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Imperfect Synthetic Controls 不完善的合成控制。
IF 3.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-04-05 Epub Date: 2026-01-14 DOI: 10.1002/jae.70035
David Powell
{"title":"Imperfect Synthetic Controls","authors":"David Powell","doi":"10.1002/jae.70035","DOIUrl":"10.1002/jae.70035","url":null,"abstract":"<p>The synthetic control method assumes the existence of a perfect synthetic control, which cannot exist if the outcomes are functions of transitory shocks with nonzero asymptotic variance and may not exist even in expectation for the treated unit. This paper first shows the benefits of estimating synthetic controls for all units. If the treated unit composes part of the synthetic control for any untreated unit, the treatment effect is independently identified by the synthetic outcome minus the outcome of the untreated unit in the post-treatment period (divided by the synthetic control weight on the treated unit outcome). This paper introduces an estimator which generates synthetic controls for all units and develops moment conditions which are valid given transitory shocks. I also introduce a weighting metric which asymptotically excludes units without appropriate synthetic controls. The paper exploits the estimator's construction of multiple estimates of the treatment effect to produce valid inference even when the number of control units is small. The estimator is used to evaluate the repeal of Wisconsin's handgun purchase waiting period on suicide rates.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 3","pages":"253-264"},"PeriodicalIF":3.1,"publicationDate":"2026-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC12843250/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146094533","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
Joint Estimation and Bandwidth Selection in Partially Parametric Models 部分参数模型的联合估计和带宽选择
IF 3.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-04-05 Epub Date: 2026-01-08 DOI: 10.1002/jae.70034
Daniel J. Henderson, Nadine McCloud, Christopher F. Parmeter
{"title":"Joint Estimation and Bandwidth Selection in Partially Parametric Models","authors":"Daniel J. Henderson,&nbsp;Nadine McCloud,&nbsp;Christopher F. Parmeter","doi":"10.1002/jae.70034","DOIUrl":"https://doi.org/10.1002/jae.70034","url":null,"abstract":"<p>We propose a single-step approach to estimating a model with both a known nonlinear parametric component and an unknown nonparametric component. We study the large sample behavior of a simultaneous optimization routine that estimates both the parameter vector of the parametric component and the bandwidth vector used to smooth the unknown function. In our application, we estimate a partially constant elasticity of substitution production function and uncover results that are relevant for policy-driven conclusions stemming from macroeconomic theory. An attempt to make the parametric component linear in parameters leads to parameter estimates that are economically infeasible, showing the need for our approach in practice.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 3","pages":"227-239"},"PeriodicalIF":3.1,"publicationDate":"2026-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.70034","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147686856","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
From Reactive to Proactive Volatility Modeling With Hemisphere Neural Networks 从被动波动到主动波动的半球神经网络建模
IF 3.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-04-05 Epub Date: 2026-01-14 DOI: 10.1002/jae.70042
Philippe Goulet Coulombe, Mikael Frenette, Karin Klieber
{"title":"From Reactive to Proactive Volatility Modeling With Hemisphere Neural Networks","authors":"Philippe Goulet Coulombe,&nbsp;Mikael Frenette,&nbsp;Karin Klieber","doi":"10.1002/jae.70042","DOIUrl":"https://doi.org/10.1002/jae.70042","url":null,"abstract":"<p>We revisit maximum likelihood estimation (MLE) for macroeconomic density forecasting through a novel neural network architecture with dedicated mean and variance hemispheres. Our architecture features several key ingredients making MLE work in this context. First, the hemispheres share a common core at the entrance of the network, which accommodates various forms of time variation in the error variance. Second, we introduce a volatility emphasis constraint that breaks mean/variance indeterminacy in this class of overparametrized nonlinear models. Third, we conduct a blocked out-of-bag reality check to curb overfitting in both conditional moments. Fourth, the algorithm utilizes standard deep learning software and thus handles large data sets-both computationally and statistically. Ergo, our hemisphere neural network (HNN) provides proactive volatility forecasts based on leading indicators when it can, and reactive volatility based on the magnitude of previous prediction errors when it must. We evaluate point and density forecasts with an extensive out-of-sample experiment and benchmark against a suite of models ranging from classics to more modern machine learning-based offerings. In all cases, HNN fares well by consistently providing accurate mean/variance forecasts for all targets and horizons. Studying the resulting volatility paths reveals its versatility, while probabilistic forecasting evaluation metrics showcase its enviable reliability. Finally, we also demonstrate how this machinery can be merged with other structured deep learning models by revisiting Goulet Coulombe (2025)'s neural Phillips curve.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 3","pages":"265-279"},"PeriodicalIF":3.1,"publicationDate":"2026-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.70042","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147685978","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
Count Data Models With Heterogeneous Peer Effects Under Rational Expectations 理性预期下具有异质同伴效应的计数数据模型
IF 3.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-04-05 Epub Date: 2026-02-04 DOI: 10.1002/jae.70045
Aristide Houndetoungan
{"title":"Count Data Models With Heterogeneous Peer Effects Under Rational Expectations","authors":"Aristide Houndetoungan","doi":"10.1002/jae.70045","DOIUrl":"https://doi.org/10.1002/jae.70045","url":null,"abstract":"<p>This paper develops a peer effect model for count responses under rational expectations. The model accounts for heterogeneity in peer effects across groups based on observed characteristics. Identification is based on the linear model condition that requires the presence of friends of friends who are not direct friends. I show that this identification condition extends to a broad class of nonlinear models. Parameters are estimated using a nested pseudo-likelihood approach. An empirical application to students' extracurricular participation reveals that females are more responsive to peers than males. An easy-to-use R package, CDatanet, is available for implementing the model.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 3","pages":"295-309"},"PeriodicalIF":3.1,"publicationDate":"2026-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.70045","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147686853","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
Beyond Truth-Telling: A Replication Study on School Choice 超越真相：择校的复制研究
IF 3.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-04-05 Epub Date: 2026-01-08 DOI: 10.1002/jae.70038
Tommy Andersson, Dany Kessel, Nils Lager, Elisabet Olme, Simon Reese
{"title":"Beyond Truth-Telling: A Replication Study on School Choice","authors":"Tommy Andersson,&nbsp;Dany Kessel,&nbsp;Nils Lager,&nbsp;Elisabet Olme,&nbsp;Simon Reese","doi":"10.1002/jae.70038","DOIUrl":"https://doi.org/10.1002/jae.70038","url":null,"abstract":"<p>In a recent paper, Fack et al. (2019, American Economic Review) convincingly argue and theoretically demonstrate that there may be strong incentives for students to play non-truth-telling strategies when reporting preferences over schools, even when the celebrated deferred acceptance algorithm is employed. Their statistical test also rejects the (weak) truth-telling assumption in favour of another assumption, called stability, using a single data set on school choice in Paris. This paper uses Swedish school choice data and replicates their empirical finding in 45 of the 57 investigated data sets (<span></span><math>\u0000 <mrow>\u0000 <mi>p</mi>\u0000 </mrow></math> value threshold 0.05).</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 3","pages":"323-329"},"PeriodicalIF":3.1,"publicationDate":"2026-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.70038","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147686886","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
A Consistent Heteroskedasticity-Robust LM-Type Specification Test for Semiparametric Models 半参数模型的一致异方差-鲁棒性lm型规格检验
IF 3.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-04-05 Epub Date: 2026-01-10 DOI: 10.1002/jae.70039
Ivan Korolev
{"title":"A Consistent Heteroskedasticity-Robust LM-Type Specification Test for Semiparametric Models","authors":"Ivan Korolev","doi":"10.1002/jae.70039","DOIUrl":"https://doi.org/10.1002/jae.70039","url":null,"abstract":"<p>This article develops a heteroskedasticity-robust Lagrange Multiplier-type specification test for semiparametric regression models. The test is able to detect a wide class of deviations from the null hypothesis. The test statistic is based on the estimates from the restricted semiparametric model, can be computed in a regression-based way, and is asymptotically standard normal under the null. I apply the test to Environmental Engel Curves and find that while the relationship between income and emissions may be quadratic, its shape changes with other variables in the model. Monte Carlo studies suggest that my test controls size well, has good power, and is fairly robust to the tuning parameter choice.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 3","pages":"240-252"},"PeriodicalIF":3.1,"publicationDate":"2026-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.70039","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147686938","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
Spatial Polarization. A Replication Study of Cerina et al. (The Economic Journal, 2023) 空间极化。Cerina等人的复制研究（The Economic Journal, 2023）
IF 3.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-04-05 Epub Date: 2026-01-22 DOI: 10.1002/jae.70036
Noah Arman Kouchekinia, Cong Xu, Ryan McWay
{"title":"Spatial Polarization. A Replication Study of Cerina et al. (The Economic Journal, 2023)","authors":"Noah Arman Kouchekinia,&nbsp;Cong Xu,&nbsp;Ryan McWay","doi":"10.1002/jae.70036","DOIUrl":"https://doi.org/10.1002/jae.70036","url":null,"abstract":"<div>\u0000 \u0000 <p>Cerina et al. (2023) affirm greater polarization of occupations between high- and low-skilled labor in large cities relative to small cities. The authors attribute differential rates of employment growth by occupation types to skill-biased technological change alongside consumption spillovers. They find a smaller role for differential total factor productivity gains in tradable sectors and extreme-skill complementarity in production. We computationally reproduce their results, reconstruct the authors' data cleaning and harmonization procedures, and test the broader replicability of the results. We find the results support for the internal validity of Cerina et al. (2023)'s results and broaden the external validity of the analysis.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 3","pages":"330-337"},"PeriodicalIF":3.1,"publicationDate":"2026-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147686128","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
Production Function Estimation With Resource Misallocation 考虑资源错配的生产函数估计
IF 3.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-04-05 Epub Date: 2026-01-21 DOI: 10.1002/jae.70043
Shigang Li, Jiawei Mo
{"title":"Production Function Estimation With Resource Misallocation","authors":"Shigang Li,&nbsp;Jiawei Mo","doi":"10.1002/jae.70043","DOIUrl":"https://doi.org/10.1002/jae.70043","url":null,"abstract":"<div>\u0000 \u0000 <p>We show that the proxy variable method fails to yield consistent estimates of production function coefficients in the presence of resource misallocation. This failure arises because unobserved firm-specific distortions violate the assumptions of scalar unobservability and strict monotonicity. We propose a novel identification strategy that does not rely on these assumptions. Our method is robust to various distortions and production function specifications, and can be extended to accommodate serial correlation in unexpected productivity shocks. Monte Carlo experiments confirm the efficacy of our approach in consistently estimating production function coefficients under resource misallocation. Using a large panel of Chinese manufacturing firms—and employing the share of state-owned firms as a proxy for industry-level resource misallocation—we find that estimates obtained via the proxy variable method more closely align with those from our proposed approach when resource misallocation is reduced.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 3","pages":"280-294"},"PeriodicalIF":3.1,"publicationDate":"2026-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147686328","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 Conventional Impulse Response Prior in VAR Models With Sign Restrictions 带符号约束VAR模型的常规脉冲响应先验
IF 3.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-04-05 Epub Date: 2026-02-12 DOI: 10.1002/jae.70037
Atsushi Inoue, Lutz Kilian
{"title":"The Conventional Impulse Response Prior in VAR Models With Sign Restrictions","authors":"Atsushi Inoue,&nbsp;Lutz Kilian","doi":"10.1002/jae.70037","DOIUrl":"https://doi.org/10.1002/jae.70037","url":null,"abstract":"<div>\u0000 \u0000 <p>Some studies have expressed concern that the Gaussian-inverse Wishart–Haar prior typically employed in estimating sign-identified VAR models may be unintentionally informative about the prior for the structural responses. We discuss what features to look for in this prior in the absence of specific prior information about the responses, building on the notion of weakly informative priors in Gelman et al. (2013), and in the presence of such information. Empirical examples illustrate that the Gaussian-inverse Wishart–Haar prior need not be unintentionally informative. Even when it is, there are empirically verifiable conditions under which this fact becomes immaterial for the substantive conclusions.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 3","pages":"310-322"},"PeriodicalIF":3.1,"publicationDate":"2026-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147686991","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
Common and Idiosyncratic Inflation 常见和特殊的通货膨胀
IF 3.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-03-01 Epub Date: 2025-11-04 DOI: 10.1002/jae.70023
Hie Joo Ahn, Matteo Luciani
{"title":"Common and Idiosyncratic Inflation","authors":"Hie Joo Ahn,&nbsp;Matteo Luciani","doi":"10.1002/jae.70023","DOIUrl":"https://doi.org/10.1002/jae.70023","url":null,"abstract":"<div>\u0000 \u0000 <p>We disentangle price changes due to economy-wide shocks from those driven by idiosyncratic shocks by estimating a two-regime dynamic factor model with dynamic loadings on a new large dataset of finely disaggregated monthly personal consumption expenditures price inflation indexes from 1959 through 2024. We find that up to the mid-1990s and after the COVID-19 pandemic, common shocks were the primary driver of US inflation dynamics and had long-lasting effects. In contrast, in the intermediate period, idiosyncratic shocks were the main driver, and common shocks had short-lived effects.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 2","pages":"156-168"},"PeriodicalIF":3.1,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147563097","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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