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Journal of Applied Econometrics最新文献

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Did marginal propensities to consume change with the housing boom and bust? 边际消费倾向是否随着房地产的繁荣和萧条而改变？
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-01-14 DOI: 10.1002/jae.3016
Yunho Cho, James Morley, Aarti Singh
{"title":"Did marginal propensities to consume change with the housing boom and bust?","authors":"Yunho Cho,&nbsp;James Morley,&nbsp;Aarti Singh","doi":"10.1002/jae.3016","DOIUrl":"10.1002/jae.3016","url":null,"abstract":"<p>We extend a widely used semi-structural model to identify and estimate dynamic consumption elasticities with respect to transitory income shocks. Applying our model to household survey data, we find a structural break in marginal propensities to consume following the end of the housing market boom, with the average across households increasing significantly. There is important heterogeneity by different household balance sheet characteristics, and the increase in the average appears to be driven by higher short-run consumption elasticities for homeowners with low liquid wealth. The change in consumption behavior is consistent with tighter borrowing constraints more than a shift in wealth distributions.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 1","pages":"174-199"},"PeriodicalIF":2.1,"publicationDate":"2024-01-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3016","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139515457","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
Forecasting GDP in Europe with textual data 利用文本数据预测欧洲国内生产总值
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-01-13 DOI: 10.1002/jae.3027
Luca Barbaglia, Sergio Consoli, Sebastiano Manzan
{"title":"Forecasting GDP in Europe with textual data","authors":"Luca Barbaglia,&nbsp;Sergio Consoli,&nbsp;Sebastiano Manzan","doi":"10.1002/jae.3027","DOIUrl":"10.1002/jae.3027","url":null,"abstract":"<p>We evaluate the informational content of news-based sentiment indicators for forecasting gross domestic product (GDP) and other macroeconomic variables of the five major European economies. Our dataset includes over 27 million articles for 26 major newspapers in five different languages. The evidence indicates that these sentiment indicators are significant predictors to forecast macroeconomic variables and their predictive content is robust to controlling for other indicators available to forecasters in real time.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 2","pages":"338-355"},"PeriodicalIF":2.1,"publicationDate":"2024-01-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3027","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139464301","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
Disease and development—The predicted mortality instrument revisited 疾病与发展--再论预测死亡率工具
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-01-12 DOI: 10.1002/jae.3023
David Kreitmeir, Thomas Überfuhr
{"title":"Disease and development—The predicted mortality instrument revisited","authors":"David Kreitmeir,&nbsp;Thomas Überfuhr","doi":"10.1002/jae.3023","DOIUrl":"10.1002/jae.3023","url":null,"abstract":"<p>This paper revisits Acemoglu-Johnson the predicted mortality instrument. Drawing on a unique historical data set of disease-specific mortality rates, we reconstruct several versions of the instrument that differ in terms of data usage and instrument relevance. Our findings confirm its predictive power on life expectancy. The replication analysis reveals a significant positive second-stage effect of life expectancy on population and total birth rates and a negative effect on GDP per capita for a subset of the revised instruments. Overall, data coverage and empirical tests suggest the superiority of our country-level instrument.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 2","pages":"327-337"},"PeriodicalIF":2.1,"publicationDate":"2024-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3023","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139437778","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
Partial identification and inference in duration models with endogenous censoring 具有内生删减的持续时间模型中的部分识别和推理
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-12-28 DOI: 10.1002/jae.3024
Shosei Sakaguchi
{"title":"Partial identification and inference in duration models with endogenous censoring","authors":"Shosei Sakaguchi","doi":"10.1002/jae.3024","DOIUrl":"10.1002/jae.3024","url":null,"abstract":"<p>This paper studies identification and inference in transformation models with endogenous censoring. Many kinds of duration models, such as the accelerated failure time model, proportional hazard model, and mixed proportional hazard model, can be viewed as transformation models. We allow the censoring of a duration outcome to be arbitrarily correlated with observed covariates and unobserved heterogeneity. We impose no parametric restrictions on either the transformation function or the distribution function of the unobserved heterogeneity. In this setting, we develop bounds on the regression parameters and the transformation function, which are characterized by conditional moment inequalities involving U-statistics. Subsequently, we provide inference methods for them by constructing an inference approach for conditional moment inequality models in which the sample analogs of moments are U-statistics. We apply the proposed inference methods to evaluate the effect of unemployment insurance on duration of joblessness using data from the Current Population Survey's Displaced Workers Supplements.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 2","pages":"308-326"},"PeriodicalIF":2.1,"publicationDate":"2023-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3024","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139072288","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
Does paid parental leave affect children's schooling outcomes? Replicating Danzer and Lavy (2018) 带薪育儿假会影响儿童的学业成绩吗？复制 Danzer 和 Lavy（2018 年）
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-12-27 DOI: 10.1002/jae.3021
Claudia Troccoli
{"title":"Does paid parental leave affect children's schooling outcomes? Replicating Danzer and Lavy (2018)","authors":"Claudia Troccoli","doi":"10.1002/jae.3021","DOIUrl":"10.1002/jae.3021","url":null,"abstract":"<p>Danzer and Lavy (2018) study how the duration of paid parental leave affects children's educational performance using data from PISA. An extension of the maximum duration from 12 to 24 months in Austria had no statistically significant effect on average, but the authors highlight the existence of large and statistically significant heterogenous effects that vary in sign depending on the education of mothers and children's gender. The policy increased the scores obtained by sons of highly educated mothers by 33% of a standard deviation (SD) in Reading and 40% SD in Science. On the contrary, sons of low educated mothers experienced a decrease of 27% SD in Reading and 23% SD in Science. In this article, I replicate their study following the recommended estimation procedure taking into account both the survey's stratified two-stage sample design and the fact that PISA relies on imputation to derive student scores. I show that the estimates of the effects of the parental leave extension become substantially smaller in magnitude and non-significant.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 2","pages":"356-362"},"PeriodicalIF":2.1,"publicationDate":"2023-12-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3021","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139072360","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
Nonlinearities in macroeconomic tail risk through the lens of big data quantile regressions 从大数据量化回归透视宏观经济尾部风险的非线性因素
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-12-26 DOI: 10.1002/jae.3018
Jan Prüser, Florian Huber
{"title":"Nonlinearities in macroeconomic tail risk through the lens of big data quantile regressions","authors":"Jan Prüser,&nbsp;Florian Huber","doi":"10.1002/jae.3018","DOIUrl":"10.1002/jae.3018","url":null,"abstract":"<p>Modeling and predicting extreme movements in GDP is notoriously difficult, and the selection of appropriate covariates and/or possible forms of nonlinearities are key in obtaining precise forecasts. In this paper, our focus is on using large datasets in quantile regression models to forecast the conditional distribution of US GDP growth. To capture possible nonlinearities, we include several nonlinear specifications. The resulting models will be huge dimensional, and we thus rely on a set of shrinkage priors. Since Markov chain Monte Carlo estimation becomes slow in these dimensions, we rely on fast variational Bayes approximations to the posterior distribution of the coefficients and the latent states. We find that our proposed set of models produces precise forecasts. These gains are especially pronounced in the tails. Using Gaussian processes to approximate the nonlinear component of the model further improves the good performance, in particular in the right tail.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 2","pages":"269-291"},"PeriodicalIF":2.1,"publicationDate":"2023-12-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3018","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139061916","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 data nowcasting: The case of price–earnings ratios 面板数据预报：市盈率案例
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-12-26 DOI: 10.1002/jae.3028
Andrii Babii, Ryan T. Ball, Eric Ghysels, Jonas Striaukas
{"title":"Panel data nowcasting: The case of price–earnings ratios","authors":"Andrii Babii,&nbsp;Ryan T. Ball,&nbsp;Eric Ghysels,&nbsp;Jonas Striaukas","doi":"10.1002/jae.3028","DOIUrl":"10.1002/jae.3028","url":null,"abstract":"<p>The paper uses structured machine learning regressions for nowcasting with panel data consisting of series sampled at different frequencies. Motivated by the problem of predicting corporate earnings for a large cross-section of firms with macroeconomic, financial, and news time series sampled at different frequencies, we focus on the sparse-group LASSO regularization which can take advantage of the mixed-frequency time series panel data structures. Our empirical results show the superior performance of our machine learning panel data regression models over analysts' predictions, forecast combinations, firm-specific time series regression models, and standard machine learning methods.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 2","pages":"292-307"},"PeriodicalIF":2.1,"publicationDate":"2023-12-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139061854","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
Revisiting the analysis of matched-pair and stratified experiments in the presence of attrition 重新审视自然减员情况下的配对实验和分层实验分析
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-12-20 DOI: 10.1002/jae.3025
Yuehao Bai, Meng Hsuan Hsieh, Jizhou Liu, Max Tabord-Meehan
{"title":"Revisiting the analysis of matched-pair and stratified experiments in the presence of attrition","authors":"Yuehao Bai,&nbsp;Meng Hsuan Hsieh,&nbsp;Jizhou Liu,&nbsp;Max Tabord-Meehan","doi":"10.1002/jae.3025","DOIUrl":"10.1002/jae.3025","url":null,"abstract":"<p>In this paper, we revisit some common recommendations regarding the analysis of matched-pair and stratified experimental designs in the presence of attrition. Our main objective is to clarify a number of well-known claims about the practice of dropping pairs with an attrited unit when analyzing matched-pair designs. Contradictory advice appears in the literature about whether or not dropping pairs is beneficial or harmful, and stratifying into larger groups has been recommended as a resolution to the issue. To address these claims, we derive the estimands obtained from the difference-in-means estimator in a matched-pair design both when the observations from pairs with an attrited unit are retained and when they are dropped. We find limited evidence to support the claims that dropping pairs helps recover the average treatment effect, but we find that it may potentially help in recovering a convex-weighted average of conditional average treatment effects. We report similar findings for stratified designs when studying the estimands obtained from a regression of outcomes on treatment with and without strata fixed effects.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 2","pages":"256-268"},"PeriodicalIF":2.1,"publicationDate":"2023-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3025","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138827035","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
Sample selection in linear panel data models with heterogeneous coefficients 具有异质系数的线性面板数据模型中的样本选择
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-12-14 DOI: 10.1002/jae.3022
Alyssa Carlson, Riju Joshi
{"title":"Sample selection in linear panel data models with heterogeneous coefficients","authors":"Alyssa Carlson,&nbsp;Riju Joshi","doi":"10.1002/jae.3022","DOIUrl":"10.1002/jae.3022","url":null,"abstract":"<p>We propose a parametric estimation procedure for linear panel data models with sample selection and heterogeneous coefficients that are present in both outcome model and selection model. Our two-step estimation procedure accounts for endogeneity from the selection process and endogeneity from correlation between the individual unobserved heterogeneity and the observed covariates using control function like methods. Conditional linear projections are used to establish a tractable approach that builds upon the original Heckman correction to sample selection. Monte Carlo simulations illustrate the finite sample properties of our estimator and demonstrate that our proposed estimator outperforms standard estimators. We apply the proposed approach to estimate gender differences in high-stakes time-constrained decisions using Elo ratings data from the World Chess Federation. When addressing both sources of endogeneity, we find a much larger gender skill gap and substantial differences across the genders in strategically selecting into time-constrained matches.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 2","pages":"237-255"},"PeriodicalIF":2.1,"publicationDate":"2023-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138679993","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
Heterogeneity and dynamics in network models 网络模型中的异质性和动态性
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-12-14 DOI: 10.1002/jae.3013
Enzo D'Innocenzo, André Lucas, Anne Opschoor, Xingmin Zhang
{"title":"Heterogeneity and dynamics in network models","authors":"Enzo D'Innocenzo,&nbsp;André Lucas,&nbsp;Anne Opschoor,&nbsp;Xingmin Zhang","doi":"10.1002/jae.3013","DOIUrl":"10.1002/jae.3013","url":null,"abstract":"<div>\u0000 \u0000 <p>We propose an empirical spatial modeling framework that allows for both heterogeneity and dynamics in economic network connections. We establish the model's stationarity and ergodicity properties and show that the model's implied filter is invertible. While highly flexible, the model is straightforward to estimate by maximum likelihood. We apply the model to three datasets for Eurozone sovereign credit risk over the period Dec-2009 to Dec-2022. Accounting for both heterogeneity and time-variation turns out to be empirically important both in-sample and out-of-sample. The new model uncovers intuitive patterns that would go unnoticed in either homogeneous and/or static spatial financial network models.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 1","pages":"150-173"},"PeriodicalIF":2.1,"publicationDate":"2023-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138679747","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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