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A Joint Test of Unconfoundedness and Common Trends 非混淆性和共同趋势的联合测试
IF 2.5 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-08-03 Epub Date: 2026-05-22 DOI: 10.1002/jae.70068
Martin Huber, Eva-Maria Oeß
{"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":"148662538","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
Robust Tests of Forecast Accuracy for Factor-Augmented Regressions With an Application to the Novel EA-MD-QD Dataset 因子增强回归预测精度的鲁棒性检验——基于新型EA-MD-QD数据集的应用
IF 2.5 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-08-03 Epub Date: 2026-04-16 DOI: 10.1002/jae.70056
Alessandro Morico, Ovidijus Stauskas
{"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":"148662035","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
Estimating Macroeconomic News and Surprise Shocks 估计宏观经济新闻和意外冲击
IF 2.5 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-08-03 Epub Date: 2026-05-06 DOI: 10.1002/jae.70059
Lutz Kilian, Michael D. Plante, Alexander W. Richter
{"title":"Estimating Macroeconomic News and Surprise Shocks","authors":"Lutz Kilian,&nbsp;Michael D. Plante,&nbsp;Alexander W. Richter","doi":"10.1002/jae.70059","DOIUrl":"https://doi.org/10.1002/jae.70059","url":null,"abstract":"<div>\u0000 \u0000 <p>A common VAR approach is to identify responses to TFP news shocks by maximizing the variance share of TFP over a long horizon. We find that these TFP max share estimators tend to be biased in large samples when applied to data generated from DSGE models with shock processes that match TFP moments in the data, especially in the presence of TFP measurement error. We propose an alternative max share news estimator that reduces this bias and the RMSE of the impulse response estimates, even when there is sizable measurement error in the news variable. When applying this estimator to U.S. data, we find that news shocks are slower to diffuse to TFP and have a smaller effect on real activity than implied by the TFP max share estimator.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 5","pages":"597-612"},"PeriodicalIF":2.5,"publicationDate":"2026-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148662336","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
Direct and Indirect Treatment Effects With Time-Varying Covariates 具有时变协变量的直接和间接治疗效应
IF 2.5 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-08-03 Epub Date: 2026-04-22 DOI: 10.1002/jae.70055
Nicholas L. Brown, Kyle Butts, Joakim Westerlund
{"title":"Direct and Indirect Treatment Effects With Time-Varying Covariates","authors":"Nicholas L. Brown,&nbsp;Kyle Butts,&nbsp;Joakim Westerlund","doi":"10.1002/jae.70055","DOIUrl":"https://doi.org/10.1002/jae.70055","url":null,"abstract":"<div>\u0000 \u0000 <p>We propose a simple approach to treatment effect estimation in panel data that is valid when the number of time periods is small and the parallel trends condition is violated due to the presence of interactive fixed effects. The procedure allows the covariates to be affected by treatment and enables separation of the part of the estimated treatment effect that is due to the covariates from the part that is not. The asymptotic properties of the new approach are established, and their accuracy in small samples is investigated using Monte Carlo simulations. The procedure is illustrated using as an example the effect of increased trade competition on firm markups in China. We estimate that about half of the impact of China's entrance into the WTO on markup dispersion came from the changes in industry-level productivity.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 5","pages":"567-579"},"PeriodicalIF":2.5,"publicationDate":"2026-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148662848","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
Optimal Covariate Discretization in Adaptive Randomized Experiments 自适应随机实验中最优协变量离散化
IF 2.5 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-08-03 Epub Date: 2026-05-20 DOI: 10.1002/jae.70066
Seongjin Jin
{"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":"148662885","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
Revisiting EWMA in High-Frequency-Based Portfolio Optimization: A Comparative Assessment 在基于高频的投资组合优化中重新审视EWMA：一个比较评估
IF 2.5 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-08-03 Epub Date: 2026-03-13 DOI: 10.1002/jae.70053
Laura Capera Romero, Anne Opschoor
{"title":"Revisiting EWMA in High-Frequency-Based Portfolio Optimization: A Comparative Assessment","authors":"Laura Capera Romero,&nbsp;Anne Opschoor","doi":"10.1002/jae.70053","DOIUrl":"https://doi.org/10.1002/jae.70053","url":null,"abstract":"<p>This paper compares the statistical and economic performance of state-of-the-art high-frequency (HF) based multivariate volatility models with a simpler, widely used alternative, the Exponentially Weighted Moving Average (EWMA) filter. Using over two decades of 100 U.S. stock returns (2002–2023), we assess model performance through a Global Minimum Variance portfolio optimization exercise, with and without short-selling restrictions across multiple forecast horizons. We find that the EWMA model cannot consistently be outperformed by more complex HF-based volatility models at the daily and weekly forecast horizons, even delivering significant utility gains when including transaction costs due to a favorable balance between turnover and ex-post portfolio volatility. At the monthly horizon, the EWMA remains competitive against most of its competitors. Our findings hold across alternative specifications, including different estimation window lengths, portfolio sizes and smoothing parameter values, emphasizing the continued relevance of parsimonious volatility specifications, such as the EWMA model, in realistic investment settings.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 5","pages":"523-538"},"PeriodicalIF":2.5,"publicationDate":"2026-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.70053","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148662599","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
Revisiting EWMA in High-Frequency-Based Portfolio Optimization: A Comparative Assessment 在基于高频的投资组合优化中重新审视EWMA：一个比较评估
IF 2.5 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-08-03 Epub Date: 2026-03-13 DOI: 10.1002/jae.70053
Laura Capera Romero, Anne Opschoor
{"title":"Revisiting EWMA in High-Frequency-Based Portfolio Optimization: A Comparative Assessment","authors":"Laura Capera Romero,&nbsp;Anne Opschoor","doi":"10.1002/jae.70053","DOIUrl":"https://doi.org/10.1002/jae.70053","url":null,"abstract":"<p>This paper compares the statistical and economic performance of state-of-the-art high-frequency (HF) based multivariate volatility models with a simpler, widely used alternative, the Exponentially Weighted Moving Average (EWMA) filter. Using over two decades of 100 U.S. stock returns (2002–2023), we assess model performance through a Global Minimum Variance portfolio optimization exercise, with and without short-selling restrictions across multiple forecast horizons. We find that the EWMA model cannot consistently be outperformed by more complex HF-based volatility models at the daily and weekly forecast horizons, even delivering significant utility gains when including transaction costs due to a favorable balance between turnover and ex-post portfolio volatility. At the monthly horizon, the EWMA remains competitive against most of its competitors. Our findings hold across alternative specifications, including different estimation window lengths, portfolio sizes and smoothing parameter values, emphasizing the continued relevance of parsimonious volatility specifications, such as the EWMA model, in realistic investment settings.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 5","pages":"523-538"},"PeriodicalIF":2.5,"publicationDate":"2026-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.70053","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148662600","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
Improving the Finite Sample Estimation of Average Treatment Effects Using Double/Debiased Machine Learning With Propensity Score Calibration 使用倾向分数校准的双/去偏机器学习改进平均治疗效果的有限样本估计
IF 2.5 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-08-03 Epub Date: 2026-05-08 DOI: 10.1002/jae.70057
Daniele Ballinari, Nora Bearth
{"title":"Improving the Finite Sample Estimation of Average Treatment Effects Using Double/Debiased Machine Learning With Propensity Score Calibration","authors":"Daniele Ballinari,&nbsp;Nora Bearth","doi":"10.1002/jae.70057","DOIUrl":"https://doi.org/10.1002/jae.70057","url":null,"abstract":"<p>Double/debiased machine learning (DML) uses for estimating an average treatment effect (ATE) a double-robust score function that relies on the prediction of nuisance functions, such as the propensity score, which is the probability of treatment assignment given covariates. Estimators relying on double-robust score functions are highly sensitive to errors in propensity score predictions. Machine learning algorithms have been found to produce models that often overestimate or underestimate these probabilities. Several calibration approaches have been proposed to improve probabilistic forecasts of machine learners. This paper explores their integration into the DML framework, showing via simulations that using calibrated propensity scores significantly reduces the root mean squared error of ATE estimates in finite samples while preserving DML's asymptotic properties.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 5","pages":"613-626"},"PeriodicalIF":2.5,"publicationDate":"2026-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.70057","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148662727","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
Estimating Macroeconomic News and Surprise Shocks 估计宏观经济新闻和意外冲击
IF 2.5 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-08-03 Epub Date: 2026-05-06 DOI: 10.1002/jae.70059
Lutz Kilian, Michael D. Plante, Alexander W. Richter
{"title":"Estimating Macroeconomic News and Surprise Shocks","authors":"Lutz Kilian,&nbsp;Michael D. Plante,&nbsp;Alexander W. Richter","doi":"10.1002/jae.70059","DOIUrl":"https://doi.org/10.1002/jae.70059","url":null,"abstract":"<div>\u0000 \u0000 <p>A common VAR approach is to identify responses to TFP news shocks by maximizing the variance share of TFP over a long horizon. We find that these TFP max share estimators tend to be biased in large samples when applied to data generated from DSGE models with shock processes that match TFP moments in the data, especially in the presence of TFP measurement error. We propose an alternative max share news estimator that reduces this bias and the RMSE of the impulse response estimates, even when there is sizable measurement error in the news variable. When applying this estimator to U.S. data, we find that news shocks are slower to diffuse to TFP and have a smaller effect on real activity than implied by the TFP max share estimator.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 5","pages":"597-612"},"PeriodicalIF":2.5,"publicationDate":"2026-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148662337","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 Effects of Parental Income and Family Structure on Intergenerational Mobility: A Trajectories-Based Approach 父母收入和家庭结构对代际流动的影响：一种基于轨迹的方法
IF 2.5 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-08-03 Epub Date: 2026-05-21 DOI: 10.1002/jae.70065
Yoosoon Chang, Steven N. Durlauf, Bo Hu, Joon Y. Park
{"title":"The Effects of Parental Income and Family Structure on Intergenerational Mobility: A Trajectories-Based Approach","authors":"Yoosoon Chang,&nbsp;Steven N. Durlauf,&nbsp;Bo Hu,&nbsp;Joon Y. Park","doi":"10.1002/jae.70065","DOIUrl":"https://doi.org/10.1002/jae.70065","url":null,"abstract":"<div>\u0000 \u0000 <p>We examine how parental income and family structure during childhood and adolescence affect adult income, emphasizing the timing of these effects. Using an ordered multinomial probability model with functional covariates, we find that these familial influences are strongest in middle childhood and adolescence. We also uncover a complementary relationship in the effects of income and family structure trajectories during key developmental periods. By flexibly controlling for personal and family characteristics using nonparametric methods, our approach effectively handles high-dimensional covariates. The results advance the understanding of intergenerational income mobility and highlight the long-term importance of early-life familial conditions for adult economic success.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 5","pages":"655-668"},"PeriodicalIF":2.5,"publicationDate":"2026-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148662535","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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