发布求助
文献互助 智能选刊 最新文献

Journal of Applied Econometrics最新文献

筛选
英文 中文
Spread Regression, Skewness Regression, and Kurtosis Regression With an Application to the US Wage Structure 扩散回归、偏度回归和峰度回归在美国工资结构中的应用
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2025-01-27 DOI: 10.1002/jae.3105
Qiang Chen, Zhijie Xiao
{"title":"Spread Regression, Skewness Regression, and Kurtosis Regression With an Application to the US Wage Structure","authors":"Qiang Chen,&nbsp;Zhijie Xiao","doi":"10.1002/jae.3105","DOIUrl":"https://doi.org/10.1002/jae.3105","url":null,"abstract":"<p>Quantile regression provides a powerful tool for investigating the effects of covariates on key quantiles of a conditional distribution. However, we often lack a general picture of how covariates affect the overall shape of the conditional distribution. Using quantile regression estimation and quantile-based measures of spread, skewness, and kurtosis, we propose spread regression, skewness regression, and kurtosis regression as empirical tools to quantify the effects of covariates on the spread, skewness, and kurtosis of the conditional distribution. This methodology is applied to US wage data during 1980–2019 with substantive findings, and a comparison is made with a moment-based robust approach. In addition, we decompose changes in the spread into composition effects and structural effects to clarify rising inequality. We also provide the Stata commands spreadreg, skewreg, and kurtosisreg, which are available from the Statistical Software Components (SSC) archive, for easy implementation of spread, skewness, and kurtotis regressions.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 3","pages":"325-340"},"PeriodicalIF":2.3,"publicationDate":"2025-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3105","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143749980","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
Exchange Rates, Uncovered Interest Parity, and Time-Varying Fama Regressions 汇率、未发现的利率平价和时变法玛回归
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2025-01-23 DOI: 10.1002/jae.3111
Bowen Fu, Mengheng Li, Qazi Haque
{"title":"Exchange Rates, Uncovered Interest Parity, and Time-Varying Fama Regressions","authors":"Bowen Fu,&nbsp;Mengheng Li,&nbsp;Qazi Haque","doi":"10.1002/jae.3111","DOIUrl":"https://doi.org/10.1002/jae.3111","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper studies the forward premium puzzle, which signals a violation of the uncovered interest parity (UIP) hypothesis. We test this hypothesis with Fama-style regressions with time-varying parameters (TVPs) and stochastic volatility (SV) on six major currencies relative to the US dollar on monthly samples from 1993 to 2018. TVP-SV regressions are also employed to examine the opposing predictions of the forward premium and excess volatility puzzles often found in exchange rate risk premiums and interest rate differentials. Using Bayesian methods, we document that the riskiness of exchange rates explains the forward premium puzzle, while a liquidity premium reconciles the contrasting predictions of the forward premium and excess volatility puzzles.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 3","pages":"310-324"},"PeriodicalIF":2.3,"publicationDate":"2025-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143750003","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
Standard Errors for Difference-in-Difference Regression 差中差回归的标准误差
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2025-01-22 DOI: 10.1002/jae.3110
Bruce E. Hansen
{"title":"Standard Errors for Difference-in-Difference Regression","authors":"Bruce E. Hansen","doi":"10.1002/jae.3110","DOIUrl":"https://doi.org/10.1002/jae.3110","url":null,"abstract":"<p>This paper makes a case for the use of jackknife methods for standard error, \u0000<span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>p</mi>\u0000 </mrow>\u0000 <annotation>$$ p $$</annotation>\u0000 </semantics></math> value, and confidence interval construction for difference-in-difference (DiD) regression. We review cluster-robust, bootstrap, and jackknife standard error methods and show that standard methods can substantially underperform in conventional settings. In contrast, our proposed jackknife inference methods work well in broad contexts. We illustrate the relevance by replicating several influential DiD applications and showing how inferential results can change if jackknife standard error and inference methods are used.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 3","pages":"291-309"},"PeriodicalIF":2.3,"publicationDate":"2025-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3110","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143749493","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
Tracking Economic Activity With Alternative High-Frequency Data 用另类高频数据跟踪经济活动
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2025-01-21 DOI: 10.1002/jae.3104
Florian Eckert, Philipp Kronenberg, Heiner Mikosch, Stefan Neuwirth
{"title":"Tracking Economic Activity With Alternative High-Frequency Data","authors":"Florian Eckert,&nbsp;Philipp Kronenberg,&nbsp;Heiner Mikosch,&nbsp;Stefan Neuwirth","doi":"10.1002/jae.3104","DOIUrl":"https://doi.org/10.1002/jae.3104","url":null,"abstract":"<p>Monthly macroeconomic series captured the sharp fluctuations during the COVID-19 pandemic only with a lag. The use of alternative high-frequency data is promising for crisis periods, but it is difficult to extract relevant business cycle information from them. We present a Bayesian mixed-frequency dynamic factor model with stochastic volatility for measuring GDP growth at high-frequency intervals. Its novelty is an additional state-space block, in which the sparse observations in the mixed-frequency data are augmented to a balanced panel with observed and estimated latent information. The dynamic factors are then estimated conditional on the augmented data. Our model exploits the information in rich datasets of weekly, monthly, and quarterly series, including alternative high-frequency data. GDP is nowcasted timely and accurately during volatile periods.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 3","pages":"270-290"},"PeriodicalIF":2.3,"publicationDate":"2025-01-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3104","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143749954","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
Model Averaging and Double Machine Learning 模型平均和双机器学习
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2025-01-19 DOI: 10.1002/jae.3103
Achim Ahrens, Christian B. Hansen, Mark E. Schaffer, Thomas Wiemann
{"title":"Model Averaging and Double Machine Learning","authors":"Achim Ahrens,&nbsp;Christian B. Hansen,&nbsp;Mark E. Schaffer,&nbsp;Thomas Wiemann","doi":"10.1002/jae.3103","DOIUrl":"https://doi.org/10.1002/jae.3103","url":null,"abstract":"<p>This paper discusses pairing double/debiased machine learning (DDML) with <i>stacking</i>, a model averaging method for combining multiple candidate learners, to estimate structural parameters. In addition to conventional stacking, we consider two stacking variants available for DDML: <i>Short-stacking</i> exploits the cross-fitting step of DDML to substantially reduce the computational burden, and <i>pooled stacking</i> enforces common stacking weights over cross-fitting folds. Using calibrated simulation studies and two applications estimating gender gaps in citations and wages, we show that DDML with stacking is more robust to partially unknown functional forms than common alternative approaches based on single pre-selected learners. We provide Stata and <span>R</span> software implementing our proposals.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 3","pages":"249-269"},"PeriodicalIF":2.3,"publicationDate":"2025-01-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3103","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143749897","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
Binary Response Model With Many Weak Instruments 具有多弱仪器的二元响应模型
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2025-01-18 DOI: 10.1002/jae.3101
Dakyung Seong
{"title":"Binary Response Model With Many Weak Instruments","authors":"Dakyung Seong","doi":"10.1002/jae.3101","DOIUrl":"https://doi.org/10.1002/jae.3101","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper considers an endogenous binary response model with many weak instruments. We employ a control function approach and a regularization scheme to obtain better estimation results for the endogenous binary response model in the presence of many weak instruments. Two consistent and asymptotically normally distributed estimators are provided, each of which is called a regularized conditional maximum likelihood estimator (RCMLE) and a regularized nonlinear least squares estimator (RNLSE). Monte Carlo simulations show that the proposed estimators outperform the existing ones when there are many weak instruments. We use the proposed estimation method to examine the effect of family income on college completion.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 2","pages":"214-230"},"PeriodicalIF":2.3,"publicationDate":"2025-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143555051","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
US Monetary Policy and Indeterminacy 美国货币政策与不确定性
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2025-01-13 DOI: 10.1002/jae.3107
Giovanni Nicolò
{"title":"US Monetary Policy and Indeterminacy","authors":"Giovanni Nicolò","doi":"10.1002/jae.3107","DOIUrl":"https://doi.org/10.1002/jae.3107","url":null,"abstract":"<div>\u0000 \u0000 <p>In this paper, I investigate the stance of the US monetary policy in the postwar period. To this end, I show that two features are key: a rich structural model and a parameterization of the indeterminate solution that ensures a sufficient exploration of the indeterminacy region during the estimation procedure. Therefore, I estimate a medium-scale model on the US macroeconomic data using a novel solution method to allow for indeterminacy. The evidence of a passive monetary policy in the pre-1979 period is pervasive and robust to the use of alternative model specifications and data. By contrast, the evidence of an active stance after 1979 is overturned if the period of the Volcker disinflation is excluded or if the model is estimated including a time-varying inflation target and data on inflation expectations.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 2","pages":"195-213"},"PeriodicalIF":2.3,"publicationDate":"2025-01-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143554932","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
Identifying the Sources of the Slowdown in Growth: Demand Versus Supply 确定增长放缓的根源：需求与供给
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2025-01-11 DOI: 10.1002/jae.3109
Nicolò Maffei-Faccioli
{"title":"Identifying the Sources of the Slowdown in Growth: Demand Versus Supply","authors":"Nicolò Maffei-Faccioli","doi":"10.1002/jae.3109","DOIUrl":"https://doi.org/10.1002/jae.3109","url":null,"abstract":"<div>\u0000 \u0000 <p>Long-run GDP growth has declined in the United States over the past two decades. Two competing views take centre stage in accounting for this slowdown: the demand-side view and the supply-side view. I empirically quantify their relative importance in a Bayesian SVAR with common trends identified using sign restrictions. While supply-side factors were the main driver of long-run GDP growth prior to 2000, demand-side factors explain half of its slowdown afterwards. The findings highlight the importance of demand-side factors as drivers of long-run growth.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 2","pages":"181-194"},"PeriodicalIF":2.3,"publicationDate":"2025-01-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143554863","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 Reassessment of Likelihood Approximation by Integration on Sparse Grids 稀疏网格上积分似然逼近的再评价
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2025-01-07 DOI: 10.1002/jae.3108
Szilárd Madaras, Zsolt Sándor
{"title":"A Reassessment of Likelihood Approximation by Integration on Sparse Grids","authors":"Szilárd Madaras,&nbsp;Zsolt Sándor","doi":"10.1002/jae.3108","DOIUrl":"https://doi.org/10.1002/jae.3108","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper revisits sparse grid integration proposed in the literature for approximating integrals that occur as choice probabilities in random coefficient discrete choice models. First, we successfully replicate their main findings for the panel mixed logit. Second, for higher variances and for a different structure of the variances of the random coefficients, in certain cases, we fail to replicate the original results. Third, for the important special case of cross-sectional mixed logit, replication of the original results is successful when the number of alternatives is moderate but fails otherwise.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 2","pages":"237-245"},"PeriodicalIF":2.3,"publicationDate":"2025-01-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143555042","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
Reassessing the Predictive Power of the Yield Spread for Recessions in the United States 重新评估美国经济衰退的收益率差预测能力
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-12-30 DOI: 10.1002/jae.3106
Patrick J. Coe, Shaun P. Vahey
{"title":"Reassessing the Predictive Power of the Yield Spread for Recessions in the United States","authors":"Patrick J. Coe,&nbsp;Shaun P. Vahey","doi":"10.1002/jae.3106","DOIUrl":"https://doi.org/10.1002/jae.3106","url":null,"abstract":"<p>Rudebusch and Williams (2009) predict recessions in the United States utilising a probit model with the lagged yield spread as a real-time predictor. Mindful of the importance of recent yield curve movements, we update their analysis and evaluate quarterly forecasts from their probit model up to the end of 2023. We also analyze lagged financial conditions as an alternative real-time predictor. We find that both the yield spread and financial conditions perform relatively well at the longer horizons considered by the experts in the Survey of Professional Forecasters.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 2","pages":"231-236"},"PeriodicalIF":2.3,"publicationDate":"2024-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3106","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143554998","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
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信