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INFERENCE IN MILDLY EXPLOSIVE AUTOREGRESSIONS UNDER UNCONDITIONAL HETEROSKEDASTICITY 无条件异方差条件下的轻度爆炸性自回归推理
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2024-09-18 DOI: 10.1017/s0266466624000215
Xuewen Yu, Mohitosh Kejriwal
{"title":"INFERENCE IN MILDLY EXPLOSIVE AUTOREGRESSIONS UNDER UNCONDITIONAL HETEROSKEDASTICITY","authors":"Xuewen Yu, Mohitosh Kejriwal","doi":"10.1017/s0266466624000215","DOIUrl":"https://doi.org/10.1017/s0266466624000215","url":null,"abstract":"Mildly explosive autoregressions have been extensively employed in recent theoretical and applied econometric work to model the phenomenon of asset market bubbles. An important issue in this context concerns the construction of confidence intervals for the autoregressive parameter that represents the degree of explosiveness. Existing studies rely on intervals that are justified only under conditional homoskedasticity/heteroskedasticity. This paper studies the problem of constructing asymptotically valid confidence intervals in a mildly explosive autoregression where the innovations are allowed to be unconditionally heteroskedastic. The assumed variance process is general and can accommodate both deterministic and stochastic volatility specifications commonly adopted in the literature. Within this framework, we show that the standard heteroskedasticity- and autocorrelation-consistent estimate of the long-run variance converges in distribution to a nonstandard random variable that depends on nuisance parameters. Notwithstanding this result, the corresponding <jats:italic>t</jats:italic>-statistic is shown to still possess a standard normal limit distribution. To improve the quality of inference in small samples, we propose a dependent wild bootstrap-<jats:italic>t</jats:italic> procedure and establish its asymptotic validity under relatively weak conditions. Monte Carlo simulations demonstrate that our recommended approach performs favorably in finite samples relative to existing methods across a wide range of volatility specifications. Applications to international stock price indices and U.S. house prices illustrate the relevance of the advocated method in practice.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"29 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142268734","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
EFFICIENCY IN ESTIMATION UNDER MONOTONIC ATTRITION 单调损耗下的估算效率
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2024-09-16 DOI: 10.1017/s0266466624000203
Jean-Louis Barnwell, Saraswata Chaudhuri
{"title":"EFFICIENCY IN ESTIMATION UNDER MONOTONIC ATTRITION","authors":"Jean-Louis Barnwell, Saraswata Chaudhuri","doi":"10.1017/s0266466624000203","DOIUrl":"https://doi.org/10.1017/s0266466624000203","url":null,"abstract":"<p>Attrition is monotonic when agents leaving multi-period studies do not return. Under a general missing at random (MAR) assumption, we study efficiency in estimation of parameters defined by moment restrictions on the distributions of the counterfactuals that were unrealized due to monotonic attrition. We discuss novel issues related to overidentification, usability of sample units, and the information content of various MAR assumptions for estimation of such parameters. We propose a standard doubly robust estimator for these parameters by equating to zero the sample analog of their respective efficient influence functions. Our proposed estimator performs well and vastly outperforms other estimators in our simulation experiment and empirical illustration.</p>","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"90 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142268622","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
WELFARE ANALYSIS VIA MARGINAL TREATMENT EFFECTS 通过边际治疗效果进行福利分析
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2024-09-16 DOI: 10.1017/s0266466624000227
Yuya Sasaki, Takuya Ura
{"title":"WELFARE ANALYSIS VIA MARGINAL TREATMENT EFFECTS","authors":"Yuya Sasaki, Takuya Ura","doi":"10.1017/s0266466624000227","DOIUrl":"https://doi.org/10.1017/s0266466624000227","url":null,"abstract":"<p>We consider a causal structure with endogeneity, i.e., unobserved confoundedness, where an instrumental variable is available. In this setting, we show that the mean social welfare function can be identified and represented via the marginal treatment effect as the operator kernel. This representation result can be applied to a variety of statistical decision rules for treatment choice, including plug-in rules, Bayes rules, and empirical welfare maximization rules. Focusing on the application of the empirical welfare maximization framework, we provide convergence rates of the worst-case average welfare loss (regret).</p>","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"36 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142268623","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
SPURIOUS FACTORS IN DATA WITH LOCAL-TO-UNIT ROOTS 本地到单位根数据中的虚假因素
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2024-05-31 DOI: 10.1017/s0266466624000094
Alexei Onatski, Chen Wang
{"title":"SPURIOUS FACTORS IN DATA WITH LOCAL-TO-UNIT ROOTS","authors":"Alexei Onatski, Chen Wang","doi":"10.1017/s0266466624000094","DOIUrl":"https://doi.org/10.1017/s0266466624000094","url":null,"abstract":"This paper extends the spurious factor analysis of Onatski and Wang (2021, Spurious factor analysis. <jats:italic>Econometrica</jats:italic>, 89(2), 591–614.) to high-dimensional data with heterogeneous local-to-unit roots. We find a spurious factor phenomenon similar to that observed in the data with unit roots. Namely, the “factors” estimated by the principal components analysis converge to principal eigenfunctions of a weighted average of the covariance kernels of the demeaned Ornstein–Uhlenbeck processes with different decay rates. Thus, such “factors” reflect the structure of the strong temporal correlation of the data and do not correspond to any cross-sectional commonalities, that genuine factors are usually associated with. Furthermore, the principal eigenvalues of the sample covariance matrix are very large relative to the other eigenvalues, creating an illusion of the “factors”capturing much of the data’s common variation. We conjecture that the spurious factor phenomenon holds, more generally, for data obtained from high frequency sampling of heterogeneous continuous time (or spacial) processes, and provide an illustration.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"43 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141197869","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
APPLICATIONS OF FUNCTIONAL DEPENDENCE TO SPATIAL ECONOMETRICS 函数依赖在空间计量经济学中的应用
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2024-05-31 DOI: 10.1017/s026646662400015x
Zeqi Wu, Wen Jiang, Xingbai Xu
{"title":"APPLICATIONS OF FUNCTIONAL DEPENDENCE TO SPATIAL ECONOMETRICS","authors":"Zeqi Wu, Wen Jiang, Xingbai Xu","doi":"10.1017/s026646662400015x","DOIUrl":"https://doi.org/10.1017/s026646662400015x","url":null,"abstract":"In this paper, we generalize the concept of functional dependence (FD) from time series (see Wu [2005, <jats:italic>Proceedings of the National Academy of Sciences</jats:italic> 102, 14150–14154]) and stationary random fields (see El Machkouri, Volný, and Wu [2013, <jats:italic>Stochastic Processes and Their Applications</jats:italic> 123, 1–14]) to nonstationary spatial processes. Within conventional settings in spatial econometrics, we define the concept of spatial FD measure and establish a moment inequality, an exponential inequality, a Nagaev-type inequality, a law of large numbers, and a central limit theorem. We show that the dependent variables generated by some common spatial econometric models, including spatial autoregressive (SAR) models, threshold SAR models, and spatial panel data models, are functionally dependent under regular conditions. Furthermore, we investigate the properties of FD measures under various transformations, which are useful in applications. Moreover, we compare spatial FD with the spatial mixing and spatial near-epoch dependence proposed in Jenish and Prucha ([2009, <jats:italic>Journal of Econometrics</jats:italic> 150, 86–98], [2012, <jats:italic>Journal of Econometrics</jats:italic> 170, 178–190]), and we illustrate its advantages.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"50 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141197746","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
IDENTIFICATION AND STATISTICAL DECISION THEORY 识别和统计决策理论
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2024-05-31 DOI: 10.1017/s0266466624000197
Charles F. Manski
{"title":"IDENTIFICATION AND STATISTICAL DECISION THEORY","authors":"Charles F. Manski","doi":"10.1017/s0266466624000197","DOIUrl":"https://doi.org/10.1017/s0266466624000197","url":null,"abstract":"Econometricians have usefully separated study of estimation into identification and statistical components. Identification analysis, which assumes knowledge of the probability distribution generating observable data, places an upper bound on what may be learned about population parameters of interest with finite-sample data. Yet Wald’s statistical decision theory studies decision-making with sample data without reference to identification, indeed without reference to estimation. This paper asks if identification analysis is useful to statistical decision theory. The answer is positive, as it can yield an informative and tractable upper bound on the achievable finite-sample performance of decision criteria. The reasoning is simple when the decision-relevant parameter (true state of nature) is point-identified. It is more delicate when the true state is partially identified and a decision must be made under ambiguity. Then the performance of some criteria, such as minimax regret, is enhanced by randomizing choice of an action in a controlled manner. I find it useful to recast choice of a statistical decision function as selection of choice probabilities for the elements of the choice set.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"64 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141197751","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
TESTING LIMITED OVERLAP 有限重叠测试
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2024-05-13 DOI: 10.1017/s0266466624000161
Xinwei Ma, Yuya Sasaki, Yulong Wang
{"title":"TESTING LIMITED OVERLAP","authors":"Xinwei Ma, Yuya Sasaki, Yulong Wang","doi":"10.1017/s0266466624000161","DOIUrl":"https://doi.org/10.1017/s0266466624000161","url":null,"abstract":"Extreme propensity scores arise in observational studies when treated and control units have very different characteristics. This is commonly referred to as <jats:italic>limited overlap</jats:italic>. In this paper, we propose a formal statistical test that helps assess the degree of limited overlap. Rejecting the null hypothesis in our test indicates either no or very mild degree of limited overlap and hence reassures that standard treatment effect estimators will be well behaved. One distinguishing feature of our test is that it only requires the use of a few extreme propensity scores, which is in stark contrast to other methods that require consistent estimates of some tail index. Without the need to extrapolate using observations far away from the tail, our procedure is expected to exhibit excellent size properties, a result that is also borne out in our simulation study.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"76 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140940689","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
ASYMPTOTICALLY UNIFORMLY MOST POWERFUL TESTS FOR UNIT ROOTS IN GAUSSIAN PANELS WITH CROSS-SECTIONAL DEPENDENCE GENERATED BY COMMON FACTORS 由共同因素产生横截面依赖性的高斯面板中单位根的渐近均匀最强检验
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2024-04-29 DOI: 10.1017/s0266466624000112
Oliver Wichert, I. Gaia Becheri, Feike C. Drost, Ramon van den Akker
{"title":"ASYMPTOTICALLY UNIFORMLY MOST POWERFUL TESTS FOR UNIT ROOTS IN GAUSSIAN PANELS WITH CROSS-SECTIONAL DEPENDENCE GENERATED BY COMMON FACTORS","authors":"Oliver Wichert, I. Gaia Becheri, Feike C. Drost, Ramon van den Akker","doi":"10.1017/s0266466624000112","DOIUrl":"https://doi.org/10.1017/s0266466624000112","url":null,"abstract":"<p>This paper considers testing for unit roots in Gaussian panels with cross-sectional dependence generated by common factors. Within our setup, we can analyze restricted versions of the two prevalent approaches in the literature, that of Moon and Perron (2004, <span>Journal of Econometrics</span> 122, 81–126), who specify a factor model for the innovations, and the PANIC setup proposed in Bai and Ng (2004, <span>Econometrica</span> 72, 1127–1177), who test common factors and idiosyncratic deviations separately for unit roots. We show that both frameworks lead to locally asymptotically normal experiments with the <span>same</span> central sequence and Fisher information. Using Le Cam’s theory of statistical experiments, we obtain the local asymptotic power envelope for unit-root tests. We show that the popular Moon and Perron (2004, <span>Journal of Econometrics</span> 122, 81–126) and Bai and Ng (2010, <span>Econometric Theory</span> 26, 1088–1114) tests only attain the power envelope in case there is no heterogeneity in the long-run variance of the idiosyncratic components. We develop a new test which is asymptotically uniformly most powerful irrespective of possible heterogeneity in the long-run variance of the idiosyncratic components. Monte Carlo simulations corroborate our asymptotic results and document significant gains in finite-sample power if the variances of the idiosyncratic shocks differ substantially among the cross-sectional units.</p>","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"20 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140812163","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
ENCOMPASSING TESTS FOR NONPARAMETRIC REGRESSIONS 包括非参数回归测试
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2024-04-17 DOI: 10.1017/s0266466624000100
Elia Lapenta, Pascal Lavergne
{"title":"ENCOMPASSING TESTS FOR NONPARAMETRIC REGRESSIONS","authors":"Elia Lapenta, Pascal Lavergne","doi":"10.1017/s0266466624000100","DOIUrl":"https://doi.org/10.1017/s0266466624000100","url":null,"abstract":"We set up a formal framework to characterize encompassing of nonparametric models through the <jats:inline-formula> <jats:alternatives> <jats:inline-graphic xmlns:xlink=\"http://www.w3.org/1999/xlink\" mime-subtype=\"png\" xlink:href=\"S0266466624000100_inline1.png\" /> <jats:tex-math> $L^2$ </jats:tex-math> </jats:alternatives> </jats:inline-formula> distance. We contrast it to previous literature on the comparison of nonparametric regression models. We then develop testing procedures for the encompassing hypothesis that are fully nonparametric. Our test statistics depend on kernel regression, raising the issue of bandwidth’s choice. We investigate two alternative approaches to obtain a “small bias property” for our test statistics. We show the validity of a wild bootstrap method. We empirically study the use of a data-driven bandwidth and illustrate the attractive features of our tests for small and moderate samples.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"100 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140615409","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
AN ASYMPTOTIC THEORY FOR JUMP DIFFUSION MODELS 跳跃扩散模型的渐近理论
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2024-04-02 DOI: 10.1017/s0266466624000069
Minsoo Jeong, Joon Y. Park
{"title":"AN ASYMPTOTIC THEORY FOR JUMP DIFFUSION MODELS","authors":"Minsoo Jeong, Joon Y. Park","doi":"10.1017/s0266466624000069","DOIUrl":"https://doi.org/10.1017/s0266466624000069","url":null,"abstract":"<p>This paper presents an asymptotic theory for recurrent jump diffusion models with well-defined scale functions. The class of such models is broad, including general nonstationary as well as stationary jump diffusions with state-dependent jump sizes and intensities. The asymptotics for recurrent jump diffusion models with scale functions are largely comparable to the asymptotics for the corresponding diffusion models without jumps. For stationary jump diffusions, our asymptotics yield the usual law of large numbers and the standard central limit theory with normal limit distributions. The asymptotics for nonstationary jump diffusions, on the other hand, are nonstandard and the limit distributions are given as generalized diffusion processes.</p>","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"20 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140568003","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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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