Journal of Applied Econometrics最新文献

{"title":"A Smooth Specification Test for the Propensity Score","authors":"Shiyao Huang,&nbsp;Xiaojun Song","doi":"10.1002/jae.70077","DOIUrl":"https://doi.org/10.1002/jae.70077","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper proposes a simple smooth specification test for the propensity score in the spirit of Neyman (1937). We derive a particular restriction on the propensity score and construct the specification test based on it. Using the density-weighting method, we transform the original specification testing problem into a test of the joint significance of the generalized Fourier coefficients. We propose a novel projection method to eliminate the parameter estimation effect arising from estimating unknown nuisance parameters. The proposed test is shown to follow a standard <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <msup>\u0000 <mrow>\u0000 <mi>χ</mi>\u0000 </mrow>\u0000 <mrow>\u0000 <mn>2</mn>\u0000 </mrow>\u0000 </msup>\u0000 </mrow>\u0000 <annotation>$$ {chi}^2 $$</annotation>\u0000 </semantics></math> distribution under the null hypothesis and to possess nontrivial asymptotic power against local alternatives that converge to the null at the parametric rate <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <msup>\u0000 <mrow>\u0000 <mi>n</mi>\u0000 </mrow>\u0000 <mrow>\u0000 <mo>−</mo>\u0000 <mn>1</mn>\u0000 <mo>/</mo>\u0000 <mn>2</mn>\u0000 </mrow>\u0000 </msup>\u0000 </mrow>\u0000 <annotation>$$ {n}^{-1/2} $$</annotation>\u0000 </semantics></math>, where <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>n</mi>\u0000 </mrow>\u0000 <annotation>$$ n $$</annotation>\u0000 </semantics></math> is the sample size. To enhance the practical applicability of the procedure, we further introduce a data-driven selection method for determining the testing order, enabling automatic selection based on the observed data. Compared to existing methods, our test does not suffer from the “curse of dimensionality” faced by Shaikh et al. (2009); at the same time, our test is both asymptotically pivotal and more computationally efficient than that of Sant'Anna and Song (2019). Extensive simulations demonstrate that the proposed test yields satisfactory empirical size and power. Compared with previous tests, our test exhibits comparable overall performance and delivers clear improvements in some cases, especially for high-frequency alternatives. Two empirical applications further illustrate the practical applicability of our proposal, examining propensity score specifications in the Soviet 156 Program and the US Job Corps Program.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 6","pages":"821-839"},"PeriodicalIF":2.5,"publicationDate":"2026-10-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"149099776","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":"Fiscal Policy Regimes in Resource-Rich Economies","authors":"Hilde C. Bjørnland,&nbsp;Roberto Casarin,&nbsp;Marco Lorusso,&nbsp;Francesco Ravazzolo","doi":"10.1002/jae.70074","DOIUrl":"https://doi.org/10.1002/jae.70074","url":null,"abstract":"<p>We analyse fiscal policy in resource-rich economies using a novel Bayesian regime-switching panel model. The identified regimes capture pro- or countercyclical fiscal behaviour by allowing regime-specific shifts in the average fiscal stance, while the switches between the regimes have the interpretation of changes in fiscal policy. Applying the model to a panel of sixteen oil-producing economies, we show that fiscal policy has alternated between a procyclical and countercyclical regime multiple times over the sample. Furthermore, we find that fiscal policy is more volatile in the procyclical regime and that the probability of being in the procyclical regime is higher for OPEC countries than for non-OPEC countries. We also show that following either an increase or decrease in oil revenues, the growth in government expenditures is mostly increasing, suggesting an upward bias in expenditures in oil-producing countries. These are new findings in the literature.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 6","pages":"776-790"},"PeriodicalIF":2.5,"publicationDate":"2026-10-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.70074","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"149100153","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 Tests of Forecast Accuracy for Factor-Augmented Regressions With an Application to the Novel EA-MD-QD Dataset","authors":"Alessandro Morico,&nbsp;Ovidijus Stauskas","doi":"10.1002/jae.70056","DOIUrl":"https://doi.org/10.1002/jae.70056","url":null,"abstract":"<p>We present four novel tests of equal predictive accuracy and encompassing á Pitarakis (2023, 2025) for factor-augmented regressions. Factors are estimated using cross-section averages (CAs) of grouped series and our theoretical findings are empirically relevant: asymptotic normality, robustness to an overspecification of the number of factors, tractability of different degrees of predictor persistence, and invariance to the location of structural breaks in the loadings. Simulations reveal good local power properties of our tests. We apply them to the novel EA-MD-QD dataset by Barigozzi et al. (2024b)—which covers the Euro Area as a whole and its primary member countries—and show that factors offer predictive power.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 5","pages":"549-566"},"PeriodicalIF":2.5,"publicationDate":"2026-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.70056","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148662055","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":"Joint Inference for the Regression Discontinuity Effect and Its External Validity","authors":"Yuta Okamoto","doi":"10.1002/jae.70063","DOIUrl":"https://doi.org/10.1002/jae.70063","url":null,"abstract":"<div>\u0000 \u0000 <p>The external validity of regression discontinuity designs is crucial for informing policy but is rarely examined in applied work. To advance empirical practice, we propose a joint inference procedure for the treatment effect and its local external validity, captured by the treatment effect derivative (TED), within a robust bias correction framework. We further introduce a locally linear treatment effects assumption, which extends the scope of the TED and enables identification and the construction of a uniform confidence band for extrapolated effects. These methods apply to most empirical studies. Empirical illustrations demonstrate their practical usefulness.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 5","pages":"627-640"},"PeriodicalIF":2.5,"publicationDate":"2026-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148662562","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":"Optimal Covariate Discretization in Adaptive Randomized Experiments","authors":"Seongjin Jin","doi":"10.1002/jae.70066","DOIUrl":"https://doi.org/10.1002/jae.70066","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper introduces a novel method to adaptively design randomized experiments. For randomized experiments with a pilot stage, or multistage experiments, Hahn et al. (2011) propose an adaptive experimental design that adjusts the next stage's propensity score based on data from the previous stages. This paper discusses how the discretization of covariates affects the precision of the estimation of the average treatment effect (ATE) through the estimated propensity score for the next stage. Also, this paper proposes an algorithm using the bootstrap technique to find the optimal level of discretization of covariates. Monte Carlo simulations and an application with actual data show that the suggested method performs well.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 5","pages":"641-654"},"PeriodicalIF":2.5,"publicationDate":"2026-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148662888","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":"Monetary Policy Shocks and Exchange Rate Dynamics in Small Open Economies","authors":"Madison Terrell,&nbsp;Qazi Haque,&nbsp;Jamie L. Cross,&nbsp;Firmin Doko Tchatoka","doi":"10.1002/jae.70051","DOIUrl":"https://doi.org/10.1002/jae.70051","url":null,"abstract":"<p>This paper investigates whether the effects of monetary policy shocks on real exchange rates have changed over time and, if so, whether these changes stem from shifts in transmission mechanisms or from variation in the volatility of the shocks themselves. Using a time-varying parameter VAR with stochastic volatility for six small open economies, we first show that a constant-parameter VAR with stochastic volatility provides the best fit to the data in all six cases. We then employ an identification strategy that combines short- and long-run restrictions to isolate monetary policy shocks, and we evaluate its robustness using high-frequency monetary policy surprises as external instruments. Our results support Dornbusch's overshooting hypothesis in most countries. However, uncovered interest parity is frequently violated, as foreign excess returns diverge from zero following monetary policy shocks. Finally, we document a substantial decline in the volatility of monetary policy shocks since the 1990s, leading to a reduced contribution to exchange rate and macroeconomic fluctuations.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 5","pages":"511-522"},"PeriodicalIF":2.5,"publicationDate":"2026-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.70051","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148662677","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":"Reassessing the Cross-Sectional Fiscal Multiplier: Evidence From U.S. Defense Procurement, 1966–2019","authors":"Gianluca Pallante","doi":"10.1002/jae.70058","DOIUrl":"https://doi.org/10.1002/jae.70058","url":null,"abstract":"<p>This paper revisits the empirical analysis of Nakamura and Steinsson (2014). I reconstructed and extended the original dataset to cover the period 1966–2019, harmonizing two major sources of data: the Defense Contract Action Data System (DCADS) and USAspending.gov. I discuss how to aggregate these contract-level data to better capture spending more directly tied to domestic stimulus. Estimated multipliers are slightly lower in narrow replications but increase when incorporating later fiscal episodes. I also assess the validity and stability of cross-sectional estimates. While some heterogeneity exists, dispersion in state-level responses remains within reasonable boundaries, especially when accounting for dynamic persistence.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 5","pages":"718-726"},"PeriodicalIF":2.5,"publicationDate":"2026-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.70058","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148662039","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":"Dynamic Factor Correlations","authors":"Chen Tong,&nbsp;Peter Reinhard Hansen","doi":"10.1002/jae.70062","DOIUrl":"https://doi.org/10.1002/jae.70062","url":null,"abstract":"<div>\u0000 \u0000 <p>We introduce a dynamic factor correlation model whose core methodological innovation is a variation-free parametrization of dynamic factor loadings, inspired by the generalized Fisher transformation. The model accommodates time-varying correlations, heterogeneous heavy tails, and dependent idiosyncratic shocks. Applied to a Small Universe of 12 assets and a Large Universe of 323 stocks, the factor structure induces a sparse idiosyncratic correlation matrix with dependencies concentrated within subindustries, enabling scalability to high dimensions under a sparse block structure. Both factor loadings and correlations vary substantially. Allowing for heterogeneous heavy tails via convolution-<span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>t</mi>\u0000 </mrow>\u0000 <annotation>$$ t $$</annotation>\u0000 </semantics></math> distributions yields sizable improvements relative to Gaussian and multivariate-<span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>t</mi>\u0000 </mrow>\u0000 <annotation>$$ t $$</annotation>\u0000 </semantics></math> benchmarks.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 5","pages":"580-596"},"PeriodicalIF":2.5,"publicationDate":"2026-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148662362","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":"A Joint Test of Unconfoundedness and Common Trends","authors":"Martin Huber,&nbsp;Eva-Maria Oeß","doi":"10.1002/jae.70068","DOIUrl":"https://doi.org/10.1002/jae.70068","url":null,"abstract":"<p>We introduce an overidentification test of two alternative assumptions to identify the average treatment effect on the treated in a two-period panel data setting: unconfoundedness and common trends. Under unconfoundedness, treatment assignment and post-treatment outcomes are independent, conditional on control variables and pre-treatment outcomes, which motivates including the pre-treatment outcomes in the set of controls. Under common trends, the trend and the treatment assignment are independent, conditional on control variables, motivating a Difference-in-Differences (DiD) approach. Given the non-nested nature of these assumptions and their often ambiguous plausibility in empirical settings, we propose a joint test using a doubly robust statistic that can be combined with machine learning to control for observed confounders in a data-driven manner. We discuss causal models satisfying either common trends, unconfoundedness, or both assumptions. Applying the proposed method to publicly available datasets, we find that the test rejects the null hypothesis in two out of four cases.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 5","pages":"684-709"},"PeriodicalIF":2.5,"publicationDate":"2026-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.70068","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148662582","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":"Monetary Policy Shocks and Exchange Rate Dynamics in Small Open Economies","authors":"Madison Terrell,&nbsp;Qazi Haque,&nbsp;Jamie L. Cross,&nbsp;Firmin Doko Tchatoka","doi":"10.1002/jae.70051","DOIUrl":"https://doi.org/10.1002/jae.70051","url":null,"abstract":"<p>This paper investigates whether the effects of monetary policy shocks on real exchange rates have changed over time and, if so, whether these changes stem from shifts in transmission mechanisms or from variation in the volatility of the shocks themselves. Using a time-varying parameter VAR with stochastic volatility for six small open economies, we first show that a constant-parameter VAR with stochastic volatility provides the best fit to the data in all six cases. We then employ an identification strategy that combines short- and long-run restrictions to isolate monetary policy shocks, and we evaluate its robustness using high-frequency monetary policy surprises as external instruments. Our results support Dornbusch's overshooting hypothesis in most countries. However, uncovered interest parity is frequently violated, as foreign excess returns diverge from zero following monetary policy shocks. Finally, we document a substantial decline in the volatility of monetary policy shocks since the 1990s, leading to a reduced contribution to exchange rate and macroeconomic fluctuations.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 5","pages":"511-522"},"PeriodicalIF":2.5,"publicationDate":"2026-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.70051","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148662447","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}