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Fast and order-invariant inference in Bayesian VARs with nonparametric shocks 具有非参数冲击的贝叶斯 VAR 中的快速有序不变推理
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-08-07 DOI: 10.1002/jae.3087
Florian Huber, Gary Koop
{"title":"Fast and order-invariant inference in Bayesian VARs with nonparametric shocks","authors":"Florian Huber,&nbsp;Gary Koop","doi":"10.1002/jae.3087","DOIUrl":"10.1002/jae.3087","url":null,"abstract":"<p>The shocks that hit macroeconomic models such as Vector Autoregressions (VARs) have the potential to be non-Gaussian, exhibiting asymmetries and fat tails. This consideration motivates the VAR developed in this paper that uses a Dirichlet process mixture (DPM) to model the reduced-form shocks. However, we do not follow the obvious strategy of simply modeling the VAR errors with a DPM as this would lead to computationally infeasible Bayesian inference in larger VARs and potentially a sensitivity to the way the variables are ordered in the VAR. Instead, we develop a particular additive error structure inspired by Bayesian nonparametric treatments of random effects in panel data models. We show that this leads to a model that allows for computationally fast and order-invariant inference in large VARs with nonparametric shocks. Our empirical results with nonparametric VARs of various dimensions show that nonparametric treatment of the VAR errors often improves forecast accuracy and can be used to analyze the changing transmission of US monetary policy.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 7","pages":"1301-1320"},"PeriodicalIF":2.3,"publicationDate":"2024-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3087","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141944526","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
Structural breaks and GARCH models of exchange rate volatility: Re-examination and extension 汇率波动的结构性中断和 GARCH 模型：重新审视和扩展
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-08-06 DOI: 10.1002/jae.3091
Akram Shavkatovich Hasanov, Robert Brooks, Sirojiddin Abrorov, Aktam Usmanovich Burkhanov
{"title":"Structural breaks and GARCH models of exchange rate volatility: Re-examination and extension","authors":"Akram Shavkatovich Hasanov,&nbsp;Robert Brooks,&nbsp;Sirojiddin Abrorov,&nbsp;Aktam Usmanovich Burkhanov","doi":"10.1002/jae.3091","DOIUrl":"10.1002/jae.3091","url":null,"abstract":"<p>We examine the empirical significance of structural changes concerning generalized autoregressive conditional heteroskedasticity (GARCH) models of exchange rate volatility using out-of-sample tests by replicating and carrying out robustness checks on the volatility forecasting study by Rapach and Strauss (Journal of Applied Econometrics, 2008; 23, 65–90). We employ the same econometric models but incorporate recent US dollar daily exchange rates data while also using different software, a relatively recent forecast accuracy test and loss metrics. Our objective is to attain scientific replication in a broad sense. Our analysis verifies and broadly aligns with the results obtained in the original study. In particular, we find strong evidence that the models incorporating structural breaks demonstrate superior performance across all loss functions and forecast horizons compared with those models that ignore instabilities.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 7","pages":"1403-1407"},"PeriodicalIF":2.3,"publicationDate":"2024-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3091","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141944541","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
Sudden stop: Supply and demand shocks in the German natural gas market 急刹车：德国天然气市场的供需冲击
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-07-31 DOI: 10.1002/jae.3089
Jochen Güntner, Magnus Reif, Maik Wolters
{"title":"Sudden stop: Supply and demand shocks in the German natural gas market","authors":"Jochen Güntner,&nbsp;Magnus Reif,&nbsp;Maik Wolters","doi":"10.1002/jae.3089","DOIUrl":"10.1002/jae.3089","url":null,"abstract":"<p>We use a structural vector autoregressive (SVAR) model to study the German natural gas market and investigate the impact of the 2022 Russian supply stop on the German economy. Combining conventional and narrative sign restrictions, we find that gas supply and demand shocks have large and persistent price effects, while output effects tend to be moderate. The 2022 natural gas price spike was driven by adverse supply shocks and positive storage demand shocks, as Germany filled its inventories before the winter. Counterfactual simulations of an embargo on natural gas imports from Russia indicate similar positive price and negative output effects compared with what we observe in the data.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 7","pages":"1282-1300"},"PeriodicalIF":2.3,"publicationDate":"2024-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3089","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141866628","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
The boosted Hodrick-Prescott filter is more general than you might think 增强型霍德里克-普雷斯科特滤波器比你想象的更通用
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-07-30 DOI: 10.1002/jae.3086
Ziwei Mei, Peter C. B. Phillips, Zhentao Shi
{"title":"The boosted Hodrick-Prescott filter is more general than you might think","authors":"Ziwei Mei,&nbsp;Peter C. B. Phillips,&nbsp;Zhentao Shi","doi":"10.1002/jae.3086","DOIUrl":"10.1002/jae.3086","url":null,"abstract":"<p>The global financial crisis and Covid-19 recession have renewed discussion concerning trend-cycle discovery in macroeconomic data, and boosting has recently upgraded the popular Hodrick-Prescott filter to a modern machine learning device suited to data-rich and rapid computational environments. This paper extends boosting's trend determination capability to higher order integrated processes and time series with roots that are local to unity. The theory is established by understanding the asymptotic effect of boosting on a simple exponential function. Given a universe of time series in FRED databases that exhibit various dynamic patterns, boosting timely captures downturns at crises and recoveries that follow.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 7","pages":"1260-1281"},"PeriodicalIF":2.3,"publicationDate":"2024-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3086","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141866630","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
Medical marijuana legalization and parenting behaviors: An analysis of the time use of parents 医用大麻合法化与养育行为：对父母使用时间的分析
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-07-14 DOI: 10.1002/jae.3084
Cynthia Bansak, Jun Hyung Kim
{"title":"Medical marijuana legalization and parenting behaviors: An analysis of the time use of parents","authors":"Cynthia Bansak,&nbsp;Jun Hyung Kim","doi":"10.1002/jae.3084","DOIUrl":"10.1002/jae.3084","url":null,"abstract":"<div>\u0000 \u0000 <p>Can access to medical marijuana improve parenting? We examine the consequences of state-level medical marijuana legalization (MML) on parents' time use. Medical marijuana may increase parenting time by improving parents' health but only if parents do not abuse marijuana. We find that MML increases parenting time, with bigger impacts for those less likely to abuse marijuana. The effects correspond to 12.56% of the gap in active childcare and 8.92% of the gap in passive childcare by parents' education level. MML also reduces inactive time and increases sleep, consistent with medical marijuana's health benefits.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 7","pages":"1245-1259"},"PeriodicalIF":2.3,"publicationDate":"2024-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141649640","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 effect of plough agriculture on gender roles: A machine learning approach 犁耕农业对性别角色的影响：机器学习方法
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-07-09 DOI: 10.1002/jae.3083
Anna Baiardi, Andrea A. Naghi
{"title":"The effect of plough agriculture on gender roles: A machine learning approach","authors":"Anna Baiardi,&nbsp;Andrea A. Naghi","doi":"10.1002/jae.3083","DOIUrl":"10.1002/jae.3083","url":null,"abstract":"<p>This paper undertakes a replication in a wide sense of a recent study that examines the relationship between historical plough agriculture and current gender roles. We revisit the main research question with recently developed causal machine learning methods, which allow researchers to model the relationship of covariates with the treatment and the outcomes in a more flexible way, while also including interactions and nonlinearities that were not considered in the original analysis. Our results suggest an even larger negative effect of the historical plough adoption on female labor force participation than what the original analysis found. The paper highlights the benefits of using causal machine learning methods in applied empirical economics.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 7","pages":"1396-1402"},"PeriodicalIF":2.3,"publicationDate":"2024-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3083","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141584917","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
Nowcasting Norwegian household consumption with debit card transaction data 利用借记卡交易数据对挪威家庭消费进行预测
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-07-07 DOI: 10.1002/jae.3076
Knut Are Aastveit, Tuva Marie Fastbø, Eleonora Granziera, Kenneth Sæterhagen Paulsen, Kjersti Næss Torstensen
{"title":"Nowcasting Norwegian household consumption with debit card transaction data","authors":"Knut Are Aastveit,&nbsp;Tuva Marie Fastbø,&nbsp;Eleonora Granziera,&nbsp;Kenneth Sæterhagen Paulsen,&nbsp;Kjersti Næss Torstensen","doi":"10.1002/jae.3076","DOIUrl":"10.1002/jae.3076","url":null,"abstract":"<p>We use a novel data set covering all domestic debit card transactions in physical terminals by Norwegian households, to nowcast quarterly Norwegian household consumption. These card payments data are not subject to revisions and are available weekly without delays, providing a valuable early indicator of household spending. To account for mixed-frequency data, we estimate various quantile mixed-data sampling (QMIDAS) regressions using predictors sampled at monthly and weekly frequency. We evaluate both point and density forecasting performance over the sample 2011Q4–2019Q4. Our results show that MIDAS regressions with debit card transactions data improve both point and density forecast accuracy over competitive standard benchmark models that use alternative high-frequency predictors. Finally, we illustrate the benefits of using the card payments data by obtaining a timely and relatively accurate nowcast of 2020Q1, a quarter characterized by heightened uncertainty due to the COVID-19 pandemic. We further show how debit card data have been useful in nowcasting consumption during the four subsequent quarters.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 7","pages":"1220-1244"},"PeriodicalIF":2.3,"publicationDate":"2024-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3076","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141576252","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
Agglomerative hierarchical clustering for selecting valid instrumental variables 用于选择有效工具变量的聚合分层聚类法
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-07-05 DOI: 10.1002/jae.3078
Nicolas Apfel, Xiaoran Liang
{"title":"Agglomerative hierarchical clustering for selecting valid instrumental variables","authors":"Nicolas Apfel,&nbsp;Xiaoran Liang","doi":"10.1002/jae.3078","DOIUrl":"10.1002/jae.3078","url":null,"abstract":"<p>We propose a procedure that combines hierarchical clustering with a test of overidentifying restrictions for selecting valid instrumental variables (IV) from a large set of IVs. Some of these IVs may be invalid in that they fail the exclusion restriction. We show that if the largest group of IVs is valid, our method achieves oracle properties. Unlike existing techniques, our work deals with multiple endogenous regressors. Simulation results suggest an advantageous performance of the method in various settings. The method is applied to estimating the effect of immigration on wages.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 7","pages":"1201-1219"},"PeriodicalIF":2.3,"publicationDate":"2024-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3078","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141576253","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
Part-time subsidies and maternal reemployment: Evidence from a difference-in-differences analysis 兼职补贴与产妇再就业：来自差异分析的证据
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-07-04 DOI: 10.1002/jae.3072
Franziska Zimmert, Michael Zimmert
{"title":"Part-time subsidies and maternal reemployment: Evidence from a difference-in-differences analysis","authors":"Franziska Zimmert,&nbsp;Michael Zimmert","doi":"10.1002/jae.3072","DOIUrl":"10.1002/jae.3072","url":null,"abstract":"<p>Employment interruptions of mothers are still one of the main causes for different labour market outcomes between women and men. Employment subsidies can incentivise mothers to shorten employment interruptions after childbirth. We examine a German parental leave reform incentivising an early return to part-time work. Exploiting the exogenous variation defined by the child's birthday, we apply unconditional difference-in-differences (DiD) estimation using administrative data. Machine learning augmented DiD estimation shows that our findings are robust to the inclusion of a large dictionary of potential covariates. Additionally, we estimate conditional effects in the DiD setting. Our results show that being eligible to the new regime yields positive average employment effects that are mainly driven by part-time employment. In particular, the increased attractiveness of part-time work does not cannibalise full-time employment. The policy creates heterogeneous incentives depending on the opportunity costs of working part time: especially mothers with middle income and prior part-time workers respond to the reform. Besides, diverging results for East and West Germany hint at the potential of a change in social norms.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 6","pages":"1149-1171"},"PeriodicalIF":2.3,"publicationDate":"2024-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3072","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141549220","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
Explaining the decline of China's labor share: A wide replication of Oberfield and Raval (2021) 解释中国劳动力份额的下降：奥伯菲尔德和拉瓦尔（2021 年）的广泛复制
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-06-30 DOI: 10.1002/jae.3082
Hong Yang, Wen Zhang
{"title":"Explaining the decline of China's labor share: A wide replication of Oberfield and Raval (2021)","authors":"Hong Yang,&nbsp;Wen Zhang","doi":"10.1002/jae.3082","DOIUrl":"https://doi.org/10.1002/jae.3082","url":null,"abstract":"<div>\u0000 \u0000 <p>China's labor share has declined since late 1990s. Using the methodology developed by Oberfield and Raval, this paper estimates China's aggregate capital-labor elasticity of substitution, leveraging the estimated micro-level elasticities. The findings indicate that China's aggregate capital-labor elasticity falls within the range of 0.9 to 1. Utilizing this estimated aggregate elasticity for labor share decomposition, we find that the bias of technical change emerges as the predominant factor driving the decline in labor share.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 6","pages":"1190-1197"},"PeriodicalIF":2.3,"publicationDate":"2024-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142430290","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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