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Reconciling Trends in U.S. Male Earnings Volatility: Results from Survey and Administrative Data 调和美国男性收入波动的趋势:来自调查和行政数据的结果
IF 3 2区 数学
Journal of Business & Economic Statistics Pub Date : 2022-02-01 DOI: 10.1080/07350015.2022.2102020
R. Moffitt, John M. Abowd, C. Bollinger, Michael Carr, Charles M. Hokayem, Kevin McKinney, E. Wiemers, Sisi Zhang, James P. Ziliak
{"title":"Reconciling Trends in U.S. Male Earnings Volatility: Results from Survey and Administrative Data","authors":"R. Moffitt, John M. Abowd, C. Bollinger, Michael Carr, Charles M. Hokayem, Kevin McKinney, E. Wiemers, Sisi Zhang, James P. Ziliak","doi":"10.1080/07350015.2022.2102020","DOIUrl":"https://doi.org/10.1080/07350015.2022.2102020","url":null,"abstract":"ABSTRACT There is a large literature on earnings and income volatility in labor economics, household finance, and macroeconomics. One strand of that literature has studied whether individual earnings volatility has risen or fallen in the United States over the last several decades. There are strong disagreements in the empirical literature on this important question, with some studies showing upward trends, some showing downward trends, and some showing no trends. Some studies have suggested that the differences are the result of using flawed survey data instead of more accurate administrative data. This article summarizes the results of a project attempting to reconcile these findings with four different datasets and six different data series—three survey and three administrative data series, including two which match survey respondent data to their administrative data. Using common specifications, measures of volatility, and other treatments of the data, four of the six data series show a lack of any significant long-term trend in male earnings volatility over the last 20-to-30+ years when differences across the datasets are properly accounted for. A fifth data series (the PSID) shows a positive net trend but small in magnitude. A sixth, administrative, dataset, available only since 1998, shows no net trend 1998–2011 and only a small decline thereafter. Many of the remaining differences across data series can be explained by differences in their cross-sectional distribution of earnings, particularly differences in the size of the lower tail. We conclude that the datasets we have analyzed, which include many of the most important available, show little evidence of any significant trend in male earnings volatility since the mid-1980s.","PeriodicalId":50247,"journal":{"name":"Journal of Business & Economic Statistics","volume":"41 1","pages":"1 - 11"},"PeriodicalIF":3.0,"publicationDate":"2022-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43747707","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Locally Stationary Multiplicative Volatility Modeling 局部平稳乘性波动率模型
IF 3 2区 数学
Journal of Business & Economic Statistics Pub Date : 2022-02-01 DOI: 10.1080/07350015.2022.2036612
Christopher Walsh, M. Vogt
{"title":"Locally Stationary Multiplicative Volatility Modeling","authors":"Christopher Walsh, M. Vogt","doi":"10.1080/07350015.2022.2036612","DOIUrl":"https://doi.org/10.1080/07350015.2022.2036612","url":null,"abstract":"Abstract In this article, we study a semiparametric multiplicative volatility model, which splits up into a nonparametric part and a parametric GARCH component. The nonparametric part is modeled as a product of a deterministic time trend component and of further components that depend on stochastic regressors. We propose a two-step procedure to estimate the model. To estimate the nonparametric components, we transform the model and apply a backfitting procedure. The GARCH parameters are estimated in a second step via quasi maximum likelihood. We show consistency and asymptotic normality of our estimators. Our results are obtained using mixing properties and local stationarity. We illustrate our method using financial data. Finally, a small simulation study illustrates a substantial bias in the GARCH parameter estimates when omitting the stochastic regressors.","PeriodicalId":50247,"journal":{"name":"Journal of Business & Economic Statistics","volume":"41 1","pages":"497 - 508"},"PeriodicalIF":3.0,"publicationDate":"2022-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48439649","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Detecting Unobserved Heterogeneity in Efficient Prices via Classifier-Lasso 利用分类器套索检测有效价格的未观察异质性
IF 3 2区 数学
Journal of Business & Economic Statistics Pub Date : 2022-02-01 DOI: 10.1080/07350015.2022.2036613
Wenxin Huang, Liangjun Su, Yuan Zhuang
{"title":"Detecting Unobserved Heterogeneity in Efficient Prices via Classifier-Lasso","authors":"Wenxin Huang, Liangjun Su, Yuan Zhuang","doi":"10.1080/07350015.2022.2036613","DOIUrl":"https://doi.org/10.1080/07350015.2022.2036613","url":null,"abstract":"Abstract This article proposes a new measure of efficient price as a weighted average of bid and ask prices, where the weights are constructed from the bid-ask long-run relationships in a panel error-correction model (ECM). To allow for heterogeneity in the long-run relationships, we consider a panel ECM with latent group structures so that all the stocks within a group share the same long-run relationship and do not otherwise. We extend the Classifier-Lasso method to the ECM to simultaneously identify the individual’s group membership and estimate the group-specific long-run relationship. We establish the uniform classification consistency and good asymptotic properties of the post-Lasso estimators under some regularity conditions. Empirically, we find that more than 30% of the Standard & Poor’s (S&P) 1500 stocks have estimated efficient prices significantly deviating from the midpoint—a conventional measure of efficient price. Such deviations explored from our data-driven method can provide dynamic information on the extent and direction of informed trading activities.","PeriodicalId":50247,"journal":{"name":"Journal of Business & Economic Statistics","volume":"41 1","pages":"509 - 522"},"PeriodicalIF":3.0,"publicationDate":"2022-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42800023","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Estimating Density Ratio of Marginals to Joint: Applications to Causal Inference 估计边际与联合的密度比：在因果推理中的应用
IF 3 2区 数学
Journal of Business & Economic Statistics Pub Date : 2022-01-31 DOI: 10.1080/07350015.2022.2035228
Yukitoshi Matsushita, Taisuke Otsu, Keisuke Takahata
{"title":"Estimating Density Ratio of Marginals to Joint: Applications to Causal Inference","authors":"Yukitoshi Matsushita, Taisuke Otsu, Keisuke Takahata","doi":"10.1080/07350015.2022.2035228","DOIUrl":"https://doi.org/10.1080/07350015.2022.2035228","url":null,"abstract":"Abstract In various fields of data science, researchers often face problems of estimating the ratios of two probability densities. Particularly in the context of causal inference, the product of marginals for a treatment variable and covariates to their joint density ratio typically emerges in the process of constructing causal effect estimators. This article applies the general least square density ratio estimation methodology by Kanamori, Hido and Sugiyama to the product of marginals to joint density ratio, and demonstrates its usefulness particularly for causal inference on continuous treatment effects and dose-response curves. The proposed method is illustrated by a simulation study and an empirical example to investigate the treatment effect of political advertisements in the U.S. presidential campaign data.","PeriodicalId":50247,"journal":{"name":"Journal of Business & Economic Statistics","volume":"41 1","pages":"467 - 481"},"PeriodicalIF":3.0,"publicationDate":"2022-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42587105","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","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 Trend Specifications in Panel Data Models 面板数据模型中的趋势规范测试
IF 3 2区 数学
Journal of Business & Economic Statistics Pub Date : 2022-01-28 DOI: 10.1080/07350015.2022.2035227
Jilin Wu, Xiaojun Song, Zhijie Xiao
{"title":"Testing for Trend Specifications in Panel Data Models","authors":"Jilin Wu, Xiaojun Song, Zhijie Xiao","doi":"10.1080/07350015.2022.2035227","DOIUrl":"https://doi.org/10.1080/07350015.2022.2035227","url":null,"abstract":"Abstract This article proposes a consistent nonparametric test for common trend specifications in panel data models with fixed effects. The test is general enough to allow for heteroscedasticity, cross-sectional and serial dependence in the error components, has an asymptotically normal distribution under the null hypothesis of correct trend specification, and is consistent against various alternatives that deviate from the null. In addition, the test has an asymptotic unit power against two classes of local alternatives approaching the null at different rates. We also propose a wild bootstrap procedure to better approximate the finite sample null distribution of the test statistic. Simulation results show that the proposed test implemented with bootstrap p-values performs reasonably well in finite samples. Finally, an empirical application to the analysis of the U.S. per capita personal income trend highlights the usefulness of our test in real datasets.","PeriodicalId":50247,"journal":{"name":"Journal of Business & Economic Statistics","volume":"41 1","pages":"453 - 466"},"PeriodicalIF":3.0,"publicationDate":"2022-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49611253","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
A Novel Estimation Method in Generalized Single Index Models 广义单指标模型的一种新的估计方法
IF 3 2区 数学
Journal of Business & Economic Statistics Pub Date : 2022-01-18 DOI: 10.1080/07350015.2022.2027777
Dixin Zhang, Yulin Wang, Hua Liang
{"title":"A Novel Estimation Method in Generalized Single Index Models","authors":"Dixin Zhang, Yulin Wang, Hua Liang","doi":"10.1080/07350015.2022.2027777","DOIUrl":"https://doi.org/10.1080/07350015.2022.2027777","url":null,"abstract":"Abstract The single index and generalized single index models have been demonstrated to be a powerful tool for studying nonlinear interaction effects of variables in the low-dimensional case. In this article, we propose a new estimation approach for generalized single index models with known but unknown. Specifically, we first obtain a consistent estimator of the regression function by using a local linear smoother, and then estimate the parametric components by treating as our continuous response. The resulting estimators of θ are asymptotically normal. The proposed procedure can substantially overcome convergence problems encountered in generalized linear models with discrete response variables when sparseness occurs and misspecification. We conduct simulation experiments to evaluate the numerical performance of the proposed methods and analyze a financial dataset from a peer-to-peer lending platform of China as an illustration.","PeriodicalId":50247,"journal":{"name":"Journal of Business & Economic Statistics","volume":"41 1","pages":"399 - 413"},"PeriodicalIF":3.0,"publicationDate":"2022-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"59995593","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Multi-Threshold Structural Equation Model 多阈值结构方程模型
IF 3 2区 数学
Journal of Business & Economic Statistics Pub Date : 2022-01-04 DOI: 10.1080/07350015.2021.2023553
Jingli Wang, Jialiang Li
{"title":"Multi-Threshold Structural Equation Model","authors":"Jingli Wang, Jialiang Li","doi":"10.1080/07350015.2021.2023553","DOIUrl":"https://doi.org/10.1080/07350015.2021.2023553","url":null,"abstract":"Abstract In this article, we consider the instrumental variable estimation for causal regression parameters with multiple unknown structural changes across subpopulations. We propose a multiple change point detection method to determine the number of thresholds and estimate the threshold locations in the two-stage least square procedure. After identifying the estimated threshold locations, we use the Wald method to estimate the parameters of interest, that is, the regression coefficients of the endogenous variable. Based on some technical assumptions, we carefully establish the consistency of estimated parameters and the asymptotic normality of causal coefficients. Simulation studies are included to examine the performance of the proposed method. Finally, our method is illustrated via an application of the Philippine farm households data for which some new findings are discovered.","PeriodicalId":50247,"journal":{"name":"Journal of Business & Economic Statistics","volume":"41 1","pages":"377 - 387"},"PeriodicalIF":3.0,"publicationDate":"2022-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48382424","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Varying Coefficient Mediation Model and Application to Analysis of Behavioral Economics Data. 可变系数中介模型及其在行为经济学数据分析中的应用。
IF 2.9 2区 数学
Journal of Business & Economic Statistics Pub Date : 2022-01-01 Epub Date: 2021-09-27 DOI: 10.1080/07350015.2021.1971089
Yujie Liao, Jingyuan Liu, Donna L Coffman, Runze Li
{"title":"Varying Coefficient Mediation Model and Application to Analysis of Behavioral Economics Data.","authors":"Yujie Liao, Jingyuan Liu, Donna L Coffman, Runze Li","doi":"10.1080/07350015.2021.1971089","DOIUrl":"10.1080/07350015.2021.1971089","url":null,"abstract":"<p><p>This article is concerned with causal mediation analysis with varying indirect and direct effects. We propose a varying coefficient mediation model, which can also be viewed as an extension of moderation analysis on a causal diagram. We develop a new estimation procedure for the direct and indirect effects based on B-splines. Under mild conditions, rates of convergence and asymptotic distributions of the resulting estimates are established. We further propose a <i>F</i>-type test for the direct effect. We conduct simulation study to examine the finite sample performance of the proposed methodology, and apply the new procedures for empirical analysis of behavioral economics data.</p>","PeriodicalId":50247,"journal":{"name":"Journal of Business & Economic Statistics","volume":"40 4","pages":"1759-1771"},"PeriodicalIF":2.9,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9624463/pdf/nihms-1760197.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"10826354","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Unified Principal Component Analysis for Sparse and Dense Functional Data under Spatial Dependency. 空间依赖下稀疏与密集函数数据的统一主成分分析。
IF 3 2区 数学
Journal of Business & Economic Statistics Pub Date : 2022-01-01 DOI: 10.1080/07350015.2021.1938085
Haozhe Zhang, Yehua Li
{"title":"Unified Principal Component Analysis for Sparse and Dense Functional Data under Spatial Dependency.","authors":"Haozhe Zhang,&nbsp;Yehua Li","doi":"10.1080/07350015.2021.1938085","DOIUrl":"https://doi.org/10.1080/07350015.2021.1938085","url":null,"abstract":"<p><p>We consider spatially dependent functional data collected under a geostatistics setting, where locations are sampled from a spatial point process. The functional response is the sum of a spatially dependent functional effect and a spatially independent functional nugget effect. Observations on each function are made on discrete time points and contaminated with measurement errors. Under the assumption of spatial stationarity and isotropy, we propose a tensor product spline estimator for the spatio-temporal covariance function. When a coregionalization covariance structure is further assumed, we propose a new functional principal component analysis method that borrows information from neighboring functions. The proposed method also generates nonparametric estimators for the spatial covariance functions, which can be used for functional kriging. Under a unified framework for sparse and dense functional data, infill and increasing domain asymptotic paradigms, we develop the asymptotic convergence rates for the proposed estimators. Advantages of the proposed approach are demonstrated through simulation studies and two real data applications representing sparse and dense functional data, respectively.</p>","PeriodicalId":50247,"journal":{"name":"Journal of Business & Economic Statistics","volume":"40 4","pages":"1523-1537"},"PeriodicalIF":3.0,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/07350015.2021.1938085","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"10522865","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
Risk Analysis via Generalized Pareto Distributions. 基于广义Pareto分布的风险分析。
IF 3 2区 数学
Journal of Business & Economic Statistics Pub Date : 2022-01-01 DOI: 10.1080/07350015.2021.1874390
Y I He, Liang Peng, Dabao Zhang, Zifeng Zhao
{"title":"Risk Analysis via Generalized Pareto Distributions.","authors":"Y I He,&nbsp;Liang Peng,&nbsp;Dabao Zhang,&nbsp;Zifeng Zhao","doi":"10.1080/07350015.2021.1874390","DOIUrl":"https://doi.org/10.1080/07350015.2021.1874390","url":null,"abstract":"<p><p>We compute the value-at-risk of financial losses by fitting a generalized Pareto distribution to exceedances over a threshold. Following the common practice of setting the threshold as high sample quantiles, we show that, for both independent observations and time-series data, the asymptotic variance for the maximum likelihood estimation depends on the choice of threshold, unlike the existing study of using a divergent threshold. We also propose a random weighted bootstrap method for the interval estimation of VaR, with critical values computed by the empirical distribution of the absolute differences between the bootstrapped estimators and the maximum likelihood estimator. While our asymptotic results unify the inference with non-divergent and divergent thresholds, the finite sample studies via simulation and application to real data show that the derived confidence intervals well cover the true VaR in insurance and finance.</p>","PeriodicalId":50247,"journal":{"name":"Journal of Business & Economic Statistics","volume":"40 2","pages":"852-867"},"PeriodicalIF":3.0,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/07350015.2021.1874390","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"10459843","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
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