP) approach under different sample configurations of cross-sectional dimension \u0000<span></span><math>\u0000 <mi>N</mi></math> and time series dimension \u0000<span></span><math>\u0000 <mi>T</mi></math>. We show that the LP approach in general yields smaller mean square prediction error than the FB approach when either both \u0000<span></span><math>\u0000 <mi>N</mi></math> and \u0000<span></span><math>\u0000 <mi>T</mi></math> are large or \u0000<span></span><math>\u0000 <mi>N</mi></math> fixed and \u0000<span></span><math>\u0000 <mi>T</mi>\u0000 <mo>→</mo>\u0000 <mi>∞</mi></math> or \u0000<span></span><math>\u0000 <mi>T</mi></math> fixed and \u0000<span></span><math>\u0000 <mi>N</mi></math> large. The Monte Carlo simulation and empirical example are also conducted to consider their finite sample performances.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 7","pages":"1332-1358"},"PeriodicalIF":2.3,"publicationDate":"2024-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141922658","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
The benefits of forecasting inflation with machine learning: New evidence 用机器学习预测通货膨胀的好处：新证据
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-08-08 DOI: 10.1002/jae.3088
Andrea A. Naghi, Eoghan O'Neill, Martina Danielova Zaharieva
{"title":"The benefits of forecasting inflation with machine learning: New evidence","authors":"Andrea A. Naghi,&nbsp;Eoghan O'Neill,&nbsp;Martina Danielova Zaharieva","doi":"10.1002/jae.3088","DOIUrl":"10.1002/jae.3088","url":null,"abstract":"<p>Medeiros et al. (2021) (Journal of Business &amp; Economic Statistics, 39:1, 98–119) find that random forest (RF) outperforms US inflation forecasting benchmarks. We replicate the main results in Medeiros et al. (2021) and (1) considerably expand the set of machine learning methods, (2) analyse the predictive ability of both the initial and extended sets of methods on Canadian and UK data, (3) add results on coverage rates and widths of prediction intervals and (4) extend the sample from January 2016 to October 2022. Our narrow replication confirms the main findings of the original paper. However, the wider replication results suggest that other methods are competitive with RF and often more accurate. In addition, RF produces disappointing results during the coronavirus pandemic and subsequent high inflation of 2020–2022, whereas a stochastic volatility model and some gradient boosting methods produce more accurate forecasts.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 7","pages":"1321-1331"},"PeriodicalIF":2.3,"publicationDate":"2024-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3088","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141926535","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
Fast and order-invariant inference in Bayesian VARs with nonparametric shocks 具有非参数冲击的贝叶斯 VAR 中的快速有序不变推理
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-08-07 DOI: 10.1002/jae.3087
Florian Huber, Gary Koop
{"title":"Fast and order-invariant inference in Bayesian VARs with nonparametric shocks","authors":"Florian Huber,&nbsp;Gary Koop","doi":"10.1002/jae.3087","DOIUrl":"10.1002/jae.3087","url":null,"abstract":"<p>The shocks that hit macroeconomic models such as Vector Autoregressions (VARs) have the potential to be non-Gaussian, exhibiting asymmetries and fat tails. This consideration motivates the VAR developed in this paper that uses a Dirichlet process mixture (DPM) to model the reduced-form shocks. However, we do not follow the obvious strategy of simply modeling the VAR errors with a DPM as this would lead to computationally infeasible Bayesian inference in larger VARs and potentially a sensitivity to the way the variables are ordered in the VAR. Instead, we develop a particular additive error structure inspired by Bayesian nonparametric treatments of random effects in panel data models. We show that this leads to a model that allows for computationally fast and order-invariant inference in large VARs with nonparametric shocks. Our empirical results with nonparametric VARs of various dimensions show that nonparametric treatment of the VAR errors often improves forecast accuracy and can be used to analyze the changing transmission of US monetary policy.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 7","pages":"1301-1320"},"PeriodicalIF":2.3,"publicationDate":"2024-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3087","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141944526","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
Structural breaks and GARCH models of exchange rate volatility: Re-examination and extension 汇率波动的结构性中断和 GARCH 模型：重新审视和扩展
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-08-06 DOI: 10.1002/jae.3091
Akram Shavkatovich Hasanov, Robert Brooks, Sirojiddin Abrorov, Aktam Usmanovich Burkhanov
{"title":"Structural breaks and GARCH models of exchange rate volatility: Re-examination and extension","authors":"Akram Shavkatovich Hasanov,&nbsp;Robert Brooks,&nbsp;Sirojiddin Abrorov,&nbsp;Aktam Usmanovich Burkhanov","doi":"10.1002/jae.3091","DOIUrl":"10.1002/jae.3091","url":null,"abstract":"<p>We examine the empirical significance of structural changes concerning generalized autoregressive conditional heteroskedasticity (GARCH) models of exchange rate volatility using out-of-sample tests by replicating and carrying out robustness checks on the volatility forecasting study by Rapach and Strauss (Journal of Applied Econometrics, 2008; 23, 65–90). We employ the same econometric models but incorporate recent US dollar daily exchange rates data while also using different software, a relatively recent forecast accuracy test and loss metrics. Our objective is to attain scientific replication in a broad sense. Our analysis verifies and broadly aligns with the results obtained in the original study. In particular, we find strong evidence that the models incorporating structural breaks demonstrate superior performance across all loss functions and forecast horizons compared with those models that ignore instabilities.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 7","pages":"1403-1407"},"PeriodicalIF":2.3,"publicationDate":"2024-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3091","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141944541","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
Sudden stop: Supply and demand shocks in the German natural gas market 急刹车：德国天然气市场的供需冲击
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-07-31 DOI: 10.1002/jae.3089
Jochen Güntner, Magnus Reif, Maik Wolters
{"title":"Sudden stop: Supply and demand shocks in the German natural gas market","authors":"Jochen Güntner,&nbsp;Magnus Reif,&nbsp;Maik Wolters","doi":"10.1002/jae.3089","DOIUrl":"10.1002/jae.3089","url":null,"abstract":"<p>We use a structural vector autoregressive (SVAR) model to study the German natural gas market and investigate the impact of the 2022 Russian supply stop on the German economy. Combining conventional and narrative sign restrictions, we find that gas supply and demand shocks have large and persistent price effects, while output effects tend to be moderate. The 2022 natural gas price spike was driven by adverse supply shocks and positive storage demand shocks, as Germany filled its inventories before the winter. Counterfactual simulations of an embargo on natural gas imports from Russia indicate similar positive price and negative output effects compared with what we observe in the data.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 7","pages":"1282-1300"},"PeriodicalIF":2.3,"publicationDate":"2024-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3089","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141866628","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
The boosted Hodrick-Prescott filter is more general than you might think 增强型霍德里克-普雷斯科特滤波器比你想象的更通用
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-07-30 DOI: 10.1002/jae.3086
Ziwei Mei, Peter C. B. Phillips, Zhentao Shi
{"title":"The boosted Hodrick-Prescott filter is more general than you might think","authors":"Ziwei Mei,&nbsp;Peter C. B. Phillips,&nbsp;Zhentao Shi","doi":"10.1002/jae.3086","DOIUrl":"10.1002/jae.3086","url":null,"abstract":"<p>The global financial crisis and Covid-19 recession have renewed discussion concerning trend-cycle discovery in macroeconomic data, and boosting has recently upgraded the popular Hodrick-Prescott filter to a modern machine learning device suited to data-rich and rapid computational environments. This paper extends boosting's trend determination capability to higher order integrated processes and time series with roots that are local to unity. The theory is established by understanding the asymptotic effect of boosting on a simple exponential function. Given a universe of time series in FRED databases that exhibit various dynamic patterns, boosting timely captures downturns at crises and recoveries that follow.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 7","pages":"1260-1281"},"PeriodicalIF":2.3,"publicationDate":"2024-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3086","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141866630","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
Medical marijuana legalization and parenting behaviors: An analysis of the time use of parents 医用大麻合法化与养育行为：对父母使用时间的分析
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-07-14 DOI: 10.1002/jae.3084
Cynthia Bansak, Jun Hyung Kim
{"title":"Medical marijuana legalization and parenting behaviors: An analysis of the time use of parents","authors":"Cynthia Bansak,&nbsp;Jun Hyung Kim","doi":"10.1002/jae.3084","DOIUrl":"10.1002/jae.3084","url":null,"abstract":"<div>\u0000 \u0000 <p>Can access to medical marijuana improve parenting? We examine the consequences of state-level medical marijuana legalization (MML) on parents' time use. Medical marijuana may increase parenting time by improving parents' health but only if parents do not abuse marijuana. We find that MML increases parenting time, with bigger impacts for those less likely to abuse marijuana. The effects correspond to 12.56% of the gap in active childcare and 8.92% of the gap in passive childcare by parents' education level. MML also reduces inactive time and increases sleep, consistent with medical marijuana's health benefits.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 7","pages":"1245-1259"},"PeriodicalIF":2.3,"publicationDate":"2024-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141649640","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
The effect of plough agriculture on gender roles: A machine learning approach 犁耕农业对性别角色的影响：机器学习方法
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-07-09 DOI: 10.1002/jae.3083
Anna Baiardi, Andrea A. Naghi
{"title":"The effect of plough agriculture on gender roles: A machine learning approach","authors":"Anna Baiardi,&nbsp;Andrea A. Naghi","doi":"10.1002/jae.3083","DOIUrl":"10.1002/jae.3083","url":null,"abstract":"<p>This paper undertakes a replication in a wide sense of a recent study that examines the relationship between historical plough agriculture and current gender roles. We revisit the main research question with recently developed causal machine learning methods, which allow researchers to model the relationship of covariates with the treatment and the outcomes in a more flexible way, while also including interactions and nonlinearities that were not considered in the original analysis. Our results suggest an even larger negative effect of the historical plough adoption on female labor force participation than what the original analysis found. The paper highlights the benefits of using causal machine learning methods in applied empirical economics.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 7","pages":"1396-1402"},"PeriodicalIF":2.3,"publicationDate":"2024-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3083","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141584917","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
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