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Optimal multi‐action treatment allocation: A two‐phase field experiment to boost immigrant naturalization 优化多重行动治疗分配：促进移民入籍的两阶段实地实验
Journal of Applied Econometrics  Pub Date : 2024-09-05 DOI: 10.1002/jae.3092
Achim Ahrens, Alessandra Stampi‐Bombelli, Selina Kurer, Dominik Hangartner
{"title":"Optimal multi‐action treatment allocation: A two‐phase field experiment to boost immigrant naturalization","authors":"Achim Ahrens, Alessandra Stampi‐Bombelli, Selina Kurer, Dominik Hangartner","doi":"10.1002/jae.3092","DOIUrl":"https://doi.org/10.1002/jae.3092","url":null,"abstract":"SummaryResearch underscores the role of naturalization in enhancing immigrants' socio‐economic integration, yet application rates remain low. We estimate a policy rule for a letter‐based information campaign encouraging newly eligible immigrants in Zurich, Switzerland, to naturalize. The policy rule assigns one out of three treatment letters to each individual, based on their observed characteristics. We field the policy rule to one‐half of 1717 immigrants, while sending random treatment letters to the other half. Despite only moderate treatment effect heterogeneity, the policy tree yields a larger, albeit insignificant, increase in application rates compared with assigning the same letter to everyone.","PeriodicalId":501243,"journal":{"name":"Journal of Applied Econometrics ","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142211624","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Structural breaks and GARCH models of exchange rate volatility: Re‐examination and extension 汇率波动的结构性中断和 GARCH 模型：重新审视和扩展
Journal of Applied Econometrics  Pub Date : 2024-08-07 DOI: 10.1002/jae.3091
Akram Shavkatovich Hasanov, Robert Brooks, Sirojiddin Abrorov, Aktam Usmanovich Burkhanov
{"title":"Structural breaks and GARCH models of exchange rate volatility: Re‐examination and extension","authors":"Akram Shavkatovich Hasanov, Robert Brooks, Sirojiddin Abrorov, Aktam Usmanovich Burkhanov","doi":"10.1002/jae.3091","DOIUrl":"https://doi.org/10.1002/jae.3091","url":null,"abstract":"SummaryWe examine the empirical significance of structural changes concerning generalized autoregressive conditional heteroskedasticity (GARCH) models of exchange rate volatility using out‐of‐sample tests by replicating and carrying out robustness checks on the volatility forecasting study by Rapach and Strauss (Journal of Applied Econometrics, 2008; 23, 65–90). We employ the same econometric models but incorporate recent US dollar daily exchange rates data while also using different software, a relatively recent forecast accuracy test and loss metrics. Our objective is to attain scientific replication in a broad sense. Our analysis verifies and broadly aligns with the results obtained in the original study. In particular, we find strong evidence that the models incorporating structural breaks demonstrate superior performance across all loss functions and forecast horizons compared with those models that ignore instabilities.","PeriodicalId":501243,"journal":{"name":"Journal of Applied Econometrics ","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141944541","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Fast and order‐invariant inference in Bayesian VARs with nonparametric shocks 具有非参数冲击的贝叶斯 VAR 中的快速有序不变推理
Journal of Applied Econometrics  Pub Date : 2024-08-07 DOI: 10.1002/jae.3087
Florian Huber, Gary Koop
{"title":"Fast and order‐invariant inference in Bayesian VARs with nonparametric shocks","authors":"Florian Huber, Gary Koop","doi":"10.1002/jae.3087","DOIUrl":"https://doi.org/10.1002/jae.3087","url":null,"abstract":"SummaryThe shocks that hit macroeconomic models such as Vector Autoregressions (VARs) have the potential to be non‐Gaussian, exhibiting asymmetries and fat tails. This consideration motivates the VAR developed in this paper that uses a Dirichlet process mixture (DPM) to model the reduced‐form shocks. However, we do not follow the obvious strategy of simply modeling the VAR errors with a DPM as this would lead to computationally infeasible Bayesian inference in larger VARs and potentially a sensitivity to the way the variables are ordered in the VAR. Instead, we develop a particular additive error structure inspired by Bayesian nonparametric treatments of random effects in panel data models. We show that this leads to a model that allows for computationally fast and order‐invariant inference in large VARs with nonparametric shocks. Our empirical results with nonparametric VARs of various dimensions show that nonparametric treatment of the VAR errors often improves forecast accuracy and can be used to analyze the changing transmission of US monetary policy.","PeriodicalId":501243,"journal":{"name":"Journal of Applied Econometrics ","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141944526","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Sudden stop: Supply and demand shocks in the German natural gas market 急刹车：德国天然气市场的供需冲击
Journal of Applied Econometrics  Pub Date : 2024-07-31 DOI: 10.1002/jae.3089
Jochen Güntner, Magnus Reif, Maik Wolters
{"title":"Sudden stop: Supply and demand shocks in the German natural gas market","authors":"Jochen Güntner, Magnus Reif, Maik Wolters","doi":"10.1002/jae.3089","DOIUrl":"https://doi.org/10.1002/jae.3089","url":null,"abstract":"SummaryWe use a structural vector autoregressive (SVAR) model to study the German natural gas market and investigate the impact of the 2022 Russian supply stop on the German economy. Combining conventional and narrative sign restrictions, we find that gas supply and demand shocks have large and persistent price effects, while output effects tend to be moderate. The 2022 natural gas price spike was driven by adverse supply shocks and positive storage demand shocks, as Germany filled its inventories before the winter. Counterfactual simulations of an embargo on natural gas imports from Russia indicate similar positive price and negative output effects compared with what we observe in the data.","PeriodicalId":501243,"journal":{"name":"Journal of Applied Econometrics ","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141866628","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The boosted Hodrick‐Prescott filter is more general than you might think 增强型霍德里克-普雷斯科特滤波器比你想象的更通用
Journal of Applied Econometrics  Pub Date : 2024-07-30 DOI: 10.1002/jae.3086
Ziwei Mei, Peter C. B. Phillips, Zhentao Shi
{"title":"The boosted Hodrick‐Prescott filter is more general than you might think","authors":"Ziwei Mei, Peter C. B. Phillips, Zhentao Shi","doi":"10.1002/jae.3086","DOIUrl":"https://doi.org/10.1002/jae.3086","url":null,"abstract":"SummaryThe global financial crisis and Covid‐19 recession have renewed discussion concerning trend‐cycle discovery in macroeconomic data, and boosting has recently upgraded the popular Hodrick‐Prescott filter to a modern machine learning device suited to data‐rich and rapid computational environments. This paper extends boosting's trend determination capability to higher order integrated processes and time series with roots that are local to unity. The theory is established by understanding the asymptotic effect of boosting on a simple exponential function. Given a universe of time series in FRED databases that exhibit various dynamic patterns, boosting timely captures downturns at crises and recoveries that follow.","PeriodicalId":501243,"journal":{"name":"Journal of Applied Econometrics ","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141866630","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The effect of plough agriculture on gender roles: A machine learning approach 犁耕农业对性别角色的影响：机器学习方法
Journal of Applied Econometrics  Pub Date : 2024-07-10 DOI: 10.1002/jae.3083
Anna Baiardi, Andrea A. Naghi
{"title":"The effect of plough agriculture on gender roles: A machine learning approach","authors":"Anna Baiardi, Andrea A. Naghi","doi":"10.1002/jae.3083","DOIUrl":"https://doi.org/10.1002/jae.3083","url":null,"abstract":"SummaryThis paper undertakes a replication in a wide sense of a recent study that examines the relationship between historical plough agriculture and current gender roles. We revisit the main research question with recently developed causal machine learning methods, which allow researchers to model the relationship of covariates with the treatment and the outcomes in a more flexible way, while also including interactions and nonlinearities that were not considered in the original analysis. Our results suggest an even larger negative effect of the historical plough adoption on female labor force participation than what the original analysis found. The paper highlights the benefits of using causal machine learning methods in applied empirical economics.","PeriodicalId":501243,"journal":{"name":"Journal of Applied Econometrics ","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141584917","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Nowcasting Norwegian household consumption with debit card transaction data 利用借记卡交易数据对挪威家庭消费进行预测
Journal of Applied Econometrics  Pub Date : 2024-07-08 DOI: 10.1002/jae.3076
Knut Are Aastveit, Tuva Marie Fastbø, Eleonora Granziera, Kenneth Sæterhagen Paulsen, Kjersti Næss Torstensen
{"title":"Nowcasting Norwegian household consumption with debit card transaction data","authors":"Knut Are Aastveit, Tuva Marie Fastbø, Eleonora Granziera, Kenneth Sæterhagen Paulsen, Kjersti Næss Torstensen","doi":"10.1002/jae.3076","DOIUrl":"https://doi.org/10.1002/jae.3076","url":null,"abstract":"SummaryWe use a novel data set covering all domestic debit card transactions in physical terminals by Norwegian households, to nowcast quarterly Norwegian household consumption. These card payments data are not subject to revisions and are available weekly without delays, providing a valuable early indicator of household spending. To account for mixed‐frequency data, we estimate various quantile mixed‐data sampling (QMIDAS) regressions using predictors sampled at monthly and weekly frequency. We evaluate both point and density forecasting performance over the sample 2011Q4–2019Q4. Our results show that MIDAS regressions with debit card transactions data improve both point and density forecast accuracy over competitive standard benchmark models that use alternative high‐frequency predictors. Finally, we illustrate the benefits of using the card payments data by obtaining a timely and relatively accurate nowcast of 2020Q1, a quarter characterized by heightened uncertainty due to the COVID‐19 pandemic. We further show how debit card data have been useful in nowcasting consumption during the four subsequent quarters.","PeriodicalId":501243,"journal":{"name":"Journal of Applied Econometrics ","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141576252","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Agglomerative hierarchical clustering for selecting valid instrumental variables 用于选择有效工具变量的聚合分层聚类法
Journal of Applied Econometrics  Pub Date : 2024-07-05 DOI: 10.1002/jae.3078
Nicolas Apfel, Xiaoran Liang
{"title":"Agglomerative hierarchical clustering for selecting valid instrumental variables","authors":"Nicolas Apfel, Xiaoran Liang","doi":"10.1002/jae.3078","DOIUrl":"https://doi.org/10.1002/jae.3078","url":null,"abstract":"SummaryWe propose a procedure that combines hierarchical clustering with a test of overidentifying restrictions for selecting valid instrumental variables (IV) from a large set of IVs. Some of these IVs may be invalid in that they fail the exclusion restriction. We show that if the largest group of IVs is valid, our method achieves oracle properties. Unlike existing techniques, our work deals with multiple endogenous regressors. Simulation results suggest an advantageous performance of the method in various settings. The method is applied to estimating the effect of immigration on wages.","PeriodicalId":501243,"journal":{"name":"Journal of Applied Econometrics ","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141576253","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","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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