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Bayesian Model Averaging in Causal Instrumental Variable Models 因果工具变量模型中的贝叶斯模型平均
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.70070
Gregor Steiner, Mark Steel
{"title":"Bayesian Model Averaging in Causal Instrumental Variable Models","authors":"Gregor Steiner,&nbsp;Mark Steel","doi":"10.1002/jae.70070","DOIUrl":"https://doi.org/10.1002/jae.70070","url":null,"abstract":"<p>Instrumental variables are a popular tool to infer causal effects under unobserved confounding, but choosing suitable instruments is challenging in practice. We propose gIVBMA, a Bayesian model averaging procedure that addresses this challenge by averaging across different sets of instrumental variables and covariates in a structural equation model. This allows for data-driven selection of valid and relevant instruments and provides additional robustness against invalid instruments. Our approach extends previous work through a scale-invariant prior structure and accommodates non-Gaussian outcomes and treatments, offering greater flexibility than existing methods. The computational strategy uses conditional Bayes factors to update models separately for the outcome and treatments. We prove that this model selection procedure is consistent. In simulation experiments, gIVBMA outperforms current state-of-the-art methods. We demonstrate its usefulness in two empirical applications: the effects of malaria and institutions on income per capita and the returns to schooling. A software implementation of gIVBMA is available in Julia.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 5","pages":"669-683"},"PeriodicalIF":2.5,"publicationDate":"2026-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.70070","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148662537","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
Are Princelings Truly Busted? Evaluating Transaction Discounts in China's Land Market 评估中国土地市场的交易折扣
IF 2.5 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-08-03 Epub Date: 2026-04-28 DOI: 10.1002/jae.70060
Julia Manso
{"title":"Are Princelings Truly Busted? Evaluating Transaction Discounts in China's Land Market","authors":"Julia Manso","doi":"10.1002/jae.70060","DOIUrl":"https://doi.org/10.1002/jae.70060","url":null,"abstract":"<p>This paper replicates Chen and Kung's 2019 analysis (<i>The Quarterly Journal of Economics</i> 134(1): 185–226). Inspecting the data reveals that nearly one-third of transactions (388,903 out of 1,208,621) are perfect duplicates of other rows, excluding the transaction number. The analysis of the data sans duplicates replicates their statistically significant princeling effect, robust across various specifications. Further analysis reveals a disagreement between Chen and Kung's text and code: The paper's “logarithm of area” is actually area (<span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <msup>\u0000 <mrow>\u0000 <mi>m</mi>\u0000 </mrow>\u0000 <mrow>\u0000 <mn>2</mn>\u0000 </mrow>\u0000 </msup>\u0000 </mrow>\u0000 <annotation>$$ {mathrm{m}}^2 $$</annotation>\u0000 </semantics></math>) divided by one million. This therefore necessitates a reinterpretation of the estimation results, revealing that the princeling effect is extremely large.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 5","pages":"710-717"},"PeriodicalIF":2.5,"publicationDate":"2026-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.70060","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148662855","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
High-Frequency Instruments With Time-Varying Reliability: Understanding Identification in Macroeconomics 具有时变可靠性的高频工具：理解宏观经济学中的识别
IF 2.5 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-08-03 Epub Date: 2026-03-31 DOI: 10.1002/jae.70054
Pooyan Amir-Ahmadi, Christian Matthes, Mu-Chun Wang
{"title":"High-Frequency Instruments With Time-Varying Reliability: Understanding Identification in Macroeconomics","authors":"Pooyan Amir-Ahmadi,&nbsp;Christian Matthes,&nbsp;Mu-Chun Wang","doi":"10.1002/jae.70054","DOIUrl":"https://doi.org/10.1002/jae.70054","url":null,"abstract":"<p>The effects of monetary policy shocks are regularly estimated using high-frequency surprises in asset prices around central bank meetings as an instrument. These studies, insofar as they explicitly model the relationship between instrument and structural shock, assume a <i>constant</i> relationship between the instrument and the monetary policy shock. By allowing for time variation in this relationship, we show that only a few distinct periods are informative about monetary policy shocks. Therefore, we build a narrative for instrument-based identification. For the instrument in Gertler and Karadi, the effect on the (log) price level is almost 50% larger than the standard specification would suggest.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 5","pages":"539-548"},"PeriodicalIF":2.5,"publicationDate":"2026-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.70054","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148662919","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 Factor Correlations 动态因子相关性
IF 2.5 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-08-03 Epub Date: 2026-05-01 DOI: 10.1002/jae.70062
Chen Tong, Peter Reinhard Hansen
{"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":"148662361","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":"148662580","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 Cross-Sectional Fiscal Multiplier: Evidence From U.S. Defense Procurement, 1966–2019 重新评估横截面财政乘数：来自美国国防采购的证据，1966-2019
IF 2.5 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-08-03 Epub Date: 2026-05-05 DOI: 10.1002/jae.70058
Gianluca Pallante
{"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":"148662040","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
Bayesian Model Averaging in Causal Instrumental Variable Models 因果工具变量模型中的贝叶斯模型平均
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.70070
Gregor Steiner, Mark Steel
{"title":"Bayesian Model Averaging in Causal Instrumental Variable Models","authors":"Gregor Steiner,&nbsp;Mark Steel","doi":"10.1002/jae.70070","DOIUrl":"https://doi.org/10.1002/jae.70070","url":null,"abstract":"<p>Instrumental variables are a popular tool to infer causal effects under unobserved confounding, but choosing suitable instruments is challenging in practice. We propose gIVBMA, a Bayesian model averaging procedure that addresses this challenge by averaging across different sets of instrumental variables and covariates in a structural equation model. This allows for data-driven selection of valid and relevant instruments and provides additional robustness against invalid instruments. Our approach extends previous work through a scale-invariant prior structure and accommodates non-Gaussian outcomes and treatments, offering greater flexibility than existing methods. The computational strategy uses conditional Bayes factors to update models separately for the outcome and treatments. We prove that this model selection procedure is consistent. In simulation experiments, gIVBMA outperforms current state-of-the-art methods. We demonstrate its usefulness in two empirical applications: the effects of malaria and institutions on income per capita and the returns to schooling. A software implementation of gIVBMA is available in Julia.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 5","pages":"669-683"},"PeriodicalIF":2.5,"publicationDate":"2026-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.70070","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148662536","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":"148662726","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
Joint Inference for the Regression Discontinuity Effect and Its External Validity 回归不连续效应的联合推断及其外部有效性
IF 2.5 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-08-03 Epub Date: 2026-05-18 DOI: 10.1002/jae.70063
Yuta Okamoto
{"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":"148662561","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
Are Princelings Truly Busted? Evaluating Transaction Discounts in China's Land Market 评估中国土地市场的交易折扣
IF 2.5 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-08-03 Epub Date: 2026-04-28 DOI: 10.1002/jae.70060
Julia Manso
{"title":"Are Princelings Truly Busted? Evaluating Transaction Discounts in China's Land Market","authors":"Julia Manso","doi":"10.1002/jae.70060","DOIUrl":"https://doi.org/10.1002/jae.70060","url":null,"abstract":"<p>This paper replicates Chen and Kung's 2019 analysis (<i>The Quarterly Journal of Economics</i> 134(1): 185–226). Inspecting the data reveals that nearly one-third of transactions (388,903 out of 1,208,621) are perfect duplicates of other rows, excluding the transaction number. The analysis of the data sans duplicates replicates their statistically significant princeling effect, robust across various specifications. Further analysis reveals a disagreement between Chen and Kung's text and code: The paper's “logarithm of area” is actually area (<span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <msup>\u0000 <mrow>\u0000 <mi>m</mi>\u0000 </mrow>\u0000 <mrow>\u0000 <mn>2</mn>\u0000 </mrow>\u0000 </msup>\u0000 </mrow>\u0000 <annotation>$$ {mathrm{m}}^2 $$</annotation>\u0000 </semantics></math>) divided by one million. This therefore necessitates a reinterpretation of the estimation results, revealing that the princeling effect is extremely large.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 5","pages":"710-717"},"PeriodicalIF":2.5,"publicationDate":"2026-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.70060","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148662830","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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