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ECT volume 38 issue 6 Cover and Back matter ECT第38卷第6期封面和封底
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2022-12-01 DOI: 10.1017/s0266466622000676
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引用次数: 0
GUEST EDITORS’ INTRODUCTION PART TWO: SPECIAL DUAL ISSUE OF ECONOMETRIC THEORY ON YALE 2018 CONFERENCE IN HONOR OF PETER C.B. PHILLIPS 客座编辑简介第二部分：计量经济学理论在耶鲁2018年学术研讨会上的双重特刊
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2022-12-01 DOI: 10.1017/S0266466622000524
D. Andrews, Y. Kitamura, G. Kuersteiner
{"title":"GUEST EDITORS’ INTRODUCTION PART TWO: SPECIAL DUAL ISSUE OF ECONOMETRIC THEORY ON YALE 2018 CONFERENCE IN HONOR OF PETER C.B. PHILLIPS","authors":"D. Andrews, Y. Kitamura, G. Kuersteiner","doi":"10.1017/S0266466622000524","DOIUrl":"https://doi.org/10.1017/S0266466622000524","url":null,"abstract":"This is the second part of a dual-issue special edition of Econometric Theory in honor of Peter C.B. Phillips. The papers published in these two issues grew out of presentations given at the Cowles Foundation Conference on Econometrics: A Celebration of Peter Phillips’s 40 Years at Yale. Peter C.B. Phillips, the founding editor of this journal, joined Yale University in 1979 where he served as full professor and one of the leading intellects of the Department of Economics for more than 40 years. At the time of his joining the Cowles Foundation and Yale economics faculty, Phillips already had been chair of the Department of Econometrics and Social Statistics at the University of Birmingham and held prior faculty positions at the University of Essex and the University of Auckland. He earned a master’s degree in economics from the University of Auckland under the supervision of A.R. Bergstrom, one of the leading authorities on continuous-time modeling and inference at the time; and his master’s thesis was published in Econometrica in 1972. Phillips studied at the London School of Economics where he obtained his Ph.D. with a dissertation on","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"38 1","pages":"1069 - 1072"},"PeriodicalIF":0.8,"publicationDate":"2022-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44213637","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
A JACKKNIFE LAGRANGE MULTIPLIER TEST WITH MANY WEAK INSTRUMENTS 多弱仪器的jacknife拉格朗日乘子检验
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2022-11-11 DOI: 10.1017/s0266466622000433
Yukitoshi Matsushita, Taisuke Otsu
{"title":"A JACKKNIFE LAGRANGE MULTIPLIER TEST WITH MANY WEAK INSTRUMENTS","authors":"Yukitoshi Matsushita, Taisuke Otsu","doi":"10.1017/s0266466622000433","DOIUrl":"https://doi.org/10.1017/s0266466622000433","url":null,"abstract":"This paper proposes a jackknife Lagrange multiplier (JLM) test for instrumental variable regression models, which is robust to (i) many instruments, where the number of instruments may increase proportionally with the sample size, (ii) arbitrarily weak instruments, and (iii) heteroskedastic errors. In contrast to Crudu, Mellace, and Sándor (2021, Econometric Theory 37, 281–310) and Mikusheva and Sun (2021, Review of Economic Studies 89, 2663–2686), who proposed jackknife Anderson–Rubin tests that are also robust to (i)–(iii), we modify a score statistic by jackknifing and construct its heteroskedasticity robust variance estimator. Compared to the Lagrange multiplier tests by Kleibergen (2002, Econometrica 70, 1781–1803) and Moreira (2001, Tests with Correct Size when Instruments Can Be Arbitrarily Weak, Working paper) and their modification for many instruments by Hansen, Hausman, and Newey (2008, Journal of Business & Economic Statistics 26, 398–422), our JLM test is robust to heteroskedastic errors and may circumvent a possible decrease in the power function. Simulation results illustrate the desirable size and power properties of the proposed method.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":" ","pages":""},"PeriodicalIF":0.8,"publicationDate":"2022-11-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44104873","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: 6
INSTRUMENTAL VARIABLES INFERENCE IN A SMALL-DIMENSIONAL VAR MODEL WITH DYNAMIC LATENT FACTORS 具有动态潜在因素的小维变量模型的工具变量推断
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2022-11-10 DOI: 10.1017/s0266466622000536
Federico Carlini, P. Gagliardini
{"title":"INSTRUMENTAL VARIABLES INFERENCE IN A SMALL-DIMENSIONAL VAR MODEL WITH DYNAMIC LATENT FACTORS","authors":"Federico Carlini, P. Gagliardini","doi":"10.1017/s0266466622000536","DOIUrl":"https://doi.org/10.1017/s0266466622000536","url":null,"abstract":"We study semiparametric inference in a small-dimensional vector autoregressive (VAR) model of order p augmented by unobservable common factors with a dynamic described by a VAR process of order q. This state-space specification is useful to measure separately the direct causality effects and the responses to dynamic common factors. We show that the state-space parameters are identifiable from the autocovariance function of the observed process. We estimate the model by means of a multistep procedure in closed-form, which combines an eigenvalue–eigenvector matrix decomposition and a linear instrumental variable estimation allowing for Hansen–Sargan specification tests. We study the asymptotic and finite-sample properties of the parameter estimators and of rank tests for selecting the number of unobservable factors and VAR orders. In an empirical illustration, we investigate the dynamic common factors and the spillover effects that explain the co-movements among the log daily realized volatilities of four European stock market indices.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":" ","pages":""},"PeriodicalIF":0.8,"publicationDate":"2022-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44427873","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: 1
EXPONENTIAL REALIZED GARCH-ITÔ VOLATILITY MODELS 指数实现的GARCH-IT波动率模型
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2022-11-10 DOI: 10.1017/s0266466622000585
Donggyu Kim
{"title":"EXPONENTIAL REALIZED GARCH-ITÔ VOLATILITY MODELS","authors":"Donggyu Kim","doi":"10.1017/s0266466622000585","DOIUrl":"https://doi.org/10.1017/s0266466622000585","url":null,"abstract":"This paper introduces a novel Itô diffusion process to model high-frequency financial data that can accommodate low-frequency volatility dynamics by embedding the discrete-time nonlinear exponential generalized autoregressive conditional heteroskedasticity (GARCH) structure with log-integrated volatility in a continuous instantaneous volatility process. The key feature of the proposed model is that, unlike existing GARCH-Itô models, the instantaneous volatility process has a nonlinear structure, which ensures that the log-integrated volatilities have the realized GARCH structure. We call this the exponential realized GARCH-Itô model. Given the autoregressive structure of the log-integrated volatility, we propose a quasi-likelihood estimation procedure for parameter estimation and establish its asymptotic properties. We conduct a simulation study to check the finite-sample performance of the proposed model and an empirical study with 50 assets among the S&P 500 compositions. Numerical studies show the advantages of the proposed model.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":" ","pages":""},"PeriodicalIF":0.8,"publicationDate":"2022-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44453626","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: 2
ADVANCES IN USING VECTOR AUTOREGRESSIONS TO ESTIMATE STRUCTURAL MAGNITUDES 利用向量自回归估计结构震级的研究进展
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2022-11-07 DOI: 10.1017/s026646662200055x
C. Baumeister, James D. Hamilton
{"title":"ADVANCES IN USING VECTOR AUTOREGRESSIONS TO ESTIMATE STRUCTURAL MAGNITUDES","authors":"C. Baumeister, James D. Hamilton","doi":"10.1017/s026646662200055x","DOIUrl":"https://doi.org/10.1017/s026646662200055x","url":null,"abstract":"This paper surveys recent advances in drawing structural conclusions from vector autoregressions (VARs), providing a unified perspective on the role of prior knowledge. We describe the traditional approach to identification as a claim to have exact prior information about the structural model and propose Bayesian inference as a way to acknowledge that prior information is imperfect or subject to error. We raise concerns from both a frequentist and a Bayesian perspective about the way that results are typically reported for VARs that are set-identified using sign and other restrictions. We call attention to a common but previously unrecognized error in estimating structural elasticities and show how to correctly estimate elasticities even in the case when one only knows the effects of a single structural shock.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":" ","pages":""},"PeriodicalIF":0.8,"publicationDate":"2022-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46652095","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: 9
AN AVERAGING ESTIMATOR FOR TWO-STEP M-ESTIMATION IN SEMIPARAMETRIC MODELS 半参数模型中两步m估计的平均估计量
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2022-11-07 DOI: 10.1017/s0266466622000548
Ruoyao Shi
{"title":"AN AVERAGING ESTIMATOR FOR TWO-STEP M-ESTIMATION IN SEMIPARAMETRIC MODELS","authors":"Ruoyao Shi","doi":"10.1017/s0266466622000548","DOIUrl":"https://doi.org/10.1017/s0266466622000548","url":null,"abstract":"In a two-step extremum estimation (M-estimation) framework with a finite-dimensional parameter of interest and a potentially infinite-dimensional first-step nuisance parameter, this paper proposes an averaging estimator that combines a semiparametric estimator based on a nonparametric first step and a parametric estimator which imposes parametric restrictions on the first step. The averaging weight is an easy-to-compute sample analog of an infeasible optimal weight that minimizes the asymptotic quadratic risk. Under Stein-type conditions, the asymptotic lower bound of the truncated quadratic risk difference between the averaging estimator and the semiparametric estimator is strictly less than zero for a class of data generating processes that includes both correct specification and varied degrees of misspecification of the parametric restrictions, and the asymptotic upper bound is weakly less than zero. The averaging estimator, along with an easy-to-implement inference method, is demonstrated in an example.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":" ","pages":""},"PeriodicalIF":0.8,"publicationDate":"2022-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46740439","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 FOR HOMOGENEOUS THRESHOLDS IN THRESHOLD REGRESSION MODELS 阈值回归模型中齐次阈值的检验
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2022-10-28 DOI: 10.1017/s0266466622000512
Yoonseok Lee, Yulong Wang
{"title":"TESTING FOR HOMOGENEOUS THRESHOLDS IN THRESHOLD REGRESSION MODELS","authors":"Yoonseok Lee, Yulong Wang","doi":"10.1017/s0266466622000512","DOIUrl":"https://doi.org/10.1017/s0266466622000512","url":null,"abstract":"This paper develops a test for homogeneity of the threshold parameter in threshold regression models. The test has a natural interpretation from time series perspectives and can also be applied to test for additional change points in the structural break models. The limiting distribution of the test statistic is derived, and the finite sample properties are studied in Monte Carlo simulations. We apply the new test to the tipping point problem studied by Card, Mas, and Rothstein (2008, Quarterly Journal of Economics 123, 177–218) and statistically justify that the location of the tipping point varies across tracts.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":" ","pages":""},"PeriodicalIF":0.8,"publicationDate":"2022-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44588083","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
REGULARIZED ESTIMATION OF DYNAMIC PANEL MODELS 动态面板模型的正则估计
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2022-10-28 DOI: 10.1017/s0266466622000469
M. Carrasco, Ada Nayihouba
{"title":"REGULARIZED ESTIMATION OF DYNAMIC PANEL MODELS","authors":"M. Carrasco, Ada Nayihouba","doi":"10.1017/s0266466622000469","DOIUrl":"https://doi.org/10.1017/s0266466622000469","url":null,"abstract":"\u0000 In a dynamic panel data model, the number of moment conditions increases rapidly with the time dimension, resulting in a large dimensional covariance matrix of the instruments. As a consequence, the generalized method of moments (GMM) estimator exhibits a large bias in small samples, especially when the autoregressive parameter is close to unity. To address this issue, we propose a regularized version of the one-step GMM estimator using three regularization schemes based on three different ways of inverting the covariance matrix of the instruments. Under double asymptotics, we show that our regularized estimators are consistent and asymptotically normal. These regularization schemes involve a tuning or regularization parameter which needs to be chosen. We derive a data-driven selection of this regularization parameter based on an approximation of the higher-order mean square error and show its optimality. As an empirical application, we estimate a model of income dynamics.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":" ","pages":""},"PeriodicalIF":0.8,"publicationDate":"2022-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45075103","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: 1
TESTING FOR STRICT STATIONARITY VIA THE DISCRETE FOURIER TRANSFORM 通过离散傅里叶变换测试严格平稳性
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2022-10-28 DOI: 10.1017/s0266466622000494
Zhonghao Fu, Shang Gao, Liangjun Su, Xia Wang
{"title":"TESTING FOR STRICT STATIONARITY VIA THE DISCRETE FOURIER TRANSFORM","authors":"Zhonghao Fu, Shang Gao, Liangjun Su, Xia Wang","doi":"10.1017/s0266466622000494","DOIUrl":"https://doi.org/10.1017/s0266466622000494","url":null,"abstract":"This paper proposes a model-free test for the strict stationarity of a potentially vector-valued time series using the discrete Fourier transform (DFT) approach. We show that the DFT of a residual process based on the empirical characteristic function weakly converges to a zero spectrum in the frequency domain for a strictly stationary time series and a nonzero spectrum otherwise. The proposed test is powerful against various types of nonstationarity including deterministic trends and smooth or abrupt structural changes. It does not require smoothed nonparametric estimation and, thus, can detect the Pitman sequence of local alternatives at the parametric rate $T^{-1/2}$ , faster than all existing nonparametric tests. We also design a class of derivative tests based on the characteristic function to test the stationarity in various moments. Monte Carlo studies demonstrate that our test has reasonarble size and excellent power. Our empirical application of exchange rates strongly suggests that both nominal and real exchange rate returns are nonstationary, which the augmented Dickey–Fuller and Kwiatkowski–Phillips–Schmidt–Shin tests may overlook.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":" ","pages":""},"PeriodicalIF":0.8,"publicationDate":"2022-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45740363","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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