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US weekly economic index: Replication and extension 美国每周经济指数:复制与推广
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-05-10 DOI: 10.1002/jae.2979
Philipp Wegmüller, Christian Glocker
{"title":"US weekly economic index: Replication and extension","authors":"Philipp Wegmüller,&nbsp;Christian Glocker","doi":"10.1002/jae.2979","DOIUrl":"10.1002/jae.2979","url":null,"abstract":"<div>\u0000 \u0000 <p>We revisit the US weekly economic index (WEI) put forth by Lewis, Mertens, Stock and Trivedi (2021). In a narrow sense, we replicate their main results with data gathered from its original sources. In a wide sense, we apply the methodology established in Wegmüller, Glocker and Guggia (2023) to adjust the weekly input series for seasonal patterns, calendar day effects, and excess volatility. In a long sense, we show that our proposed data adjustment significantly improves the nowcasting performance of the WEI.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43690789","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: 1
The demand for money at the zero interest rate bound 零利率下的货币需求
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-05-01 DOI: 10.1002/jae.2983
Tsutomu Watanabe, Tomoyoshi Yabu
{"title":"The demand for money at the zero interest rate bound","authors":"Tsutomu Watanabe,&nbsp;Tomoyoshi Yabu","doi":"10.1002/jae.2983","DOIUrl":"10.1002/jae.2983","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper undertakes both a narrow and wide replication of the estimation of a money demand function conducted by Ireland (<i>American Economic Review</i>, 2009). Using US data from 1980 to 2013, we show that the substantial increase in the money-income ratio during the period of near-zero interest rates is captured well by the log–log specification but not by the semi-log specification, contrary to the result obtained by Ireland (2009). Our estimate of the interest elasticity of money demand over the 1980–2013 period is about one-tenth that of Lucas's paper published in 2000, which used a log–log specification. Finally, neither specification satisfactorily fits post-2015 US data.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41842313","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: 5
Heavy tailed but not Zipf: Firm and establishment size in the United States 重尾而非Zipf：美国的公司和机构规模
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-04-23 DOI: 10.1002/jae.2976
Illenin O. Kondo, Logan T. Lewis, Andrea Stella
{"title":"Heavy tailed but not Zipf: Firm and establishment size in the United States","authors":"Illenin O. Kondo,&nbsp;Logan T. Lewis,&nbsp;Andrea Stella","doi":"10.1002/jae.2976","DOIUrl":"10.1002/jae.2976","url":null,"abstract":"<div>\u0000 \u0000 <p>Heavy tails play an important role in modern macroeconomics and international economics. Previous work often assumes a Pareto distribution for firm size, typically with a shape parameter approaching Zipf's law. This convenient approximation has dramatic consequences for the importance of large firms in the economy. But we show that a lognormal distribution, or better yet, a convolution of a lognormal and a non-Zipf Pareto distribution, provides a better description of the US economy, using confidential Census Bureau data. These findings hold even far in the upper tail and suggest that heterogeneous firm models should more systematically explore deviations from Zipf's law.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-04-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47971124","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: 1
Regression discontinuity design with multivalued treatments 多值处理的回归不连续设计
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-04-23 DOI: 10.1002/jae.2982
Carolina Caetano, Gregorio Caetano, Juan Carlos Escanciano
{"title":"Regression discontinuity design with multivalued treatments","authors":"Carolina Caetano,&nbsp;Gregorio Caetano,&nbsp;Juan Carlos Escanciano","doi":"10.1002/jae.2982","DOIUrl":"10.1002/jae.2982","url":null,"abstract":"<div>\u0000 \u0000 <p>We study identification and estimation in the regression discontinuity design with a multivalued treatment. We show that heterogeneity in the first stage discontinuities can be used for the identification of the marginal treatment effects under an alternative assumption, namely, the homogeneity of the LATEs along some covariates. This assumption can often be tested and relaxed. Our estimator can be programmed as a simple two-stage least squares regression, and packaged standard errors and tests can also be used. We apply our method to estimate the effect of Medicare insurance coverage on health care utilization.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-04-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47953772","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: 4
Oil prices uncertainty, endogenous regime switching, and inflation anchoring 油价不确定性、内生政权转换和通货膨胀锚定
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-04-19 DOI: 10.1002/jae.2978
Yoosoon Chang, Ana María Herrera, Elena Pesavento
{"title":"Oil prices uncertainty, endogenous regime switching, and inflation anchoring","authors":"Yoosoon Chang,&nbsp;Ana María Herrera,&nbsp;Elena Pesavento","doi":"10.1002/jae.2978","DOIUrl":"https://doi.org/10.1002/jae.2978","url":null,"abstract":"<div>\u0000 \u0000 <p>Using a novel approach to model regime switching with dynamic feedback and interactions, we extract latent mean and volatility factors in oil price changes. We illustrate how the volatility factor constitutes a useful measure of oil market risk (or oil price uncertainty) for policy makers and analysts as it captures uncertainty not reflected in other economic/financial uncertainty measures. Then, in the context of a VAR, we investigate the role of oil price uncertainty in driving inflation expectations and inflation anchoring. We show that shocks to the mean factor lead to higher expected inflation and inflation disagreement among professional forecasters and households. In contrast, shocks to the volatility factor act as aggregate demand shocks in that they result in lower expected inflation, yet they do increase disagreement about future inflation among professional forecasters and, especially, among households. We also provide econometric evidence suggesting the proposed endogenous volatility switching model can outperform other regime switching models.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50137456","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
Understanding trend inflation through the lens of the goods and services sectors 从商品和服务部门的角度理解通货膨胀趋势
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-04-05 DOI: 10.1002/jae.2975
Yunjong Eo, Luis Uzeda, Benjamin Wong
{"title":"Understanding trend inflation through the lens of the goods and services sectors","authors":"Yunjong Eo,&nbsp;Luis Uzeda,&nbsp;Benjamin Wong","doi":"10.1002/jae.2975","DOIUrl":"https://doi.org/10.1002/jae.2975","url":null,"abstract":"<p>We distinguish between the goods and services sectors in an unobserved components model of U.S. inflation. We find that prior to the early 1990s, both sectors contributed to volatility of aggregate trend inflation, while since then, this has been predominantly driven by the services sector, with the trend in goods inflation being essentially flat. We document that the large reduction in the volatility of the trend for goods inflation has been the most important driver of the decline in the volatility in aggregate trend inflation reported by Stock and Watson (2007). Our results appear robust to COVID-19 inflation developments.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2975","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50121096","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
Testing for multiple level shifts with an integrated or stationary noise component 集成或固定噪声部件的多电平偏移测试
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-03-30 DOI: 10.1002/jae.2977
Josep Lluís Carrion-i-Silvestre, María Dolores Gadea
{"title":"Testing for multiple level shifts with an integrated or stationary noise component","authors":"Josep Lluís Carrion-i-Silvestre,&nbsp;María Dolores Gadea","doi":"10.1002/jae.2977","DOIUrl":"10.1002/jae.2977","url":null,"abstract":"<div>\u0000 \u0000 <p>The paper analyzes the detection and estimation of multiple level shifts regardless of the order of integration of the time series. We show that it is possible to extend the Bai-Perron methodology (1998) to the I(1) and NI(1) nonstationary cases so that a unified framework to test for the presence of multiple level shifts in a robust way is designed. The finite sample performance of the proposed statistics is carried out, establishing a comparison with other existing approaches in the literature. The paper illustrates the implementation of the statistics focusing on the real exchange rate with time series that either cover a long time period or provide a worldwide analysis. Robust detection of multiple level shifts is of great importance to define the statistical approach that is used to test the purchasing power parity hypothesis.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45704315","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
When can we ignore measurement error in the running variable? 什么时候可以忽略运行变量中的测量误差?
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-03-29 DOI: 10.1002/jae.2974
Yingying Dong, Michal Kolesár
{"title":"When can we ignore measurement error in the running variable?","authors":"Yingying Dong,&nbsp;Michal Kolesár","doi":"10.1002/jae.2974","DOIUrl":"10.1002/jae.2974","url":null,"abstract":"<p>In many applications of regression discontinuity designs, the running variable used to assign treatment is only observed with error. We show that, provided the observed running variable (i) correctly classifies treatment assignment and (ii) affects the conditional means of potential outcomes smoothly, ignoring the measurement error nonetheless yields an estimate with a causal interpretation: the average treatment effect for units whose observed running variable equals the cutoff. Possibly after doughnut trimming, these assumptions accommodate a variety of settings where support of the measurement error is not too wide. An empirical application illustrates the results for both sharp and fuzzy designs.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2974","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45165772","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
Featured Cover 特色封面
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-03-15 DOI: 10.1002/jae.2973
Denise Desjardins, Georges Dionne, Yang Lu
{"title":"Featured Cover","authors":"Denise Desjardins,&nbsp;Georges Dionne,&nbsp;Yang Lu","doi":"10.1002/jae.2973","DOIUrl":"https://doi.org/10.1002/jae.2973","url":null,"abstract":"<p>The cover image is based on the Research Article <i>Hierarchical random-effects model for the insurance pricing of vehicles belonging to a fleet</i> by Denise Desjardins et al., https://doi.org/10.1002/jae.2949.\u0000\u0000 <figure>\u0000 <div><picture>\u0000 <source></source></picture><p></p>\u0000 </div>\u0000 </figure></p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2973","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50133921","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
On event studies and distributed-lags in two-way fixed effects models: Identification, equivalence, and generalization 双向固定效应模型中的事件研究和分布滞后：识别、等价和推广
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-02-21 DOI: 10.1002/jae.2971
Kurt Schmidheiny, Sebastian Siegloch
{"title":"On event studies and distributed-lags in two-way fixed effects models: Identification, equivalence, and generalization","authors":"Kurt Schmidheiny,&nbsp;Sebastian Siegloch","doi":"10.1002/jae.2971","DOIUrl":"https://doi.org/10.1002/jae.2971","url":null,"abstract":"<p>We discuss three important properties of panel data event study designs. First, assuming constant treatment effects before and/or after some event time, also known as binning, is a natural restriction, which identifies dynamic treatment effects in the absence of never-treated units. Second, event study designs with binned endpoints and distributed-lag models are numerically identical. Third, classic dummy variable event study designs can be generalized to models that account for multiple treatments of different signs and varying intensities. We demonstrate the practical relevance of our methodological points in an application studying the effects of unemployment benefit duration on job search effort.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2971","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50139599","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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