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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. Pesaran, Liying Yang
{"title":"Heterogeneous autoregressions in short T panel data models","authors":"M. Pesaran, Liying Yang","doi":"10.1002/jae.3085","DOIUrl":"https://doi.org/10.1002/jae.3085","url":null,"abstract":"This paper considers a first‐order autoregressive (AR) panel data model with individual‐specific effects and heterogeneous AR coefficients defined on the interval \u0000, 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.","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.3,"publicationDate":"2024-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","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":"","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, Qiankun Zhou","doi":"10.1002/jae.3081","DOIUrl":"https://doi.org/10.1002/jae.3081","url":null,"abstract":"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 and time series dimension \u0000. We show that the LP approach in general yields smaller mean square prediction error than the FB approach when either both \u0000 and \u0000 are large or \u0000 fixed and \u0000 or \u0000 fixed and \u0000 large. The Monte Carlo simulation and empirical example are also conducted to consider their finite sample performances.","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"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
A. Naghi, Eoghan O'Neill, Martina Danielova Zaharieva
{"title":"The benefits of forecasting inflation with machine learning: New evidence","authors":"A. Naghi, Eoghan O'Neill, Martina Danielova Zaharieva","doi":"10.1002/jae.3088","DOIUrl":"https://doi.org/10.1002/jae.3088","url":null,"abstract":"Medeiros et al. (2021) (Journal of Business & 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.","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.3,"publicationDate":"2024-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","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":"","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, Jun Hyung Kim","doi":"10.1002/jae.3084","DOIUrl":"https://doi.org/10.1002/jae.3084","url":null,"abstract":"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.","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"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
Featured Cover 精选封面
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-06-12 DOI: 10.1002/jae.3077
Michael Bates, Seolah Kim
{"title":"Featured Cover","authors":"Michael Bates,&nbsp;Seolah Kim","doi":"10.1002/jae.3077","DOIUrl":"https://doi.org/10.1002/jae.3077","url":null,"abstract":"<p>The cover image is based on the Research Article <i>Estimating the price elasticity of gasoline demand in correlated random coefficient models with endogeneity</i> by Michael Bates and Seolah Kim https://doi.org/10.1002/jae.3042.\u0000\u0000 <figure>\u0000 <div><picture>\u0000 <source></source></picture><p></p>\u0000 </div>\u0000 </figure></p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2024-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3077","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141315362","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
Robots at work? Pitfalls of industry‐level data 机器人在工作？行业数据的陷阱
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-06-05 DOI: 10.1002/jae.3073
Karim Bekhtiar, Benjamin Bittschi, Richard Sellner
{"title":"Robots at work? Pitfalls of industry‐level data","authors":"Karim Bekhtiar, Benjamin Bittschi, Richard Sellner","doi":"10.1002/jae.3073","DOIUrl":"https://doi.org/10.1002/jae.3073","url":null,"abstract":"In their seminal paper, Graetz and Michaels (2018) find that robots increase productivity, lower output prices, and adversely affect the share of low‐skilled labor. We demonstrate that these effects are partly driven by the sample composition and argue that focusing on manufacturing industries yields more credible results regarding the overall economic effects of robotization. The results show that focusing on robotizing industries leads to a sizable drop of the productivity effects, halving the effect size for labor productivity. Pronounced consequences from the sample choice occur for wage effects that are reversed from significantly positive into significantly negative. Controlling for demographic workforce characteristics proves to be essential for the significant labor productivity effects and leads to the reversal for wages.","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2024-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141384157","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: 3
The US structural transformation and regional convergence: Racial heterogeneity 美国的结构转型和地区趋同：种族异质性
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-06-03 DOI: 10.1002/jae.3074
Minki Kim, Munseob Lee
{"title":"The US structural transformation and regional convergence: Racial heterogeneity","authors":"Minki Kim, Munseob Lee","doi":"10.1002/jae.3074","DOIUrl":"https://doi.org/10.1002/jae.3074","url":null,"abstract":"Structural transformation and regional convergence in US income are both longstanding trends. Caselli and Coleman (2001) documented that 60% of regional convergence between the US South and North from 1940 to 1990 was due to structural transformation. Our replication confirms these robust findings. Examining black and white populations separately, we find the magnitude of regional income convergence was much larger for the black workers, and that structural transformation explains most regional income convergence for white workers but only 30% for black workers. Extending the analysis until 2020, however, we observe income convergence among black workers and divergence among white workers. Structural transformation's role in income convergence or divergence from 1990 to 2020 is negligible.","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2024-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141271875","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: 1
The shale oil boom and the US economy: Spillovers and time‐varying effects 页岩油繁荣与美国经济：溢出效应和时变效应
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-05-24 DOI: 10.1002/jae.3059
Hilde C. Bjørnland, Julia Skretting
{"title":"The shale oil boom and the US economy: Spillovers and time‐varying effects","authors":"Hilde C. Bjørnland, Julia Skretting","doi":"10.1002/jae.3059","DOIUrl":"https://doi.org/10.1002/jae.3059","url":null,"abstract":"We provide new evidence that the transmission of oil price shocks to the US economy has changed with the shale oil boom. To show this, we develop a time‐varying parameter factor‐augmented vector autoregressive (FAVAR) model with a large data environment of state‐level, industry, and aggregate US data. The model effectively captures potential spillovers between oil and non‐oil industries, as well as variation over time. Specified in this way, we find that investment, income, industrial production, and (non‐oil) employment in most oil‐producing and some manufacturing‐intensive US states increase following an oil‐specific shock—effects that were not present before the shale oil boom.","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2024-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141102152","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
Expecting the unexpected: Stressed scenarios for economic growth 出乎意料：经济增长的压力情景
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-05-22 DOI: 10.1002/jae.3060
Gloria González-Rivera, C. Vladimir Rodríguez-Caballero, Esther Ruiz
{"title":"Expecting the unexpected: Stressed scenarios for economic growth","authors":"Gloria González-Rivera,&nbsp;C. Vladimir Rodríguez-Caballero,&nbsp;Esther Ruiz","doi":"10.1002/jae.3060","DOIUrl":"10.1002/jae.3060","url":null,"abstract":"<p>We propose the construction of conditional growth densities under stressed factor scenarios to assess the level of exposure of an economy to small probability but potentially catastrophic economic and/or financial scenarios, which can be either domestic or international. The choice of severe yet plausible stress scenarios is based on the joint probability distribution of the underlying factors driving growth, which are extracted with a multilevel dynamic factor model (DFM) from a wide set of domestic/worldwide and/or macroeconomic/financial variables. All together, we provide a risk management tool that allows for a complete visualization of the dynamics of the growth densities under average scenarios and extreme scenarios. We calculate growth-in-stress (GiS) measures, defined as the 5% quantile of the stressed growth densities, and show that GiS is a useful and complementary tool to growth-at-risk (GaR) when policymakers wish to carry out a multidimensional scenario analysis. The unprecedented economic shock brought by the COVID-19 pandemic provides a natural environment to assess the vulnerability of US growth with the proposed methodology.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.3,"publicationDate":"2024-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3060","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141109879","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
News or animal spirits? Consumer confidence and economic activity: Redux 新闻还是动物精神？消费者信心与经济活动：再现
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-05-21 DOI: 10.1002/jae.3070
Sangyup Choi, Jaehun Jeong, Dohyeon Park, Donghoon Yoo
{"title":"News or animal spirits? Consumer confidence and economic activity: Redux","authors":"Sangyup Choi,&nbsp;Jaehun Jeong,&nbsp;Dohyeon Park,&nbsp;Donghoon Yoo","doi":"10.1002/jae.3070","DOIUrl":"10.1002/jae.3070","url":null,"abstract":"<div>\u0000 \u0000 <p>Barsky and Sims (2012, AER) demonstrated, via indirect inference, that confidence innovations can be viewed as noisy signals about medium-term economic growth. They highlighted that the connection between confidence and subsequent activity, such as consumption and output, is primarily driven by news shocks about the future. We expand upon their research by incorporating the Great Recession and ZLB episodes, during which animal spirits have a greater potential to influence economic activity. Nevertheless, we confirm the main finding of Barsky and Sims (2012) that this relationship is predominantly driven by news about the future rather than animal spirits.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.3,"publicationDate":"2024-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141149058","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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