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Heterogeneity and Heteroskedasticity in Endogenous Switching Models: Estimating the Effects of Physician Advice on Calorie Consumption 内源性转换模型的异质性和异方差：估计医生建议对卡路里消耗的影响
IF 3.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2025-04-21 DOI: 10.1002/jae.3130
Riju Joshi, Jeffrey M. Wooldridge
{"title":"Heterogeneity and Heteroskedasticity in Endogenous Switching Models: Estimating the Effects of Physician Advice on Calorie Consumption","authors":"Riju Joshi,&nbsp;Jeffrey M. Wooldridge","doi":"10.1002/jae.3130","DOIUrl":"https://doi.org/10.1002/jae.3130","url":null,"abstract":"<div>\u0000 \u0000 <p>We describe two-step control function estimation procedures for estimating average treatment effects in constant coefficient endogenous switching models with a binary treatment. We allow for additional heterogeneity by allowing for heteroskedasticity in the latent error in the treatment assignment equation. We apply our estimation procedures to evaluate the causal effect of physician advice on calorie consumption using National Health and Nutritional Examination data (2007–2016) and find that the effect of physician advice to lose weight on average calorie consumption roughly doubles compared to the traditional methods. Our findings recognize physician advice as a relevant low-cost intervention in the campaign against rising obesity.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 5","pages":"540-553"},"PeriodicalIF":3.1,"publicationDate":"2025-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144767961","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 Peer Effect on Future Wages in the Workplace 职场中同伴效应对未来工资的影响
IF 3.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2025-04-21 DOI: 10.1002/jae.3127
Long Hong, Salvatore Lattanzio
{"title":"The Peer Effect on Future Wages in the Workplace","authors":"Long Hong,&nbsp;Salvatore Lattanzio","doi":"10.1002/jae.3127","DOIUrl":"https://doi.org/10.1002/jae.3127","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper examines workplace peer effects in two directions, leveraging employer-employee data for Italy. First, using a novel estimation approach and addressing endogenous worker-peer sorting, we estimate that a 10% increase in peer quality raises one's wage by 1.8% in the next year. The effect declines to 0.7% after 5 years. Second, in an event study around mobility episodes, we quantify wage changes associated with the entry and leave of high-quality and low-quality workers. Hiring high-quality workers positively affects peer wages, as does separating from low-quality workers. Movers experience immediate gains upon moving to high-quality peer groups.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 5","pages":"521-539"},"PeriodicalIF":3.1,"publicationDate":"2025-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144767994","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
A Measure of Trend Wage Inflation 衡量工资通胀趋势
IF 3.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2025-04-14 DOI: 10.1002/jae.3126
Martín Almuzara, Richard Audoly, Davide Melcangi
{"title":"A Measure of Trend Wage Inflation","authors":"Martín Almuzara,&nbsp;Richard Audoly,&nbsp;Davide Melcangi","doi":"10.1002/jae.3126","DOIUrl":"https://doi.org/10.1002/jae.3126","url":null,"abstract":"<div>\u0000 \u0000 <p>We extend time-series models that have so far been used to study price inflation and apply them to a microlevel data set containing worker-level information on hourly wages. We construct a measure of aggregate nominal wage growth that (i) filters out noise and very transitory movements, (ii) quantifies the importance of idiosyncratic factors for aggregate wage dynamics, and (iii) strongly co-moves with labor market tightness, unlike existing indicators of wage inflation. We show that our measure is a reliable real-time indicator of wage pressures and a good predictor of future wage growth.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 5","pages":"508-520"},"PeriodicalIF":3.1,"publicationDate":"2025-04-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144767507","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
A Random Forest–Based Panel Data Approach for Program Evaluation 一种基于随机森林的面板数据方法用于项目评估
IF 3.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2025-04-14 DOI: 10.1002/jae.3123
Guannan Liu, Wei Long, Xuehong Luo
{"title":"A Random Forest–Based Panel Data Approach for Program Evaluation","authors":"Guannan Liu,&nbsp;Wei Long,&nbsp;Xuehong Luo","doi":"10.1002/jae.3123","DOIUrl":"https://doi.org/10.1002/jae.3123","url":null,"abstract":"<div>\u0000 \u0000 <p>It is challenging to conduct controlled experiments to assess the impacts of social policy. To address this, past studies propose a panel data approach using factor models to estimate average treatment effects. The selection of control units is a critical step to balance the goodness of fit within-sample with the posttreatment forecasting error when the number of observed potential control units is large. In this study, we propose using random forests, an ensemble learning method, which offers robustness and requires fewer candidate models compared to existing methods. We demonstrate that our approach effectively selects almost all relevant control units, and we provide asymptotic normality results under the null of no average treatment effect and significance tests for policy interventions. Extensive simulations confirm the method's superior performance. In the empirical studies, we showcase the usefulness of the method by evaluating the impact of Brexit on the United Kingdom's GDP growth and China's anti-corruption campaign on the importation of luxury watches.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 6","pages":"591-607"},"PeriodicalIF":3.1,"publicationDate":"2025-04-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145230681","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
Environmental Regulations and Air Pollution in India: A Reexamination 印度的环境法规和空气污染：再考察
IF 3.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2025-04-07 DOI: 10.1002/jae.3124
Olexiy Kyrychenko
{"title":"Environmental Regulations and Air Pollution in India: A Reexamination","authors":"Olexiy Kyrychenko","doi":"10.1002/jae.3124","DOIUrl":"https://doi.org/10.1002/jae.3124","url":null,"abstract":"<p>This paper reexamines the effectiveness of environmental regulations in India, originally evaluated by Greenstone and Hanna (2014) using ground-based monitoring data. Replacing this sparse and inconsistent data with satellite-based reanalysis data reveals contrasting air pollution trends and notable differences in the evaluation of policies' effectiveness. The findings underscore the importance of reliable data for the accurate assessment of policy outcomes in regions with limited monitoring infrastructure.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 5","pages":"569-576"},"PeriodicalIF":3.1,"publicationDate":"2025-04-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3124","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144767494","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
Informing DSGE Models Through Dynamic Factor Models 通过动态因子模型通知DSGE模型
IF 3.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2025-03-25 DOI: 10.1002/jae.3122
Mario Forni, Luca Gambetti, Marco Lippi, Luca Sala
{"title":"Informing DSGE Models Through Dynamic Factor Models","authors":"Mario Forni,&nbsp;Luca Gambetti,&nbsp;Marco Lippi,&nbsp;Luca Sala","doi":"10.1002/jae.3122","DOIUrl":"https://doi.org/10.1002/jae.3122","url":null,"abstract":"<p>Structural dynamic factor models (SDFM) represent a reliable tool to inform the construction of dynamic stochastic general equilibrium (DSGE) models. The reason is that the log-linear solution of a DSGE model has a factor structure which ensures consistency between the representations of the two models. We assess the usefulness of SDFM for DSGE analysis by means of simulations. Using a standard DSGE model as the data generating process, we show that the factor model always provides accurate estimates of the impulse response functions. As an application, we reassess the literature studying the response of hours to technology shock. An additional application studies the effects of monetary policy.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 5","pages":"487-507"},"PeriodicalIF":3.1,"publicationDate":"2025-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3122","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144768122","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
Minimum Wages and Teenage Childbearing in the United States 美国的最低工资和青少年生育
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2025-03-05 DOI: 10.1002/jae.3112
Kyutaro Matsuzawa, Daniel I. Rees, Joseph J. Sabia, Rebecca Margolit
{"title":"Minimum Wages and Teenage Childbearing in the United States","authors":"Kyutaro Matsuzawa,&nbsp;Daniel I. Rees,&nbsp;Joseph J. Sabia,&nbsp;Rebecca Margolit","doi":"10.1002/jae.3112","DOIUrl":"https://doi.org/10.1002/jae.3112","url":null,"abstract":"<div>\u0000 \u0000 <p>The minimum wage is increasingly viewed as an important, but often neglected, tool for improving public health outcomes. Using data from the period 2003–2019 and a stacked difference-in-differences regression model that accounts for dynamic and heterogeneous treatment effects, we explore the relationship between minimum wages and teenage childbearing in the United States. We find no evidence of a systematic, negative relationship between minimum wages and childbearing among 15- through 19-year-olds. Likewise, our estimates are not consistent with the argument that minimum wages are an effective policy tool for discouraging female 15- through 19-year-olds from having unprotected sex.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 4","pages":"471-484"},"PeriodicalIF":2.3,"publicationDate":"2025-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144190799","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
Correction to “Heterogeneity and Dynamics in Network Models” 对“网络模型中的异质性和动态性”的修正
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2025-03-04 DOI: 10.1002/jae.3121
{"title":"Correction to “Heterogeneity and Dynamics in Network Models”","authors":"","doi":"10.1002/jae.3121","DOIUrl":"https://doi.org/10.1002/jae.3121","url":null,"abstract":"<p>D'Innocenzo, Enzo, Andre Lucas, Anne Opschoor, Xingmin Zhang (2024): “Heterogeneity and Dynamics in Network Models,” <i>Journal of Applied Econometrics</i>, <b>39</b>, 150-173. https://doi.org/10.1002/jae.3013</p><p>The figures and tables below give updated Tables 2–4 and Figures 3-9 from the original paper. The computer code distributed via https://www.gasmodel.com/code.htm has also been updated.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 3","pages":"349-356"},"PeriodicalIF":2.3,"publicationDate":"2025-03-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3121","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143749569","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
Dynamic Mixture Vector Autoregressions With Score-Driven Weights 具有分数驱动权重的动态混合向量自回归
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2025-03-01 DOI: 10.1002/jae.3119
Alexander Georges Gretener, Matthias Neuenkirch, Dennis Umlandt
{"title":"Dynamic Mixture Vector Autoregressions With Score-Driven Weights","authors":"Alexander Georges Gretener,&nbsp;Matthias Neuenkirch,&nbsp;Dennis Umlandt","doi":"10.1002/jae.3119","DOIUrl":"https://doi.org/10.1002/jae.3119","url":null,"abstract":"<p>We propose a novel dynamic mixture vector autoregressive (VAR) model where the time-varying mixture weights are driven by the predictive likelihood score. Intuitively, the weight of a component VAR model is increased in the subsequent period if the current observation is more likely to be drawn from this state. The model is not limited to a specific distributional assumption and allows for straightforward likelihood-based estimation and inference. In a Monte Carlo study, we document the model's ability to filter and predict mixture dynamics across different data-generating processes. Moreover, we illustrate the model's empirical performance with the help of two applications.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 4","pages":"455-470"},"PeriodicalIF":2.3,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3119","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144190642","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
Modelling Volatility Cycles: The MF2-GARCH Model 波动周期建模：MF2-GARCH模型
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2025-02-24 DOI: 10.1002/jae.3118
Christian Conrad, Robert F. Engle
{"title":"Modelling Volatility Cycles: The MF2-GARCH Model","authors":"Christian Conrad,&nbsp;Robert F. Engle","doi":"10.1002/jae.3118","DOIUrl":"https://doi.org/10.1002/jae.3118","url":null,"abstract":"<p>We propose a novel multiplicative factor multi-frequency GARCH (MF2-GARCH) model, which exploits the empirical fact that the daily standardized forecast errors of one-component GARCH models are predictable by a moving average of past standardized forecast errors. In contrast to other multiplicative component GARCH models, the MF2-GARCH features stationary returns, and long-term volatility forecasts are mean-reverting. When applied to the S&amp;P 500, the new component model significantly outperforms the one-component GJR-GARCH, the GARCH-MIDAS-RV, and the log-HAR model in long-term out-of-sample forecasting. We illustrate the MF2-GARCH's scalability by applying the new model to more than 2100 individual stocks in the Volatility Lab at NYU Stern.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 4","pages":"438-454"},"PeriodicalIF":2.3,"publicationDate":"2025-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3118","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144191254","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
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