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Probabilistic forecasting of bubbles and flash crashes 泡沫和闪电崩盘的概率预测
IF 1.9 4区 经济学
Econometrics Journal Pub Date : 2020-02-14 DOI: 10.1093/ectj/utaa004
A. Banerjee, Guillaume Chevillon, M. Kratz
{"title":"Probabilistic forecasting of bubbles and flash crashes","authors":"A. Banerjee, Guillaume Chevillon, M. Kratz","doi":"10.1093/ectj/utaa004","DOIUrl":"https://doi.org/10.1093/ectj/utaa004","url":null,"abstract":"We propose a near explosive random coefficient autoregressive model (NERC) to obtain predictive probabilities of the apparition and devolution of bubbles. The distribution of the autoregressive coefficient of this model is allowed to be centred at an O(T−α) distance of unity, with α ∈ (0, 1). When the expectation of the autoregressive coefficient lies on the explosive side of unity, the NERC helps to model the temporary explosiveness of time series and obtain related predictive probabilities. We study the asymptotic properties of the NERC and provide a procedure for inference on the parameters. In empirical illustrations, we estimate predictive probabilities of bubbles or flash crashes in financial asset prices.","PeriodicalId":50555,"journal":{"name":"Econometrics Journal","volume":" ","pages":""},"PeriodicalIF":1.9,"publicationDate":"2020-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1093/ectj/utaa004","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49186682","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: 5
Wild Bootstrap for Fuzzy Regression Discontinuity Designs: Obtaining Robust Bias-Corrected Confidence Intervals 模糊回归不连续性设计的Wild Bootstrap：获得稳健的偏差校正置信区间
IF 1.9 4区 经济学
Econometrics Journal Pub Date : 2020-01-25 DOI: 10.1093/ECTJ/UTAA002
Yang He, Otávio Bartalotti
{"title":"Wild Bootstrap for Fuzzy Regression Discontinuity Designs: Obtaining Robust Bias-Corrected Confidence Intervals","authors":"Yang He, Otávio Bartalotti","doi":"10.1093/ECTJ/UTAA002","DOIUrl":"https://doi.org/10.1093/ECTJ/UTAA002","url":null,"abstract":"\u0000 This paper develops a novel wild bootstrap procedure to construct robust bias-corrected valid confidence intervals for fuzzy regression discontinuity designs, providing an intuitive complement to existing robust bias-corrected methods. The confidence intervals generated by this procedure are valid under conditions similar to the procedures proposed by Calonico et al. (2014) and related literature. Simulations provide evidence that this new method is at least as accurate as the plug-in analytical corrections when applied to a variety of data-generating processes featuring endogeneity and clustering. Finally, we demonstrate its empirical relevance by revisiting Angrist and Lavy (1999) analysis of class size on student outcomes.","PeriodicalId":50555,"journal":{"name":"Econometrics Journal","volume":" ","pages":""},"PeriodicalIF":1.9,"publicationDate":"2020-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1093/ECTJ/UTAA002","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46534519","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
Erratum to: Semi-parametric analysis of efficiency and productivity using Gaussian processes 勘误表：使用高斯过程对效率和生产率进行半参数分析
IF 1.9 4区 经济学
Econometrics Journal Pub Date : 2019-11-07 DOI: 10.1093/ectj/utz021
G. Emvalomatis
{"title":"Erratum to: Semi-parametric analysis of efficiency and productivity using Gaussian processes","authors":"G. Emvalomatis","doi":"10.1093/ectj/utz021","DOIUrl":"https://doi.org/10.1093/ectj/utz021","url":null,"abstract":"","PeriodicalId":50555,"journal":{"name":"Econometrics Journal","volume":"23 1","pages":"176-176"},"PeriodicalIF":1.9,"publicationDate":"2019-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1093/ectj/utz021","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46251830","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
Index to The Econometrics Journal Volume 21 《计量经济学杂志》第21卷索引
IF 1.9 4区 经济学
Econometrics Journal Pub Date : 2018-10-01 DOI: 10.1111/ectj.12119
{"title":"Index to The Econometrics Journal Volume 21","authors":"","doi":"10.1111/ectj.12119","DOIUrl":"https://doi.org/10.1111/ectj.12119","url":null,"abstract":"","PeriodicalId":50555,"journal":{"name":"Econometrics Journal","volume":"21 3","pages":"354"},"PeriodicalIF":1.9,"publicationDate":"2018-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ectj.12119","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71920657","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 of treatment effects with selective participation in a randomized trial 随机试验中选择性参与的治疗效果鉴定
IF 1.9 4区 经济学
Econometrics Journal Pub Date : 2018-05-09 DOI: 10.1111/ectj.12114
Brendan Kline, Elie Tamer
{"title":"Identification of treatment effects with selective participation in a randomized trial","authors":"Brendan Kline,&nbsp;Elie Tamer","doi":"10.1111/ectj.12114","DOIUrl":"https://doi.org/10.1111/ectj.12114","url":null,"abstract":"<div>\u0000 \u0000 <p>Randomized trials (RTs) are used to learn about treatment effects. This paper studies identification of average treatment response (ATR) and average treatment effect (ATE) from RT data under various assumptions. The focus is the problem of external validity of the RT. RT data need not point identify the ATR or ATE because of selective participation in the RT. The paper reports partial-identification and point-identification results for the ATR and ATE based on RT data under a variety of assumptions. The results include assumptions sufficient to point identify the ATR or ATE from RT data. Under weaker assumptions, the ATR or ATE is partially identified. Further, attention is given to identification of the sign of the ATE and identification of whether participation in the RT is selective. Finally, identification from RT data is compared to identification from observational data.</p>\u0000 </div>","PeriodicalId":50555,"journal":{"name":"Econometrics Journal","volume":"21 3","pages":"332-353"},"PeriodicalIF":1.9,"publicationDate":"2018-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ectj.12114","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71949059","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
Beyond plausibly exogenous 超越看似外源的
IF 1.9 4区 经济学
Econometrics Journal Pub Date : 2018-05-04 DOI: 10.1111/ectj.12113
Hans van Kippersluis, Cornelius A. Rietveld
{"title":"Beyond plausibly exogenous","authors":"Hans van Kippersluis,&nbsp;Cornelius A. Rietveld","doi":"10.1111/ectj.12113","DOIUrl":"https://doi.org/10.1111/ectj.12113","url":null,"abstract":"<div>\u0000 \u0000 <p>We synthesize two recent advances in the literature on instrumental variable (IV) estimation that test and relax the exclusion restriction. Our approach first estimates the direct effect of the IV on the outcome in a subsample for which the IV does not affect the treatment variable. Subsequently, this estimate for the direct effect is used as input for the plausibly exogenous method developed by Conley, Hansen and Rossi. This two-step procedure provides a novel and informed sensitivity analysis for IV estimation. We illustrate the practical use by estimating the causal effect of (a) attending Catholic high school on schooling outcomes and (b) the number of children on female labour supply.</p>\u0000 </div>","PeriodicalId":50555,"journal":{"name":"Econometrics Journal","volume":"21 3","pages":"316-331"},"PeriodicalIF":1.9,"publicationDate":"2018-05-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ectj.12113","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71936314","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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: 62
Non-parametric Bayesian inference of strategies in repeated games 重复博弈策略的非参数贝叶斯推理
IF 1.9 4区 经济学
Econometrics Journal Pub Date : 2018-04-06 DOI: 10.1111/ectj.12112
Max Kleiman-Weiner, Joshua B. Tenenbaum, Penghui Zhou
{"title":"Non-parametric Bayesian inference of strategies in repeated games","authors":"Max Kleiman-Weiner,&nbsp;Joshua B. Tenenbaum,&nbsp;Penghui Zhou","doi":"10.1111/ectj.12112","DOIUrl":"https://doi.org/10.1111/ectj.12112","url":null,"abstract":"Inferring underlying cooperative and competitive strategies from human behaviour in repeated games is important for accurately characterizing human behaviour and understanding how people reason strategically. Finite automata, a bounded model of computation, have been extensively used to compactly represent strategies for these games and are a standard tool in game theoretic analyses. However, inference over these strategies in repeated games is challenging since the number of possible strategies grows exponentially with the number of repetitions yet behavioural data are often sparse and noisy. As a result, previous approaches start by specifying a finite hypothesis space of automata that does not allow for flexibility. This limitation hinders the discovery of novel strategies that may be used by humans but are not anticipated a priori by current theory. Here we present a new probabilistic model for strategy inference in repeated games by exploiting non‐parametric Bayesian modelling. With simulated data, we show that the model is effective at inferring the true strategy rapidly and from limited data, which leads to accurate predictions of future behaviour. When applied to experimental data of human behaviour in a repeated prisoner's dilemma, we uncover strategies of varying complexity and diversity.","PeriodicalId":50555,"journal":{"name":"Econometrics Journal","volume":"21 3","pages":"298-315"},"PeriodicalIF":1.9,"publicationDate":"2018-04-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ectj.12112","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71947136","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
Royal Economic Society Annual Conference 2016 Special Issue on Model Selection and Inference 英国皇家经济学会2016年年会模型选择与推理特刊
IF 1.9 4区 经济学
Econometrics Journal Pub Date : 2018-02-09 DOI: 10.1111/ectj.12098
Richard J. Smith
{"title":"Royal Economic Society Annual Conference 2016 Special Issue on Model Selection and Inference","authors":"Richard J. Smith","doi":"10.1111/ectj.12098","DOIUrl":"10.1111/ectj.12098","url":null,"abstract":"","PeriodicalId":50555,"journal":{"name":"Econometrics Journal","volume":"21 1","pages":"Ci-Cii"},"PeriodicalIF":1.9,"publicationDate":"2018-02-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ectj.12098","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49291234","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
Robust tests for deterministic seasonality and seasonal mean shifts 确定性季节性和季节平均值变化的稳健检验
IF 1.9 4区 经济学
Econometrics Journal Pub Date : 2018-01-26 DOI: 10.1111/ectj.12111
S. Astill, A. M. R. Taylor
{"title":"Robust tests for deterministic seasonality and seasonal mean shifts","authors":"S. Astill,&nbsp;A. M. R. Taylor","doi":"10.1111/ectj.12111","DOIUrl":"https://doi.org/10.1111/ectj.12111","url":null,"abstract":"<div>\u0000 \u0000 <p>We develop tests for the presence of deterministic seasonal behaviour and seasonal mean shifts in a seasonally observed univariate time series. These tests are designed to be asymptotically robust to the order of integration of the series at both the zero and seasonal frequencies. Motivated by the approach of Hylleberg, Engle, Granger and Yoo, we base our approach on linear filters of the data that remove any potential unit roots at the frequencies not associated with the deterministic component(s) under test. Test statistics are constructed using the filtered data such that they have well defined limiting null distributions regardless of whether the data are either integrated or stationary at the frequency associated with the deterministic component(s) under test. In the same manner as Vogelsang, Bunzel and Vogelsang and Sayginsoy and Vogelsang, we scale these statistics by a function of an auxiliary seasonal unit root statistic. This allows us to construct tests that are asymptotically robust to the order of integration of the data at both the zero and seasonal frequencies. Monte Carlo evidence suggests that our proposed tests have good finite sample size and power properties. An empirical application to UK gross domestic product indicates the presence of seasonal mean shifts in the data.</p>\u0000 </div>","PeriodicalId":50555,"journal":{"name":"Econometrics Journal","volume":"21 3","pages":"277-297"},"PeriodicalIF":1.9,"publicationDate":"2018-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ectj.12111","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71982466","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
CCE in panels with general unknown factors 具有一般未知因素的面板中的CCE
IF 1.9 4区 经济学
Econometrics Journal Pub Date : 2018-01-24 DOI: 10.1111/ectj.12110
Joakim Westerlund
{"title":"CCE in panels with general unknown factors","authors":"Joakim Westerlund","doi":"10.1111/ectj.12110","DOIUrl":"https://doi.org/10.1111/ectj.12110","url":null,"abstract":"<div>\u0000 \u0000 <p>A popular approach to factor-augmented panel regressions is the common correlated effects (CCE) estimator of Pesaran (2006). In fact, the approach is so popular that it has given rise to a separate CCE literature. A common assumption in this literature is that the common factors are stationary, which would seem to rule out many empirically relevant cases. Moreover, deterministic factors are typically treated as known, which raises the issue of model misspecification. In the current paper, we show how the conditions placed on the factors in CCE can be made much more general than was previously thought possible. In fact, save for some mild regulatory moment conditions, the factors are essentially unrestricted. One implication of this result is that there is no need to discriminate between deterministic and stochastic factors, but that one can instead treat them all as unknown. This is very convenient for practitioners, because it means that under certain conditions they are spared the problem of having to decide which deterministic terms to include in the model.</p>\u0000 </div>","PeriodicalId":50555,"journal":{"name":"Econometrics Journal","volume":"21 3","pages":"264-276"},"PeriodicalIF":1.9,"publicationDate":"2018-01-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ectj.12110","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71996262","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: 19
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