发布求助
文献互助 智能选刊 最新文献

Journal of Applied Econometrics最新文献

筛选
英文 中文
Employment reconciliation and nowcasting 就业对账和临近预测
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-07-13 DOI: 10.1002/jae.2995
Eiji Goto, Jan P.A.M. Jacobs, Tara M. Sinclair, Simon van Norden
{"title":"Employment reconciliation and nowcasting","authors":"Eiji Goto,&nbsp;Jan P.A.M. Jacobs,&nbsp;Tara M. Sinclair,&nbsp;Simon van Norden","doi":"10.1002/jae.2995","DOIUrl":"10.1002/jae.2995","url":null,"abstract":"<p>We construct a latent employment estimate for the United States, which both reconciles the information from separate payroll and household surveys and incorporates the preliminary data revision process of the payroll data. We find that our reconciled latent employment series looks somewhat different than the initial release of payroll employment and is closer to the fully revised data that is benchmarked to a near census of employment. A real-time exercise, however, suggests that the reconciled employment estimate is remarkably similar to the initial release of payroll employment with near zero weight on the household survey information.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2995","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42262633","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
Approximating grouped fixed effects estimation via fuzzy clustering regression 用模糊聚类回归逼近分组固定效应估计
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-07-09 DOI: 10.1002/jae.2997
Daniel J. Lewis, Davide Melcangi, Laura Pilossoph, Aidan Toner-Rodgers
{"title":"Approximating grouped fixed effects estimation via fuzzy clustering regression","authors":"Daniel J. Lewis,&nbsp;Davide Melcangi,&nbsp;Laura Pilossoph,&nbsp;Aidan Toner-Rodgers","doi":"10.1002/jae.2997","DOIUrl":"10.1002/jae.2997","url":null,"abstract":"<p>We propose a new, computationally efficient way to approximate the “grouped fixed effects” (GFE) estimator of Bonhomme and Manresa (2015), which estimates grouped patterns of unobserved heterogeneity. To do so, we generalize the fuzzy C-means objective to regression settings. As the clustering exponent \u0000<math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>m</mi>\u0000 </mrow>\u0000 <annotation>$$ m $$</annotation>\u0000 </semantics></math> approaches 1, the fuzzy clustering objective converges to the GFE objective, which we recast as a standard generalized method of moments problem. We replicate the empirical results of Bonhomme and Manresa (2015) and show that our estimator delivers almost identical estimates. In simulations, we show that our approach offers improvements in terms of bias, classification accuracy, and computational speed.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2997","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138511545","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
Identifying exchange rate effects and spillovers of US monetary policy shocks in the presence of time-varying instrument relevance 在存在时变工具相关性的情况下，识别美国货币政策冲击的汇率效应和溢出效应
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-07-09 DOI: 10.1002/jae.2998
Wenting Liao, Jun Ma, Chengsi Zhang
{"title":"Identifying exchange rate effects and spillovers of US monetary policy shocks in the presence of time-varying instrument relevance","authors":"Wenting Liao,&nbsp;Jun Ma,&nbsp;Chengsi Zhang","doi":"10.1002/jae.2998","DOIUrl":"10.1002/jae.2998","url":null,"abstract":"<div>\u0000 \u0000 <p>We propose a novel econometric approach to estimating time-varying policy effects using external instruments in the presence of time-varying instrument relevance in a factor-augmented VAR model with data on the United States, Canada, Germany, Japan, and the United Kingdom. We find that US monetary policy shocks are an important driver of the exchange rate movements, with no delayed overshooting. We show that estimates of spillover effects of US monetary policy shocks on the inflation and real economic activity would be distorted without considering time variation in instrument relevance, and time variation in policy effects reflects primarily varying shock size, not their transmission.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43243033","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 direct approach to Kilian–Lewis style counterfactual analysis in vector autoregression models 向量自回归模型中Kilian–Lewis式反事实分析的直接方法
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-06-27 DOI: 10.1002/jae.2996
Shiu-Sheng Chen
{"title":"A direct approach to Kilian–Lewis style counterfactual analysis in vector autoregression models","authors":"Shiu-Sheng Chen","doi":"10.1002/jae.2996","DOIUrl":"10.1002/jae.2996","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper proposes a direct approach to Kilian–Lewis style counterfactual analysis in structural vector autoregression models. The proposed approach is easy to implement, and the procedure of counterfactual construction is more transparent than the indirect approach. Practitioners conducting Kilian–Lewis style counterfactual analysis should find the proposed approach novel and useful.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44981349","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
Short T dynamic panel data models with individual, time and interactive effects 具有个人、时间和交互效果的短T动态面板数据模型
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-06-21 DOI: 10.1002/jae.2981
Kazuhiko Hayakawa, M. Hashem Pesaran, L. Vanessa Smith
{"title":"Short T dynamic panel data models with individual, time and interactive effects","authors":"Kazuhiko Hayakawa,&nbsp;M. Hashem Pesaran,&nbsp;L. Vanessa Smith","doi":"10.1002/jae.2981","DOIUrl":"https://doi.org/10.1002/jae.2981","url":null,"abstract":"<p>This paper proposes a transformed quasi-maximum likelihood (TQML) estimator for short \u0000<math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>T</mi>\u0000 </mrow>\u0000 <annotation>$$ T $$</annotation>\u0000 </semantics></math> dynamic fixed effects panel data models allowing for interactive effects through a multifactor error structure. The proposed estimator is robust to the heterogeneity of the initial values and common unobserved effects, while at the same time allowing for standard fixed and time effects. It is applicable to both stationary and unit root cases. The order condition for identification of the number of interactive effects is established, and conditions are derived under which the parameters are locally identified. It is shown that global identification in the presence of the lagged dependent variable cannot be guaranteed. The TQML estimator is proven to be consistent and asymptotically normally distributed. A sequential multiple testing likelihood ratio procedure is also proposed for estimation of the number of factors which is shown to be consistent. Finite sample results obtained from Monte Carlo simulations show that the proposed procedure for determining the number of factors performs very well, and the TQML estimator has small bias and root mean square error (RMSE) and correct empirical size in most settings. The practical use of the TQML approach is demonstrated by means of two empirical illustrations from the literature on cross county crime rates and cross country growth regressions.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2981","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50140084","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
Correction to “Exogenous uncertainty and the identification of structural vector autoregressions with external instruments” 对“外生不确定性和用外部工具识别结构向量自回归”的修正
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-06-16 DOI: 10.1002/jae.2994
{"title":"Correction to “Exogenous uncertainty and the identification of structural vector autoregressions with external instruments”","authors":"","doi":"10.1002/jae.2994","DOIUrl":"https://doi.org/10.1002/jae.2994","url":null,"abstract":"<p>We apologize for these errors. We remark, however, that these errors does not change approach, overall picture and main conclusions (methodological and empirical) of the paper relative to the published version.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2994","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50135055","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
Multiple testing with covariate adjustment in experimental economics 实验经济学中协变量调整的多重检验
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-05-26 DOI: 10.1002/jae.2985
John A. List, Azeem M. Shaikh, Atom Vayalinkal
{"title":"Multiple testing with covariate adjustment in experimental economics","authors":"John A. List,&nbsp;Azeem M. Shaikh,&nbsp;Atom Vayalinkal","doi":"10.1002/jae.2985","DOIUrl":"10.1002/jae.2985","url":null,"abstract":"<p>This paper provides a framework for testing multiple null hypotheses simultaneously using experimental data in which simple random sampling is used to assign treatment status to units. Using general results from the multiple testing literature, we develop under weak assumptions a procedure that (i) asymptotically controls the familywise error rate—the probability of one or more false rejections—and (ii) is asymptotically balanced in that the marginal probability of rejecting any true null hypothesis is approximately equal in large samples. Our procedure improves upon classical methods by incorporating information about the joint dependence structure of the test statistics when determining which null hypotheses to reject, leading to gains in power. An important point of departure from prior work is that we exploit observed, baseline covariates to obtain further gains in power. The precise way in which we incorporate these covariates is based on recent results from the statistics literature in order to ensure that inferences are typically more powerful in large samples.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2985","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47407162","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: 4
Nowcasting from cross-sectionally dependent panels 来自横截面依赖面板的临近预测
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-05-23 DOI: 10.1002/jae.2980
Jack Fosten, Shaoni Nandi
{"title":"Nowcasting from cross-sectionally dependent panels","authors":"Jack Fosten,&nbsp;Shaoni Nandi","doi":"10.1002/jae.2980","DOIUrl":"10.1002/jae.2980","url":null,"abstract":"<p>This paper builds a mixed-frequency panel data model for nowcasting economic variables across many countries. The model extends the mixed-frequency panel vector autoregression (MF-PVAR) to allow for heterogeneous coefficients and a multifactor error structure to model cross-sectional dependence. We propose a modified common correlated effects (CCE) estimation technique which performs well in simulations. The model is applied in two distinct settings: nowcasting gross domestic product (GDP) growth for a pool of advanced and emerging economies and nowcasting inflation across many European countries. Our method is capable of beating standard benchmark models and can produce updated nowcasts whenever data releases occur in any country in the panel.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2980","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49236199","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: 1
Oil prices in the real economy 实体经济中的石油价格
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-05-21 DOI: 10.1002/jae.2986
Haicheng Shu, Peter Spencer
{"title":"Oil prices in the real economy","authors":"Haicheng Shu,&nbsp;Peter Spencer","doi":"10.1002/jae.2986","DOIUrl":"10.1002/jae.2986","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper presents a macro-finance model of the US economy and the spot and futures markets for oil. The performance of the model is greatly enhanced by using the Kalman filter to model latent variables representing the inflation asymptote, the real price of oil and the slope of the futures curve. We find that these are dominated by innovations in observed futures prices, reflecting the importance of market expectations. Using the Kalman filter to capture inflationary shocks helps solve the notorious price puzzle, the tendency for increases in interest rates to anticipate such developments and apparently cause inflation. Futures prices also depend upon risk premiums, which we find are dominated by the latent variable representing the real oil price rather than macro variables like inflation and interest rates.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42202011","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
Exchange rates and macroeconomic fundamentals: Evidence of instabilities from time-varying factor loadings 汇率和宏观经济基本面：来自时变因素负载的不稳定性证据
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-05-12 DOI: 10.1002/jae.2984
Eric Hillebrand, Jakob Guldbæk Mikkelsen, Lars Spreng, Giovanni Urga
{"title":"Exchange rates and macroeconomic fundamentals: Evidence of instabilities from time-varying factor loadings","authors":"Eric Hillebrand,&nbsp;Jakob Guldbæk Mikkelsen,&nbsp;Lars Spreng,&nbsp;Giovanni Urga","doi":"10.1002/jae.2984","DOIUrl":"https://doi.org/10.1002/jae.2984","url":null,"abstract":"<p>We examine the relationship between exchange rates and macroeconomic fundamentals using a two-step maximum likelihood estimator through which we compute time-varying factor loadings. Factors are obtained as principal components, extracted from vintage macro-datasets that combine FRED-MD and OECD databases. Using 14 currencies over 1990–2021, we show that the loadings on the factors vary considerably over time and increase the percentage of explained variation in exchange rates by an order of magnitude. Time-varying loadings improve the overall predictive ability of the model, especially during crises, and lead to better forecasts of sign changes in exchange rates.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-05-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2984","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50130417","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
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信