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The macroeconomy as a random forest 作为随机森林的宏观经济
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-01-17 DOI: 10.1002/jae.3030
Philippe Goulet Coulombe
{"title":"The macroeconomy as a random forest","authors":"Philippe Goulet Coulombe","doi":"10.1002/jae.3030","DOIUrl":"10.1002/jae.3030","url":null,"abstract":"<div>\u0000 \u0000 <p>I develop the <i>macroeconomic random forest</i> (MRF), an algorithm adapting the canonical machine learning (ML) tool, to flexibly model evolving parameters in a linear macro equation. Its main output, <i>generalized</i> time-varying parameters (GTVPs), is a versatile device nesting many popular nonlinearities (threshold/switching, smooth transition, and structural breaks/change) and allowing for sophisticated new ones. The approach delivers clear forecasting gains over numerous alternatives, predicts the 2008 drastic rise in unemployment, and performs well for inflation. Unlike most ML-based methods, MRF is directly interpretable—via its GTVPs. For instance, the successful unemployment forecast is due to the influence of forward-looking variables (e.g., term spreads and housing starts) nearly doubling before every recession. Interestingly, the Phillips curve has indeed flattened, <i>and</i> its might is highly cyclical.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2024-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139515611","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
Addressing sample selection bias for machine learning methods 解决机器学习方法的样本选择偏差问题
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-01-17 DOI: 10.1002/jae.3029
Dylan Brewer, Alyssa Carlson
{"title":"Addressing sample selection bias for machine learning methods","authors":"Dylan Brewer,&nbsp;Alyssa Carlson","doi":"10.1002/jae.3029","DOIUrl":"10.1002/jae.3029","url":null,"abstract":"<div>\u0000 \u0000 <p>We study approaches for adjusting machine learning methods when the training sample differs from the prediction sample on unobserved dimensions. The machine learning literature predominately assumes selection only on observed dimensions. Common approaches are to weight or include variables that influence selection as solutions to selection on observables. Simulation results show that selection on unobservables increases mean squared prediction error using popular machine-learning algorithms. Common machine learning practices such as weighting or including variables that influence selection into the training or prediction sample often worsen sample selection bias. We propose two control function approaches that remove the effects of selection bias before training and find that they reduce mean-squared prediction error in simulations. We apply these approaches to predicting the vote share of the incumbent in gubernatorial elections using previously observed re-election bids. We find that ignoring selection on unobservables leads to substantially higher predicted vote shares for the incumbent than when the control function approach is used.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2024-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139515469","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
Mandatory seatbelt laws and traffic fatalities: A reassessment 强制性安全带法与交通死亡事故：重新评估
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-01-16 DOI: 10.1002/jae.3026
D. Mark Anderson, Yang Liang, Joseph J. Sabia
{"title":"Mandatory seatbelt laws and traffic fatalities: A reassessment","authors":"D. Mark Anderson,&nbsp;Yang Liang,&nbsp;Joseph J. Sabia","doi":"10.1002/jae.3026","DOIUrl":"10.1002/jae.3026","url":null,"abstract":"<p>Using data from the Fatality Analysis Reporting System for the period 1983–1997, Cohen and Einav (<i>Review of Economics and Statistics</i> 2003; 85[4]: 828–843) found that mandatory seatbelt laws were associated with a 4–6% reduction in traffic fatalities among motor vehicle occupants. After successfully replicating their two-way fixed effects estimates, we (1) add 22 years of data (1998–2019) to capture additional seatbelt policy variation and observe a longer post-treatment period, (2) employ the interaction-weighted estimator proposed by Sun and Abraham (2021) to address potential bias due to heterogeneous and dynamic treatment effects, and (3) estimate event-study models to investigate pre-treatment trends and explore lagged post-treatment effects. Consistent with Cohen and Einav (2003), our updated estimates show that primary seatbelt laws are associated with a 5 to 9% reduction in fatalities among motor vehicle occupants. Estimated effects of secondary seatbelt laws are smaller in magnitude and sensitive to model choice.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2024-01-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139515499","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
Binary endogenous treatment in stochastic frontier models with an application to soil conservation in El Salvador 随机前沿模型中的二元内生处理方法在萨尔瓦多土壤保护中的应用
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-01-14 DOI: 10.1002/jae.3020
Samuele Centorrino, María Pérez-Urdiales, Boris Bravo-Ureta, Alan Wall
{"title":"Binary endogenous treatment in stochastic frontier models with an application to soil conservation in El Salvador","authors":"Samuele Centorrino,&nbsp;María Pérez-Urdiales,&nbsp;Boris Bravo-Ureta,&nbsp;Alan Wall","doi":"10.1002/jae.3020","DOIUrl":"https://doi.org/10.1002/jae.3020","url":null,"abstract":"<div>\u0000 \u0000 <p>Numerous programs exist to promote productivity, alleviate poverty, and enhance food security in developing countries. Stochastic frontier analysis can be helpful to assess their effectiveness. However, challenges can arise when accounting for treatment endogeneity, often intrinsic to these interventions. We study maximum likelihood estimation of stochastic frontier models when both the frontier and inefficiency depend on a potentially endogenous binary treatment. We use instrumental variables to define an assignment mechanism and explicitly model the density of the first and second-stage error terms. We provide empirical evidence using data from a soil conservation program in El Salvador.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2024-01-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140544562","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
Did marginal propensities to consume change with the housing boom and bust? 边际消费倾向是否随着房地产的繁荣和萧条而改变？
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-01-14 DOI: 10.1002/jae.3016
Yunho Cho, James Morley, Aarti Singh
{"title":"Did marginal propensities to consume change with the housing boom and bust?","authors":"Yunho Cho,&nbsp;James Morley,&nbsp;Aarti Singh","doi":"10.1002/jae.3016","DOIUrl":"10.1002/jae.3016","url":null,"abstract":"<p>We extend a widely used semi-structural model to identify and estimate dynamic consumption elasticities with respect to transitory income shocks. Applying our model to household survey data, we find a structural break in marginal propensities to consume following the end of the housing market boom, with the average across households increasing significantly. There is important heterogeneity by different household balance sheet characteristics, and the increase in the average appears to be driven by higher short-run consumption elasticities for homeowners with low liquid wealth. The change in consumption behavior is consistent with tighter borrowing constraints more than a shift in wealth distributions.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2024-01-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3016","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139515457","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
Forecasting GDP in Europe with textual data 利用文本数据预测欧洲国内生产总值
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-01-13 DOI: 10.1002/jae.3027
Luca Barbaglia, Sergio Consoli, Sebastiano Manzan
{"title":"Forecasting GDP in Europe with textual data","authors":"Luca Barbaglia,&nbsp;Sergio Consoli,&nbsp;Sebastiano Manzan","doi":"10.1002/jae.3027","DOIUrl":"10.1002/jae.3027","url":null,"abstract":"<p>We evaluate the informational content of news-based sentiment indicators for forecasting gross domestic product (GDP) and other macroeconomic variables of the five major European economies. Our dataset includes over 27 million articles for 26 major newspapers in five different languages. The evidence indicates that these sentiment indicators are significant predictors to forecast macroeconomic variables and their predictive content is robust to controlling for other indicators available to forecasters in real time.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2024-01-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3027","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139464301","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
Disease and development—The predicted mortality instrument revisited 疾病与发展--再论预测死亡率工具
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-01-12 DOI: 10.1002/jae.3023
David Kreitmeir, Thomas Überfuhr
{"title":"Disease and development—The predicted mortality instrument revisited","authors":"David Kreitmeir,&nbsp;Thomas Überfuhr","doi":"10.1002/jae.3023","DOIUrl":"10.1002/jae.3023","url":null,"abstract":"<p>This paper revisits Acemoglu-Johnson the predicted mortality instrument. Drawing on a unique historical data set of disease-specific mortality rates, we reconstruct several versions of the instrument that differ in terms of data usage and instrument relevance. Our findings confirm its predictive power on life expectancy. The replication analysis reveals a significant positive second-stage effect of life expectancy on population and total birth rates and a negative effect on GDP per capita for a subset of the revised instruments. Overall, data coverage and empirical tests suggest the superiority of our country-level instrument.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2024-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3023","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139437778","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
Partial identification and inference in duration models with endogenous censoring 具有内生删减的持续时间模型中的部分识别和推理
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-12-28 DOI: 10.1002/jae.3024
Shosei Sakaguchi
{"title":"Partial identification and inference in duration models with endogenous censoring","authors":"Shosei Sakaguchi","doi":"10.1002/jae.3024","DOIUrl":"10.1002/jae.3024","url":null,"abstract":"<p>This paper studies identification and inference in transformation models with endogenous censoring. Many kinds of duration models, such as the accelerated failure time model, proportional hazard model, and mixed proportional hazard model, can be viewed as transformation models. We allow the censoring of a duration outcome to be arbitrarily correlated with observed covariates and unobserved heterogeneity. We impose no parametric restrictions on either the transformation function or the distribution function of the unobserved heterogeneity. In this setting, we develop bounds on the regression parameters and the transformation function, which are characterized by conditional moment inequalities involving U-statistics. Subsequently, we provide inference methods for them by constructing an inference approach for conditional moment inequality models in which the sample analogs of moments are U-statistics. We apply the proposed inference methods to evaluate the effect of unemployment insurance on duration of joblessness using data from the Current Population Survey's Displaced Workers Supplements.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3024","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139072288","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
Does paid parental leave affect children's schooling outcomes? Replicating Danzer and Lavy (2018) 带薪育儿假会影响儿童的学业成绩吗？复制 Danzer 和 Lavy（2018 年）
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-12-27 DOI: 10.1002/jae.3021
Claudia Troccoli
{"title":"Does paid parental leave affect children's schooling outcomes? Replicating Danzer and Lavy (2018)","authors":"Claudia Troccoli","doi":"10.1002/jae.3021","DOIUrl":"10.1002/jae.3021","url":null,"abstract":"<p>Danzer and Lavy (2018) study how the duration of paid parental leave affects children's educational performance using data from PISA. An extension of the maximum duration from 12 to 24 months in Austria had no statistically significant effect on average, but the authors highlight the existence of large and statistically significant heterogenous effects that vary in sign depending on the education of mothers and children's gender. The policy increased the scores obtained by sons of highly educated mothers by 33% of a standard deviation (SD) in Reading and 40% SD in Science. On the contrary, sons of low educated mothers experienced a decrease of 27% SD in Reading and 23% SD in Science. In this article, I replicate their study following the recommended estimation procedure taking into account both the survey's stratified two-stage sample design and the fact that PISA relies on imputation to derive student scores. I show that the estimates of the effects of the parental leave extension become substantially smaller in magnitude and non-significant.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-12-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3021","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139072360","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
Nonlinearities in macroeconomic tail risk through the lens of big data quantile regressions 从大数据量化回归透视宏观经济尾部风险的非线性因素
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-12-26 DOI: 10.1002/jae.3018
Jan Prüser, Florian Huber
{"title":"Nonlinearities in macroeconomic tail risk through the lens of big data quantile regressions","authors":"Jan Prüser,&nbsp;Florian Huber","doi":"10.1002/jae.3018","DOIUrl":"10.1002/jae.3018","url":null,"abstract":"<p>Modeling and predicting extreme movements in GDP is notoriously difficult, and the selection of appropriate covariates and/or possible forms of nonlinearities are key in obtaining precise forecasts. In this paper, our focus is on using large datasets in quantile regression models to forecast the conditional distribution of US GDP growth. To capture possible nonlinearities, we include several nonlinear specifications. The resulting models will be huge dimensional, and we thus rely on a set of shrinkage priors. Since Markov chain Monte Carlo estimation becomes slow in these dimensions, we rely on fast variational Bayes approximations to the posterior distribution of the coefficients and the latent states. We find that our proposed set of models produces precise forecasts. These gains are especially pronounced in the tails. Using Gaussian processes to approximate the nonlinear component of the model further improves the good performance, in particular in the right tail.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-12-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3018","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139061916","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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