{"title":"Estimating the price elasticity of gasoline demand in correlated random coefficient models with endogeneity","authors":"Michael Bates, Seolah Kim","doi":"10.1002/jae.3042","DOIUrl":"10.1002/jae.3042","url":null,"abstract":"<div>\u0000 \u0000 <p>We propose a per-cluster instrumental variable (PCIV) approach for estimating linear correlated random coefficient models in the presence of contemporaneous endogeneity and two-way fixed effects. This approach estimates heterogeneous effects and aggregates them to population averages. We demonstrate consistency, showing robustness over standard estimators, and provide analytic standard errors for robust inference. In Monte Carlo simulation, PCIV performs relatively well in finite samples in either dimension. We apply PCIV in estimating the price elasticity of gasoline demand using state fuel taxes as instrumental variables. We find significant elasticity heterogeneity and more elastic gasoline demand on average than with standard estimators.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 4","pages":"679-696"},"PeriodicalIF":2.1,"publicationDate":"2024-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140368966","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}
Iván Fernández-Val, Aico van Vuuren, Francis Vella, Franco Peracchi
{"title":"Hours worked and the US distribution of real annual earnings 1976–2019","authors":"Iván Fernández-Val, Aico van Vuuren, Francis Vella, Franco Peracchi","doi":"10.1002/jae.3039","DOIUrl":"10.1002/jae.3039","url":null,"abstract":"<div>\u0000 \u0000 <p>We examine the impact of annual hours worked on annual earnings by decomposing changes in the real annual earnings distribution into composition, structural, and hours effects. We do so via a nonseparable simultaneous model of hours, wages, and earnings. Using the Current Population Survey for the survey years 1976–2019, we find that changes in the female distribution of annual hours of work are important in explaining movements in inequality in female annual earnings. This captures the substantial changes in their employment behavior over this period. Movements in the male hours' distribution only affect the lower part of their earnings distribution and reflect the sensitivity of these workers' annual hours of work to cyclical factors.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 4","pages":"659-678"},"PeriodicalIF":2.1,"publicationDate":"2024-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140300086","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}
{"title":"Best linear and quadratic moments for spatial econometric models with an application to spatial interdependence patterns of employment growth in US counties","authors":"Fei Jin, Lung-fei Lee, Kai Yang","doi":"10.1002/jae.3046","DOIUrl":"10.1002/jae.3046","url":null,"abstract":"<div>\u0000 \u0000 <p>We provide a novel analytic procedure to construct best linear and quadratic moments of the generalized method of moments estimation for a large class of cross-sectional network and spatial econometric models. These moments generate an estimator that is asymptotically more efficient than the quasi-maximum likelihood estimator when the disturbances follow a non-normal and unknown distribution. We apply this procedure to a high-order spatial autoregressive model with spatial errors, where the disturbances are heteroskedastic. Two normality tests of disturbances are developed. We apply the model to employment data in US counties, which demonstrates spatial interdependence patterns of regional employment growth.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 4","pages":"640-658"},"PeriodicalIF":2.1,"publicationDate":"2024-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140154245","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}
{"title":"Statistical identification in panel structural vector autoregressive models based on independence criteria","authors":"Helmut Herwartz, Shu Wang","doi":"10.1002/jae.3044","DOIUrl":"10.1002/jae.3044","url":null,"abstract":"<p>This paper introduces a novel panel approach to structural vector autoregressive analysis. For identification, we impose independence of structural innovations at the pooled level. We demonstrate robustness of the method under cross-sectional correlation and heterogeneity through simulation experiments. In an empirical application on monetary policy transmission in the Euro area, we find that bond spreads rise significantly after an unexpected monetary tightening. Furthermore, the central bank responds to offset effects of adverse financial shocks. Additionally, we document sizable heterogeneity in country-specific output responses.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 4","pages":"620-639"},"PeriodicalIF":2.1,"publicationDate":"2024-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3044","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140154303","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}
{"title":"Bayesian collapsed Gibbs sampling for a stochastic volatility model with a Dirichlet process mixture","authors":"Frank C. Z. Wu","doi":"10.1002/jae.3040","DOIUrl":"10.1002/jae.3040","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper replicates the results of the stochastic volatility–Dirichlet process mixture (SV-DPM) models proposed in Jensen and Maheu (2010) in both a narrow and a wide sense. By using a normal-Wishart prior and the collapsed Gibbs sampling method, our algorithm can be applied for more general settings, and it is more efficient for sampling the Dirichlet process mixture. For the stochastic volatility component, we adopt the method in Chan (2017) to further increase the overall efficiency of our algorithm. Using the same dataset, we obtain mixed results. Some of the results have significant differences. If we use recent time period dataset, which includes the COVID-19 pandemic period, the log market portfolio volatility seems to increase in terms of the number of clusters and size of magnitude.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 4","pages":"697-704"},"PeriodicalIF":2.1,"publicationDate":"2024-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140099306","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}
{"title":"US fiscal policy shocks: Proxy-SVAR overidentification via GMM","authors":"Allan W. Gregory, James McNeil, Gregor W. Smith","doi":"10.1002/jae.3038","DOIUrl":"10.1002/jae.3038","url":null,"abstract":"<div>\u0000 \u0000 <p>Using external instruments, one can recover the effects of individual shocks without fully identifying a vector autoregression (VAR). We show that fully or almost fully instrumenting a VAR—that is, using an instrument for each shock—allows one to overidentify the model by incorporating the condition that the structural shocks are uncorrelated, via the generalized method of moments (GMM). We apply our approach to a fiscal VAR for the United States over 1948–2019, where the overidentifying restrictions are not rejected. The overidentified structural vector autoregression (SVAR) yields (a) greater precision in estimating impulse response functions and multipliers and (b) measures of the effects of nonfiscal shocks even when there is no instrument for them.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 4","pages":"607-619"},"PeriodicalIF":2.1,"publicationDate":"2024-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140055221","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}
{"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":"39 4","pages":"589-606"},"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}
{"title":"A flexible stochastic production frontier model with panel data","authors":"Taining Wang, Feng Yao, 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":"39 4","pages":"564-588"},"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}
Guido Ascari, Qazi Haque, Leandro M. Magnusson, Sophocles Mavroeidis
{"title":"Empirical evidence on the Euler equation for investment in the US","authors":"Guido Ascari, Qazi Haque, Leandro M. Magnusson, 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":"39 4","pages":"543-563"},"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}
{"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":"39 4","pages":"525-542"},"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}