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On the Real-Time Predictive Content of Financial Conditions Indices for Growth 论经济增长财务状况指标的实时预测内容
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2022-11-02 DOI: 10.20955/wp.2022.003
Aaron Amburgey, Michael W. McCracken
{"title":"On the Real-Time Predictive Content of Financial Conditions Indices for Growth","authors":"Aaron Amburgey, Michael W. McCracken","doi":"10.20955/wp.2022.003","DOIUrl":"https://doi.org/10.20955/wp.2022.003","url":null,"abstract":"We provide evidence on the real-time predictive content of the National Financial Conditions Index (NFCI), for conditional quantiles of U","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":" ","pages":""},"PeriodicalIF":2.1,"publicationDate":"2022-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41755052","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: 6
General Bayesian time‐varying parameter VARs for modeling government bond yields 用于政府债券收益率建模的一般贝叶斯时变参数var
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2022-09-02 DOI: 10.1002/jae.2936
M. Fischer, Niko Hauzenberger, Florian Huber, Michael Pfarrhofer
{"title":"General Bayesian time‐varying parameter VARs for modeling government bond yields","authors":"M. Fischer, Niko Hauzenberger, Florian Huber, Michael Pfarrhofer","doi":"10.1002/jae.2936","DOIUrl":"https://doi.org/10.1002/jae.2936","url":null,"abstract":". US yield curve dynamics are subject to time-variation, but there is ambiguity about its precise form. This paper develops a vector autoregressive (VAR) model with time-varying parameters and stochastic volatility which treats the nature of parameter dynamics as unknown. Coefficients can evolve according to a random walk, a Markov switching process, observed predictors, or depend on a mixture of these. To decide which form is supported by the data and to carry out model selection, we adopt Bayesian shrinkage priors. Our framework is applied to model the US yield curve. We show that the model forecasts well, and focus on selected in-sample features to analyze determinants of structural breaks in US yield curve dynamics.","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":" ","pages":""},"PeriodicalIF":2.1,"publicationDate":"2022-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45321341","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
Bayesian estimation of multivariate panel probits with higher-order network interdependence and an application to firms' global market participation in Guangdong 高阶网络相互依赖多变量面板概率的贝叶斯估计及其在广东企业全球市场参与中的应用
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2022-08-26 DOI: 10.1002/jae.2934
Badi H. Baltagi, Peter H. Egger, Michaela Kesina
{"title":"Bayesian estimation of multivariate panel probits with higher-order network interdependence and an application to firms' global market participation in Guangdong","authors":"Badi H. Baltagi,&nbsp;Peter H. Egger,&nbsp;Michaela Kesina","doi":"10.1002/jae.2934","DOIUrl":"https://doi.org/10.1002/jae.2934","url":null,"abstract":"<p>This paper proposes a Bayesian estimation framework for panel data sets with binary dependent variables where a large number of cross-sectional units are observed over a short period of time and cross-sectional units are interdependent in more than a single network domain. The latter provides for a substantial degree of flexibility towards modeling the decay function in network neighborliness (e.g., by disentangling the importance of rings of neighbors) or towards allowing for several channels of interdependence whose relative importance is unknown ex ante. Besides the flexible parameterization of cross-sectional dependence, the approach allows for simultaneity of the equations. These features should make the approach interesting for applications in a host of contexts involving structural and reduced-form models of multivariate choice problems at micro-, meso-, and macro-economic levels. The paper outlines the estimation approach, illustrates its suitability by simulation examples, and provides an application to study exporting and foreign ownership among potentially interdependent firms in the specialized and transport machinery sector in the province of Guangdong.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"37 7","pages":"1356-1378"},"PeriodicalIF":2.1,"publicationDate":"2022-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2934","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"137554853","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
Reevaluating the evidence on seasonality in housing market match quality: Replication of Ngai and Tenreyro (2014) 重新评估住房市场匹配质量的季节性证据:Ngai和Tenreyro(2014)的复制
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2022-08-25 DOI: 10.1002/jae.2933
Dean Scrimgeour
{"title":"Reevaluating the evidence on seasonality in housing market match quality: Replication of Ngai and Tenreyro (2014)","authors":"Dean Scrimgeour","doi":"10.1002/jae.2933","DOIUrl":"10.1002/jae.2933","url":null,"abstract":"<div>\u0000 \u0000 <p>I revisit Ngai and Tenreyro (2014)'s empirical analysis of seasonal match quality in American Housing Survey (AHS) data. Using 1999 data only, Ngai and Tenreyro show that homes purchased in the summer season are occupied longer and have fewer and less costly renovations soon after purchase, pointing to superior match quality for households who move house during the thicker summer market. However, applying the same methods to other years of the AHS substantially weakens these results. In addition, I document heaping in a key variable, the prior move month, and implement a multiple imputation correction. Ngai and Tenreyro's use of a coarsened measure of duration seems to largely overcome the biases that heaping introduces.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"37 7","pages":"1403-1409"},"PeriodicalIF":2.1,"publicationDate":"2022-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44943663","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
Forecasting low-frequency macroeconomic events with high-frequency data 用高频数据预测低频宏观经济事件
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2022-08-25 DOI: 10.1002/jae.2931
Ana Beatriz Galvão, Michael Owyang
{"title":"Forecasting low-frequency macroeconomic events with high-frequency data","authors":"Ana Beatriz Galvão,&nbsp;Michael Owyang","doi":"10.1002/jae.2931","DOIUrl":"https://doi.org/10.1002/jae.2931","url":null,"abstract":"<p>High-frequency financial and economic indicators are usually time-aggregated before computing forecasts of macroeconomic events, such as recessions. We propose a mixed-frequency alternative that delivers high-frequency probability forecasts (including their confidence bands) for low-frequency events. The new approach is compared with single-frequency alternatives using loss functions for rare-event forecasting. We find (i) the weekly-sampled term spread improves over the monthly-sampled to predict NBER recessions, (ii) the predictive content of financial variables is supplementary to economic activity for forecasts of vulnerability events, and (iii) a weekly activity index can date the 2020 business cycle peak in real-time using a mixed-frequency filtering.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"37 7","pages":"1314-1333"},"PeriodicalIF":2.1,"publicationDate":"2022-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2931","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"137543495","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 Roy model with finite mixtures 有限混合数罗伊模型
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2022-08-25 DOI: 10.1002/jae.2928
Murat K. Munkin
{"title":"Count Roy model with finite mixtures","authors":"Murat K. Munkin","doi":"10.1002/jae.2928","DOIUrl":"10.1002/jae.2928","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper develops the Finite Mixture Roy model for count variables and uses this semiparametric model to analyze the effect of supplemental Medigap private insurance on the demand for prescription drugs for the U.S. elderly unemployed Medicare population. The model is an extension of the Count Roy model, which produces unrealistic treatment effects when observed count patterns are consistent with finite mixtures. To estimate the numbers of components in the mixtures for individuals with and without Medigap, this paper adopts the random permutation sampler. The considered application motivates two additional features of the model. Specifically, the smoothly mixing regression approach is utilized to model the probabilities of the components, and a continuous instrumental variable is allowed to enter the treatment equation nonparametrically. Strong evidence is found that there are two components both in the treated and untreated states. These lower and higher utilization components are interpreted as relatively healthy and unhealthy groups. The estimated treatment effects show that Medigap insurance provides incentives to increase prescription drug utilization by 2%. The results are consistent with adverse selection.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"37 6","pages":"1160-1181"},"PeriodicalIF":2.1,"publicationDate":"2022-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48895844","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
Instrumental-variable estimation of exponential-regression models with two-way fixed effects with an application to gravity equations 具有双向固定效应的指数回归模型的工具变量估计及其在重力方程中的应用
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2022-08-23 DOI: 10.1002/jae.2932
Koen Jochmans, Vincenzo Verardi
{"title":"Instrumental-variable estimation of exponential-regression models with two-way fixed effects with an application to gravity equations","authors":"Koen Jochmans,&nbsp;Vincenzo Verardi","doi":"10.1002/jae.2932","DOIUrl":"10.1002/jae.2932","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper introduces instrumental-variable estimators for exponential-regression models that feature two-way fixed effects. These techniques allow us to develop a theory-consistent approach to the estimation of cross-sectional gravity equations that can accommodate the endogeneity of policy variables. We apply this approach to a dataset in which the policy decision of interest is the engagement in a free-trade agreement. We explore ways to exploit the transitivity observed in the formation of trade agreements to construct instrumental variables with considerable predictive ability. Within a bilateral model, the use of these instruments has strong theoretical foundations. We obtain point estimates of the partial effect of a preferential-trade agreement on trade volume that range between 20% and 30% and find no statistical evidence of endogeneity.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"37 6","pages":"1121-1137"},"PeriodicalIF":2.1,"publicationDate":"2022-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44674234","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: 2
Long-run predictability tests are even worse than you thought 长期可预测性测试比你想象的还要糟糕
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2022-08-18 DOI: 10.1002/jae.2930
Erik Hjalmarsson, Tamas Kiss
{"title":"Long-run predictability tests are even worse than you thought","authors":"Erik Hjalmarsson,&nbsp;Tamas Kiss","doi":"10.1002/jae.2930","DOIUrl":"10.1002/jae.2930","url":null,"abstract":"<p>We derive asymptotic results for the long-horizon ordinary least squares (OLS) estimator and corresponding \u0000<math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>t</mi>\u0000 </mrow>\u0000 <annotation>$$ t $$</annotation>\u0000 </semantics></math>-statistic for stationary autoregressive predictors. The \u0000<math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>t</mi>\u0000 </mrow>\u0000 <annotation>$$ t $$</annotation>\u0000 </semantics></math>-statistic—formed using the correct asymptotic variance—together with standard-normal critical values result in a correctly-sized test for exogenous predictors. For endogenous predictors, the test is size distorted regardless of the persistence in the predictor and adjusted critical values are necessary. The endogeneity problem stems from the long-run estimation and is distinct from the ordinary persistence-dependent “Stambaugh” bias. The bias for fully stationary predictors appears not to have been previously noted and adds further difficulty to inference in long-run predictive regressions.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"37 7","pages":"1334-1355"},"PeriodicalIF":2.1,"publicationDate":"2022-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2930","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45067599","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: 1
Identification of dynamic latent factor models of skill formation with translog production 超对数生产下技能形成动态潜在因素模型的识别
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2022-08-18 DOI: 10.1002/jae.2929
Emilia Del Bono, Josh Kinsler, Ronni Pavan
{"title":"Identification of dynamic latent factor models of skill formation with translog production","authors":"Emilia Del Bono,&nbsp;Josh Kinsler,&nbsp;Ronni Pavan","doi":"10.1002/jae.2929","DOIUrl":"10.1002/jae.2929","url":null,"abstract":"<p>In this paper, we highlight an important property of the translog production function for the identification of treatment effects in a model of latent skill formation. We show that when using a translog specification of the skill technology, properly anchored treatment effect estimates are invariant to <i>any</i> location and scale normalizations of the underlying measures. By contrast, when researchers assume a CES production function and impose standard location and scale normalizations, the resulting treatment effect estimates vary with the chosen normalizations. Access to age-invariant measures does not solve this problem since arbitrary scale and location restrictions are still imposed in the initial period. We theoretically prove the normalization invariance of the translog production function and then complete several empirical exercises illustrating the effects of location and scale normalizations for different technologies and types of skills measures.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"37 6","pages":"1256-1265"},"PeriodicalIF":2.1,"publicationDate":"2022-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2929","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47330567","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: 3
Normal but skewed? 正常但偏斜?
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2022-08-17 DOI: 10.1002/jae.2927
Dante Amengual, Xinyue Bei, Enrique Sentana
{"title":"Normal but skewed?","authors":"Dante Amengual,&nbsp;Xinyue Bei,&nbsp;Enrique Sentana","doi":"10.1002/jae.2927","DOIUrl":"https://doi.org/10.1002/jae.2927","url":null,"abstract":"<div>\u0000 \u0000 <p>We propose a multivariate normality test against skew normal distributions using higher-order log-likelihood derivatives, which is asymptotically equivalent to the likelihood ratio but only requires estimation under the null. Numerically, it is the supremum of the univariate skewness coefficient test over all linear combinations of the variables. We can simulate its exact finite sample distribution for any multivariate dimension and sample size. Our Monte Carlo exercises confirm its power advantages over alternative approaches. Finally, we apply it to the joint distribution of US city sizes in two consecutive censuses finding that non-normality is very clearly seen in their growth rates.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"37 7","pages":"1295-1313"},"PeriodicalIF":2.1,"publicationDate":"2022-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"137528439","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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