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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":"148662843","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
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":"148662920","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
Marginal Treatment Effects in the Absence of Instrumental Variables 没有工具变量时的边际处理效应
IF 3.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-06-08 Epub Date: 2026-03-08 DOI: 10.1002/jae.70052
Zhewen Pan, Zhengxin Wang, Junsen Zhang, Yahong Zhou
{"title":"Marginal Treatment Effects in the Absence of Instrumental Variables","authors":"Zhewen Pan,&nbsp;Zhengxin Wang,&nbsp;Junsen Zhang,&nbsp;Yahong Zhou","doi":"10.1002/jae.70052","DOIUrl":"https://doi.org/10.1002/jae.70052","url":null,"abstract":"<div>\u0000 \u0000 <p>We propose a method for defining, identifying, and estimating the marginal treatment effect (MTE) without imposing the instrumental variable (IV) assumptions of independence, exclusion, and separability (or monotonicity). Under a new definition of the MTE based on reduced-form treatment error that is statistically independent of the covariates, we find that the relationship between the MTE and standard treatment parameters holds in the absence of IVs. We provide a set of sufficient conditions ensuring the identification of the defined MTE in an environment of essential heterogeneity. The key conditions include a linear restriction on potential outcome regression functions, a nonlinear restriction on the propensity score, and a conditional mean independence restriction which will lead to additive separability. We prove this identification using the notion of semiparametric identification based on functional forms. And we provide an empirical application for the Head Start program to illustrate the usefulness of the proposed method in analyzing heterogenous causal effects when IVs are elusive.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 4","pages":"465-480"},"PeriodicalIF":3.1,"publicationDate":"2026-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148194176","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
Inference on Buffer-Stock Saving 关于缓冲库存节省的推论
IF 3.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-06-08 Epub Date: 2026-02-27 DOI: 10.1002/jae.70048
Hao Dong, Yuya Sasaki
{"title":"Inference on Buffer-Stock Saving","authors":"Hao Dong,&nbsp;Yuya Sasaki","doi":"10.1002/jae.70048","DOIUrl":"https://doi.org/10.1002/jae.70048","url":null,"abstract":"<div>\u0000 \u0000 <p>There is an ongoing debate about the buffer-stock saving hypothesis. This paper develops a formal test of the hypothesis by examining the sub-unity of the marginal propensity to consume out of permanent income (MPCP). Our test relies on a novel estimator of the average derivative of a nonparametric consumption model, using constructed measures of latent permanent income shocks that accommodate nonparametric income distributions. Following Li and Vuong (1998), we use a Kotlarski-based approach to account for asymmetric errors, which is crucial for testing buffer-stock behavior. Applied to the US Panel Study of Income Dynamics (PSID) data, our test rejects a unit MPCP, providing empirical support for buffer-stock saving.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 4","pages":"425-445"},"PeriodicalIF":3.1,"publicationDate":"2026-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148194050","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
What Explains International Interest Rate Co-Movement? 如何解释国际利率联动？
IF 3.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-06-08 Epub Date: 2026-02-12 DOI: 10.1002/jae.70044
Annika Camehl, Gregor von Schweinitz
{"title":"What Explains International Interest Rate Co-Movement?","authors":"Annika Camehl,&nbsp;Gregor von Schweinitz","doi":"10.1002/jae.70044","DOIUrl":"https://doi.org/10.1002/jae.70044","url":null,"abstract":"<p>The international co-movement of interest rates reflects correlated business-cycle fluctuations, largely driven by demand shocks. Monetary policy in advanced economies follows domestic mandates—inflation and the output gap—and does not respond to foreign policy shocks. We derive this result from a Bayesian structural panel vector autoregression with informative priors, homogeneity restrictions on contemporaneous relations, a hierarchical Minnesota prior with cross-sectional shrinkage, and a factor structure for structural shocks.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 4","pages":"343-359"},"PeriodicalIF":3.1,"publicationDate":"2026-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.70044","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148193962","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
Manufacturing Sentiment: Forecasting Industrial Production With Text Analysis 制造业情绪：用文本分析预测工业生产
IF 3.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-06-08 Epub Date: 2026-02-23 DOI: 10.1002/jae.70046
Tomaz Cajner, Leland D. Crane, Christopher Kurz, Norman Morin, Paul E. Soto, Betsy Vrankovich
{"title":"Manufacturing Sentiment: Forecasting Industrial Production With Text Analysis","authors":"Tomaz Cajner,&nbsp;Leland D. Crane,&nbsp;Christopher Kurz,&nbsp;Norman Morin,&nbsp;Paul E. Soto,&nbsp;Betsy Vrankovich","doi":"10.1002/jae.70046","DOIUrl":"https://doi.org/10.1002/jae.70046","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper leverages free-form textual responses from a key manufacturing survey to create sentiment indexes that mirror categorical measures from the same survey and also contain predictive content—both in and out-of-sample—for manufacturing output. We use textual data from the Institute for Supply Management to compare sentiment metrics based on dictionary and deep learning natural language processing methods. The best performing sentiment measures classify comments based on fine-tuned deep learning models. To add interpretability, we apply Shapley decompositions to show that a relatively small number of words—associated with very positive and very negative sentiment—account for much of the variation in the aggregate sentiment index.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 4","pages":"377-393"},"PeriodicalIF":3.1,"publicationDate":"2026-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148193978","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
Distributional Vector Autoregression: Eliciting Macro and Financial Dependence 分布向量自回归：引发宏观和金融依赖
IF 3.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-06-08 Epub Date: 2026-02-26 DOI: 10.1002/jae.70049
Yunyun Wang, Tatsushi Oka, Dan Zhu
{"title":"Distributional Vector Autoregression: Eliciting Macro and Financial Dependence","authors":"Yunyun Wang,&nbsp;Tatsushi Oka,&nbsp;Dan Zhu","doi":"10.1002/jae.70049","DOIUrl":"https://doi.org/10.1002/jae.70049","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper extends the vector autoregression framework by introducing a flexible distributional regression that models multivariate time series without imposing restrictive parametric distribution assumptions. We develop a distributional impulse response function that captures the future effect of distributional disturbances within the system, providing a more detailed view of dynamic heterogeneity. We propose a straightforward estimation method and establish its asymptotic properties under weak dependence assumptions. Our model, in an application to U.S. economic data, exhibits strong forecasting capabilities compared to existing alternatives. By examining distributional interactions and monetary policy impacts, particularly during the Great Recession, we uncover complex macroeconomic dynamics.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 4","pages":"408-424"},"PeriodicalIF":3.1,"publicationDate":"2026-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148194002","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
Nonparametric Identification of Incomplete Information Discrete Games With Non-Equilibrium Behaviors 具有非均衡行为的不完全信息离散对策的非参数辨识
IF 3.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-06-08 Epub Date: 2026-03-01 DOI: 10.1002/jae.70021
Erhao Xie
{"title":"Nonparametric Identification of Incomplete Information Discrete Games With Non-Equilibrium Behaviors","authors":"Erhao Xie","doi":"10.1002/jae.70021","DOIUrl":"https://doi.org/10.1002/jae.70021","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper studies empirical discrete-choice games with incomplete information under nonparametric specifications of both the payoff function and the distribution of private information. It relaxes the standard <i>global equilibrium assumption</i>—under which players follow equilibrium strategies for all realizations of the control variables—and introduces a weaker <i>local equilibrium assumption</i> that requires the equilibrium restriction only for some, but not all, realizations. Under this maintained assumption and standard exclusion restrictions, I derive the testable implications of the global equilibrium hypothesis and establish the nonparametric identification of all unknown functions in the model. This paper also discusses settings where the local equilibrium condition applies. The method is illustrated through a Monte Carlo experiment and an empirical application examining the competition between KFC and McDonald's in China. The estimation results strongly reject the global equilibrium assumption.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 4","pages":"446-464"},"PeriodicalIF":3.1,"publicationDate":"2026-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148193989","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
Forecasting Related Time Series 预测相关时间序列
IF 3.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-06-08 Epub Date: 2026-03-11 DOI: 10.1002/jae.70050
Ulrich K. Müller, Mark W. Watson
{"title":"Forecasting Related Time Series","authors":"Ulrich K. Müller,&nbsp;Mark W. Watson","doi":"10.1002/jae.70050","DOIUrl":"https://doi.org/10.1002/jae.70050","url":null,"abstract":"<p>A collection of time series are “related” if they follow similar stochastic processes and/or they are statistically dependent. This paper proposes a related time series (RTS) forecasting model that exploits these relationships. The model's foundation is a set of univariate Gaussian autoregressions, one for each series, which are then augmented to incorporate stochastic volatility, heavy-tailed innovations, additive outliers, time-varying parameters and common factors. The model is estimated and forecasts are computed using Bayesian methods with hierarchical priors that pool information across series. Computationally efficient MCMC methods are proposed. The RTS model is applied to three datasets and yields encouraging pseudo-out-of-sample forecasting results.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 4","pages":"481-498"},"PeriodicalIF":3.1,"publicationDate":"2026-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.70050","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148193900","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
Double LASSO: Replication and Practical Insights 双重套索：复制和实践见解
IF 3.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2026-06-08 Epub Date: 2026-02-15 DOI: 10.1002/jae.70041
Jack Fitzgerald Sice, Finn Lattimore, Tim Robinson, Anna Zhu
{"title":"Double LASSO: Replication and Practical Insights","authors":"Jack Fitzgerald Sice,&nbsp;Finn Lattimore,&nbsp;Tim Robinson,&nbsp;Anna Zhu","doi":"10.1002/jae.70041","DOIUrl":"https://doi.org/10.1002/jae.70041","url":null,"abstract":"<div>\u0000 \u0000 <p>The rise of machine learning (ML) is one of the most prominent developments in applied econometrics in the past decade. The focus of much economic analysis is causal, rather than prediction, and Belloni et al. (2014) demonstrate how ML methods can be used in causal inference. This paper undertakes a narrow and wide replication of the Monte Carlo and empirical examples presented by Belloni et al. (2014). We discuss practical implications of this replication for the use of double ML methods in applied econometric research.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 4","pages":"499-506"},"PeriodicalIF":3.1,"publicationDate":"2026-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148194044","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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