{"title":"Censored density forecasts: Production and evaluation","authors":"James Mitchell, Martin Weale","doi":"10.1002/jae.2972","DOIUrl":"https://doi.org/10.1002/jae.2972","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper develops methods for the production and evaluation of censored density forecasts. The focus is on censored density forecasts that quantify forecast risks in a middle region of the density covering a specified probability and ignore the magnitude but not the frequency of outlying observations. We propose a fixed-point algorithm that fits a potentially skewed and fat-tailed density to the inner observations, acknowledging that the outlying observations may be drawn from a different but unknown distribution. We also introduce a new test for calibration of censored density forecasts. An application using historical forecast errors from the Federal Reserve Board and the Monetary Policy Committee (MPC) at the Bank of England suggests that the use of censored density functions to represent the pattern of forecast errors results in much greater parameter stability than do uncensored densities. We illustrate the utility of censored density forecasts when quantifying forecast risks after shocks such as the global financial crisis and the COVID-19 pandemic and find that these outperform the official forecasts produced by the MPC.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50139600","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}
{"title":"Revisiting the effect of growing up in a recession on attitudes towards redistribution","authors":"Jan Bietenbeck, Petra Thiemann","doi":"10.1002/jae.2970","DOIUrl":"10.1002/jae.2970","url":null,"abstract":"<p>Giuliano and Spilimbergo (2014) show that individuals who experienced a recession when young are more likely to favor redistribution in the short and long run. We revisit their analysis in three ways. First, we conduct a narrow replication in the General Social Survey and the World Values Survey; we successfully replicate the original results for outcomes that directly measure preferences for redistribution, but the results for other outcomes are less clear-cut. Second, adding recent survey waves yields results similar to the narrow replication. Third, a wide replication in a different dataset (International Social Survey Programme) corroborates the original results.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-02-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2970","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45345110","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}
James G. MacKinnon, Morten Ørregaard Nielsen, Matthew D. Webb
{"title":"Fast and reliable jackknife and bootstrap methods for cluster-robust inference","authors":"James G. MacKinnon, Morten Ørregaard Nielsen, Matthew D. Webb","doi":"10.1002/jae.2969","DOIUrl":"10.1002/jae.2969","url":null,"abstract":"<p>We provide computationally attractive methods to obtain jackknife-based cluster-robust variance matrix estimators (CRVEs) for linear regression models estimated by least squares. We also propose several new variants of the wild cluster bootstrap, which involve these CRVEs, jackknife-based bootstrap data-generating processes, or both. Extensive simulation experiments suggest that the new methods can provide much more reliable inferences than existing ones in cases where the latter are not trustworthy, such as when the number of clusters is small and/or cluster sizes vary substantially. Three empirical examples illustrate the new methods.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2969","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48616377","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}
Joan Paredes, Javier J. Pérez, Gabriel Perez Quiros
{"title":"Fiscal targets. A guide to forecasters?","authors":"Joan Paredes, Javier J. Pérez, Gabriel Perez Quiros","doi":"10.1002/jae.2968","DOIUrl":"https://doi.org/10.1002/jae.2968","url":null,"abstract":"<div>\u0000 \u0000 <p>We formulate and estimate empirical models for a selection of EU countries (Germany, France, Italy, Spain, Portugal, and Ireland) to show that ex-ante government (consumption) targets convey useful information about ex-post fiscal developments, even if the track record of governments meeting their respective targets is low. The use of targets is particularly valuable when there is limited information about its implementation, for example, at the beginning of a fiscal year, when observed data are scarce. Thus, forecasters would be well advised to use fiscal targets as a guide in creating projections, despite the findings of a well-established literature that reports that, ex post, governments tend to induce politically motivated biases in policy targets.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50131344","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}
Daniel Borup, Jorge Wolfgang Hansen, Benjamin Dybro Liengaard, Erik Christian Montes Schütte
{"title":"Quantifying investor narratives and their role during COVID-19","authors":"Daniel Borup, Jorge Wolfgang Hansen, Benjamin Dybro Liengaard, Erik Christian Montes Schütte","doi":"10.1002/jae.2964","DOIUrl":"https://doi.org/10.1002/jae.2964","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper elicits and quantifies narratives from open-ended surveys sent daily to US stockholders during the first wave of the COVID-19 pandemic. Using textual analysis, we extract 13 narratives and measure their prevalence over time. A validation analysis confirms the behavioral and economic relevance of the retrieved narratives. Moreover, we find that the narratives contain predictive information for future excess stock and bond returns, and this predictability remains when controlling for contemporaneous information stemming from news and social media. Finally, we find evidence that political identity is reflected in the narrative tone.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50134268","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}
{"title":"Identifying and interpreting the factors in factor models via sparsity: Different approaches","authors":"Thomas Despois, Catherine Doz","doi":"10.1002/jae.2967","DOIUrl":"10.1002/jae.2967","url":null,"abstract":"<p>This paper considers different approaches for identifying the factor structure and interpreting the factors without imposing their interpretation via restrictions: sparse PCA and factor rotations. We establish a new consistency result for the factors estimated by sparse PCA. Monte Carlo simulations show that our methods accurately estimate the factor structure, even in small samples. We apply them to large datasets about international business cycles and the US economy. For each empirical application, they identify the same factor structure, offering a clear economic interpretation. These exploratory methods can in particular justify or complement approaches that impose the factor structure a priori.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2967","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47593032","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}
{"title":"Subspace shrinkage in conjugate Bayesian vector autoregressions","authors":"Florian Huber, Gary Koop","doi":"10.1002/jae.2966","DOIUrl":"10.1002/jae.2966","url":null,"abstract":"<p>Macroeconomists using large datasets often face the choice of working with either a large vector autoregression (VAR) or a factor model. In this paper, we develop a conjugate Bayesian VAR with a subspace shrinkage prior that combines the two. This prior shrinks towards the subspace which is defined by a factor model. Our approach allows for estimating the strength of the shrinkage and the number of factors. After establishing the theoretical properties of our prior, we show that it successfully detects the number of factors in simulations and that it leads to forecast improvements using US macroeconomic data.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2966","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41880747","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}
{"title":"Using arbitrary precision arithmetic to sharpen identification analysis for DSGE models","authors":"Zhongjun Qu, Denis Tkachenko","doi":"10.1002/jae.2965","DOIUrl":"10.1002/jae.2965","url":null,"abstract":"<p>We introduce arbitrary precision arithmetic to resolve practical difficulties arising in the identification analysis of dynamic stochastic general equilibrium (DSGE) models. A three-step procedure is proposed to address local and global identification and the empirical distance between models. The method is applied to monetary and fiscal policy interaction models, revealing exact observational equivalence in a small-scale model between an indeterminate passive monetary and fiscal policy regime and determinate regimes, and near observational equivalence in a medium-scale model. Additionally, the method yields new insights for a model with news shocks, demonstrating that wage markup shocks can be replaced by unanticipated moving average shocks, resulting in near observational equivalence.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-02-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2965","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43237649","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}
Alexander Doser, Ricardo Nunes, Nikhil Rao, Viacheslav Sheremirov
{"title":"Inflation expectations and nonlinearities in the Phillips curve","authors":"Alexander Doser, Ricardo Nunes, Nikhil Rao, Viacheslav Sheremirov","doi":"10.1002/jae.2963","DOIUrl":"https://doi.org/10.1002/jae.2963","url":null,"abstract":"<p>This paper examines the presence of nonlinearities in the Phillips curve. We allow for a flexible form of nonlinearity and estimate a threshold regression model with the number and location of thresholds determined directly from the data. Over the estimation period starting in the late 1960s, we document that the linear model cannot be rejected if we properly control for inflation expectations. More precisely, not controlling for <i>consumer</i> expectations may lead the econometrician to overestimate the degree of nonlinearity. Our results hold with aggregate data, regional data, and controlling for cost-push shocks directly or using instrumental variables.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-02-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2963","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50127074","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}
{"title":"Robust forecast superiority testing with an application to assessing pools of expert forecasters","authors":"Valentina Corradi, Sainan Jin, Norman R. Swanson","doi":"10.1002/jae.2962","DOIUrl":"https://doi.org/10.1002/jae.2962","url":null,"abstract":"<div>\u0000 \u0000 <p>We develop forecast superiority tests that are robust to the choice of loss function by following Jin, Corradi and Swanson (JCS: 2017), and relying on a mapping between generic loss forecast evaluation and stochastic dominance principles. However, unlike JCS tests, which are not uniformly valid and are correctly sized only under the least favorable case, our tests are uniformly asymptotically valid and non-conservative. To show this, we establish uniform convergence of HAC variance estimators. Monte Carlo experiments indicate good finite sample performance of our tests, and an empirical illustration suggests that prior forecast accuracy matters in the Survey of Professional Forecasters.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50116503","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}