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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
Part-time subsidies and maternal reemployment: Evidence from a difference-in-differences analysis 兼职补贴与产妇再就业：来自差异分析的证据
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-07-04 DOI: 10.1002/jae.3072
Franziska Zimmert, Michael Zimmert
{"title":"Part-time subsidies and maternal reemployment: Evidence from a difference-in-differences analysis","authors":"Franziska Zimmert,&nbsp;Michael Zimmert","doi":"10.1002/jae.3072","DOIUrl":"10.1002/jae.3072","url":null,"abstract":"<p>Employment interruptions of mothers are still one of the main causes for different labour market outcomes between women and men. Employment subsidies can incentivise mothers to shorten employment interruptions after childbirth. We examine a German parental leave reform incentivising an early return to part-time work. Exploiting the exogenous variation defined by the child's birthday, we apply unconditional difference-in-differences (DiD) estimation using administrative data. Machine learning augmented DiD estimation shows that our findings are robust to the inclusion of a large dictionary of potential covariates. Additionally, we estimate conditional effects in the DiD setting. Our results show that being eligible to the new regime yields positive average employment effects that are mainly driven by part-time employment. In particular, the increased attractiveness of part-time work does not cannibalise full-time employment. The policy creates heterogeneous incentives depending on the opportunity costs of working part time: especially mothers with middle income and prior part-time workers respond to the reform. Besides, diverging results for East and West Germany hint at the potential of a change in social norms.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.3,"publicationDate":"2024-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3072","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141549220","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
Explaining the decline of China's labor share: A wide replication of Oberfield and Raval (2021) 解释中国劳动力份额的下降：奥伯菲尔德和拉瓦尔（2021 年）的广泛复制
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-06-30 DOI: 10.1002/jae.3082
Hong Yang, Wen Zhang
{"title":"Explaining the decline of China's labor share: A wide replication of Oberfield and Raval (2021)","authors":"Hong Yang,&nbsp;Wen Zhang","doi":"10.1002/jae.3082","DOIUrl":"https://doi.org/10.1002/jae.3082","url":null,"abstract":"<div>\u0000 \u0000 <p>China's labor share has declined since late 1990s. Using the methodology developed by Oberfield and Raval, this paper estimates China's aggregate capital-labor elasticity of substitution, leveraging the estimated micro-level elasticities. The findings indicate that China's aggregate capital-labor elasticity falls within the range of 0.9 to 1. Utilizing this estimated aggregate elasticity for labor share decomposition, we find that the bias of technical change emerges as the predominant factor driving the decline in labor share.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.3,"publicationDate":"2024-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142430290","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
Identifying program benefits when participation is misreported 在误报参与情况时确定计划效益
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-06-29 DOI: 10.1002/jae.3079
Denni Tommasi, Lina Zhang
{"title":"Identifying program benefits when participation is misreported","authors":"Denni Tommasi,&nbsp;Lina Zhang","doi":"10.1002/jae.3079","DOIUrl":"10.1002/jae.3079","url":null,"abstract":"<div>\u0000 \u0000 <p>In cases of noncompliance with an assigned treatment, estimates of causal effects typically rely on instrumental variables (IV). However, when participation is also misreported, the IV estimand may become a nonconvex combination of local average treatment effects that fails to satisfy even a minimal condition for being causal. The aim of our paper is to generalize the MR-LATE approach. This is an alternative IV estimand that is more robust in cases of noncompliance and nondifferential misclassification of the treatment variable. Our generalization is threefold: First, we incorporate discrete and multiple-discrete instrument(s); second, we consider the use of instrument(s) under a weaker, partial monotonicity condition; third, we provide a general inferential procedure. Under relatively stringent assumptions, MR-LATE is either identical to the IV estimand or less biased than the naïve IV estimand. Under less stringent assumptions, the MR-LATE estimand can identify the sign of the IV estimand. We conclude with the use of a dedicated Stata command, <span>ivreg2m,</span> to assess the return on education in the United Kingdom.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.3,"publicationDate":"2024-06-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141528824","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
Testing for differences in survey-based density expectations: A compositional data approach 测试基于调查的密度预期差异：组合数据方法
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-06-24 DOI: 10.1002/jae.3080
Jonas Dovern, Alexander Glas, Geoff Kenny
{"title":"Testing for differences in survey-based density expectations: A compositional data approach","authors":"Jonas Dovern,&nbsp;Alexander Glas,&nbsp;Geoff Kenny","doi":"10.1002/jae.3080","DOIUrl":"10.1002/jae.3080","url":null,"abstract":"<p>We propose to treat survey-based density expectations as compositional data when testing either for heterogeneity in density forecasts across different groups of agents or for changes over time. Monte Carlo simulations show that the proposed test has more power relative to both a bootstrap approach based on the KLIC and an approach that involves multiple testing for differences of individual parts of the density. In addition, the test is computationally much faster than the KLIC-based one, which relies on simulations, and allows for comparisons across multiple groups. Using density expectations from the ECB Survey of Professional Forecasters and the US Survey of Consumer Expectations, we show the usefulness of the test in detecting possible changes in density expectations over time and across different types of forecasters.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.3,"publicationDate":"2024-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3080","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141501425","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 propagation of business expectations within the European Union 欧盟内部商业期望的传播
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-06-19 DOI: 10.1002/jae.3075
Anja Sebbesen, Harald Oberhofer
{"title":"The propagation of business expectations within the European Union","authors":"Anja Sebbesen,&nbsp;Harald Oberhofer","doi":"10.1002/jae.3075","DOIUrl":"https://doi.org/10.1002/jae.3075","url":null,"abstract":"<p>This paper empirically investigates the propagation of firm expectations within the European Union (EU). To this end, we combine information from EU-wide official business surveys with input–output data. Econometrically, we model interdependencies in economic activities via input–output linkages and apply space-time models with common factors. The resulting evidence provides indication for the existence of substantial spillover effects in expectation formation. They are transmitted both upstream and downstream the European value chain, but the latter channel matters more.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.3,"publicationDate":"2024-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3075","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142430108","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 stability and economic relevance of output gap estimates 产出缺口估算的稳定性和经济相关性
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-06-18 DOI: 10.1002/jae.3062
Alessandro Barbarino, Travis J. Berge, Andrea Stella
{"title":"The stability and economic relevance of output gap estimates","authors":"Alessandro Barbarino,&nbsp;Travis J. Berge,&nbsp;Andrea Stella","doi":"10.1002/jae.3062","DOIUrl":"https://doi.org/10.1002/jae.3062","url":null,"abstract":"<div>\u0000 \u0000 <p>Output gaps that are estimated in real time can differ substantially from those estimated after the fact. We provide a comprehensive comparison of real-time output gap estimates, with the aim of understanding this real-time instability. Using a statistical decomposition, we find that including Okun's law relationship improves real-time stability by alleviating the end-point problem. Models that include the unemployment rate also produce output gaps with relevant economic content.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.3,"publicationDate":"2024-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142430090","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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