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Journal of Applied Econometrics最新文献

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Should we trust cross-sectional multiplier estimates? 我们应该相信横截面乘数估计值吗？
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-03-05 DOI: 10.1002/jae.3041
Fabio Canova
{"title":"Should we trust cross-sectional multiplier estimates?","authors":"Fabio Canova","doi":"10.1002/jae.3041","DOIUrl":"10.1002/jae.3041","url":null,"abstract":"<div>\u0000 \u0000 <p>I examine the properties of cross-sectional estimators of multipliers, elasticities, or pass-throughs when a conventional spatial macroeconomic specification generates the data. A number of important biases plague standard estimates; the most relevant one occurs when the units display heterogeneous dynamics. Methods that work well in this situation are suggested. An experimental setting shows the magnitude of the biases cross-sectional estimators display. Average estimates of local fiscal multipliers in the US states are compared and contrasted.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2024-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140055223","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 flexible stochastic production frontier model with panel data 采用面板数据的灵活随机生产前沿模型
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-03-01 DOI: 10.1002/jae.3033
Taining Wang, Feng Yao, Subal C. Kumbhakar
{"title":"A flexible stochastic production frontier model with panel data","authors":"Taining Wang,&nbsp;Feng Yao,&nbsp;Subal C. Kumbhakar","doi":"10.1002/jae.3033","DOIUrl":"10.1002/jae.3033","url":null,"abstract":"<div>\u0000 \u0000 <p>We propose a flexible stochastic production frontier model with fixed effects for the panel data in which the semiparametric frontier is additive with bivariate interactions. To avoid potential misspecification and/or “wrong skew problem” due to distributional assumptions, we model the conditional mean of the inefficiency to depend on environmental variables and to be known up to a vector of parameters. We propose a difference-based estimator for parameters characterizing the conditional mean of the inefficiency term, a profile series estimator, and a kernel-based one-step backfitting estimator for the frontier to facilitate inference. We establish their asymptotic properties and show that each component in the frontier estimated by the kernel-based backfitting has the same asymptotic distribution as the one estimated with the true knowledge on the other components in the frontier (i.e., the oracle property). Through a Monte Carlo study, we demonstrate that the proposed estimators perform well in finite samples. Utilizing a panel of Chinese firm-level data in 2000–2006, we apply our method to estimate the frontier and efficiency scores and conclude that export plays a significant role in reducing the efficiency of firms.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140090084","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
Empirical evidence on the Euler equation for investment in the US 美国投资欧拉方程的经验证据
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-02-27 DOI: 10.1002/jae.3037
Guido Ascari, Qazi Haque, Leandro M. Magnusson, Sophocles Mavroeidis
{"title":"Empirical evidence on the Euler equation for investment in the US","authors":"Guido Ascari,&nbsp;Qazi Haque,&nbsp;Leandro M. Magnusson,&nbsp;Sophocles Mavroeidis","doi":"10.1002/jae.3037","DOIUrl":"10.1002/jae.3037","url":null,"abstract":"<p>Is the typical specification of the Euler equation for investment employed in dynamic stochastic general equilibrium (DSGE) models consistent with aggregate macro data? The answer is yes using state-of-the-art econometric methods that are robust to weak instruments and exploit information in possible structural changes. Unfortunately, however, there is very little information about the values of the parameters in aggregate data because investment is unresponsive to changes in capital utilization and the real interest rate. Bayesian estimation using fully specified DSGE models is more accurate due to both informative priors and cross-equation restrictions.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2024-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3037","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140019576","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
Peer desirability and academic achievement 同伴可取性与学习成绩
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-02-26 DOI: 10.1002/jae.3036
Adrian Mehic
{"title":"Peer desirability and academic achievement","authors":"Adrian Mehic","doi":"10.1002/jae.3036","DOIUrl":"10.1002/jae.3036","url":null,"abstract":"<p>Using the random assignment of university engineering students to peer groups during introductory freshmen weeks, this paper studies how a student's parental income and facial attractiveness affect the grade outcomes of peers. The results show that exposure to highly desirable peers with respect to socioeconomic background and beauty improves grades. The results operate chiefly through a direct spillover channel and also through an indirect marriage market channel, through which exposure to high-desirability peers improves well-being. A field experiment suggests that the marriage market mechanism is likely to be limited to students not currently in a romantic relationship.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2024-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3036","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140003996","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
How does the dramatic rise of nonresponse in the Current Population Survey impact labor market indicators? 当前人口调查中无回复率的急剧上升对劳动力市场指标有何影响？
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-02-26 DOI: 10.1002/jae.3035
Robert Bernhardt, David Munro, Erin L. Wolcott
{"title":"How does the dramatic rise of nonresponse in the Current Population Survey impact labor market indicators?","authors":"Robert Bernhardt,&nbsp;David Munro,&nbsp;Erin L. Wolcott","doi":"10.1002/jae.3035","DOIUrl":"10.1002/jae.3035","url":null,"abstract":"<div>\u0000 \u0000 <p>Within a decade, the share of households refusing to participate in the Current Population Survey (CPS) tripled. We show households that refuse 1 month but respond in an adjacent month account for an important part of the rise. Leveraging the labor force status of survey participants in the months surrounding their nonresponse, we find that rising refusals suppressed the measured labor force participation rate and employment–population ratio but had little effect on the unemployment rate. Notably, nonresponse bias accounts for at least 10% of the reported decline in the labor force participation rate from 2000 to 2020.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2024-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139968505","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 high-dimensional multinomial logit model 高维多项式对数模型
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-02-18 DOI: 10.1002/jae.3034
Didier Nibbering
{"title":"A high-dimensional multinomial logit model","authors":"Didier Nibbering","doi":"10.1002/jae.3034","DOIUrl":"10.1002/jae.3034","url":null,"abstract":"<p>The number of parameters in a standard multinomial logit model increases linearly with the number of choice alternatives and number of explanatory variables. Because many modern applications involve large choice sets with categorical explanatory variables, which enter the model as large sets of binary dummies, the number of parameters in a multinomial logit model is often large. This paper proposes a new method for data-driven two-way parameter clustering over outcome categories and explanatory dummy categories in a multinomial logit model. A Bayesian Dirichlet process mixture model encourages parameters to cluster over the categories, which reduces the number of unique model parameters and provides interpretable clusters of categories. In an empirical application, we estimate the holiday preferences of 11 household types over 49 holiday destinations and identify a small number of household segments with different preferences across clusters of holiday destinations.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2024-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3034","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139919502","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
Advance layoff notices and aggregate job loss 预发裁员通知和累计职位损失
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-02-15 DOI: 10.1002/jae.3032
Pawel M. Krolikowski, Kurt G. Lunsford
{"title":"Advance layoff notices and aggregate job loss","authors":"Pawel M. Krolikowski,&nbsp;Kurt G. Lunsford","doi":"10.1002/jae.3032","DOIUrl":"10.1002/jae.3032","url":null,"abstract":"<div>\u0000 \u0000 <p>We collect data from Worker Adjustment and Retraining Notification (WARN) Act notices and establish their usefulness as an indicator of aggregate job loss. The number of workers affected by WARN notices (“WARN layoffs”) leads state-level initial unemployment insurance claims and unemployment rate (UR) and private employment changes. WARN layoffs comove with aggregate layoffs from Mass Layoff Statistics and the Job Openings and Labor Turnover Survey but are timelier and cover a longer sample. In a vector autoregression, changes in WARN layoffs lead UR changes and job separations. Finally, they improve pseudo real-time forecasts of the UR and private employment changes.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2024-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139919559","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 factors via automatic debiased machine learning 通过自动去偏差机器学习识别因素
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-02-13 DOI: 10.1002/jae.3031
Esfandiar Maasoumi, Jianqiu Wang, Zhuo Wang, Ke Wu
{"title":"Identifying factors via automatic debiased machine learning","authors":"Esfandiar Maasoumi,&nbsp;Jianqiu Wang,&nbsp;Zhuo Wang,&nbsp;Ke Wu","doi":"10.1002/jae.3031","DOIUrl":"10.1002/jae.3031","url":null,"abstract":"<div>\u0000 \u0000 <p>Identifying risk factors that have significant explanatory power for the cross-sectional asset returns is fundamental in asset pricing. We adopt a novel automatic debiased machine learning (ADML) method proposed by Chernozhukov, Newey, and Singh (2022) to robustly estimate partial pricing effect of a certain factor controlling for a large number of confounding factors under a nonlinear stochastic discount factor (SDF) assumption. The ADML resolves biased estimation, non-robustness, and overfitting issues that are common to traditional machine learning approaches. We find that the most significant factors selected by the ADML outperform the Fama–French sparse factors and factors identified via the double-selection LASSO method under a linear factor model assumption. Out of a high-dimensional zoo of US stock market factors commonly tested in the finance literature, we identify approximately 30 to 50 factors having significant but declining pricing power in explaining the cross-section of stock returns. Our findings are robust to hyperparameter settings and choices of test assets and machine learning methods.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2024-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139761876","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
Statistically identified structural VAR model with potentially skewed and fat-tailed errors 经统计确定的结构 VAR 模型，误差可能偏斜和肥尾
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-02-13 DOI: 10.1002/jae.3019
Jetro Anttonen, Markku Lanne, Jani Luoto
{"title":"Statistically identified structural VAR model with potentially skewed and fat-tailed errors","authors":"Jetro Anttonen,&nbsp;Markku Lanne,&nbsp;Jani Luoto","doi":"10.1002/jae.3019","DOIUrl":"10.1002/jae.3019","url":null,"abstract":"<p>We introduce a structural vector autoregressive model in which the mutually independent errors follow skewed generalized <i>t</i>-distributions, whose flexibility compared with commonly considered Student's <i>t</i>-distributions diminishes the risk of misspecification and strengthens identification. Because of statistical identification due to non-Gaussianity, the plausibility of economic identifying restrictions can be formally assessed. In an empirical application, the data support narrative sign restrictions in identifying the US monetary policy shock. In contrast to some of the previous literature, we find a strong negative response of real activity to contractionary monetary policy after a few months' delay.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2024-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3019","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139762046","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
A maximum likelihood bunching estimator of the elasticity of taxable income 应税收入弹性的最大似然串联估算器
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-01-18 DOI: 10.1002/jae.3015
Thomas Aronsson, Katharina Jenderny, Gauthier Lanot
{"title":"A maximum likelihood bunching estimator of the elasticity of taxable income","authors":"Thomas Aronsson,&nbsp;Katharina Jenderny,&nbsp;Gauthier Lanot","doi":"10.1002/jae.3015","DOIUrl":"10.1002/jae.3015","url":null,"abstract":"<p>This paper develops a maximum likelihood (ML) bunching estimator of the elasticity of taxable income (ETI). Our structural approach provides a natural framework to simultaneously account for unobserved preference heterogeneity and optimization errors and for measuring their relative importance. We characterize the conditions under which the parameters of the model are identified and show that the ML estimator performs well in terms of bias and precision. The paper also contains an empirical application using Swedish data, showing that both the ETI and the standard deviation of the optimization friction are precisely estimated, albeit relatively small.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2024-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3015","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139515943","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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