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Factor Models With Sparse Vector Autoregressive Idiosyncratic Components 稀疏向量自回归特质分量因子模型
IF 1.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2025-02-19 DOI: 10.1111/obes.12664
Jonas Krampe, Luca Margaritella
{"title":"Factor Models With Sparse Vector Autoregressive Idiosyncratic Components","authors":"Jonas Krampe,&nbsp;Luca Margaritella","doi":"10.1111/obes.12664","DOIUrl":"https://doi.org/10.1111/obes.12664","url":null,"abstract":"<p>We reconcile dense and sparse modelling by exploiting the positive aspects of both. We employ a high-dimensional, approximate static factor model and assume the idiosyncratic term follows a sparse vector autoregressive model (VAR). The estimation is articulated in two steps: (i) factors and loadings are estimated via principal component analysis (PCA); (ii) a sparse VAR is estimated via the lasso on the estimated idiosyncratic components from (i). Step (ii) allows to model cross-sectional and time dependence left after the factors estimation. We prove the consistency of this approach as the time and cross-sectional dimensions diverge. In (ii), sparsity is allowed to be very general: approximate, row-wise, and growing with the sample size. However, the estimation error of (i) needs to be accounted for. Instead of simply plugging-in the standard rates derived for the PCA estimation of the factors in (i), we derive a refined expression of the error, which enables us to derive tighter rates for the lasso in (ii). We discuss applications on forecasting &amp; factor-augmented regression and present an empirical application on macroeconomic forecasting using the Federal Reserve Economic Data - Monthly Database (FRED-MD).</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"87 4","pages":"837-849"},"PeriodicalIF":1.5,"publicationDate":"2025-02-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/obes.12664","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144574182","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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: 0
Detecting Multiple Structural Breaks in Systems of Linear Regression Equations With Integrated and Stationary Regressors 具有积分平稳回归量的线性回归方程系统的多重结构断裂检测
IF 1.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2025-02-17 DOI: 10.1111/obes.12666
Karsten Schweikert
{"title":"Detecting Multiple Structural Breaks in Systems of Linear Regression Equations With Integrated and Stationary Regressors","authors":"Karsten Schweikert","doi":"10.1111/obes.12666","DOIUrl":"https://doi.org/10.1111/obes.12666","url":null,"abstract":"<p>In this paper, we propose a two-step procedure based on the group LASSO estimator in combination with a backward elimination algorithm to detect multiple structural breaks in linear regressions with multivariate responses. Applying the two-step estimator, we jointly detect the number and location of structural breaks and provide consistent estimates of the coefficients. Our framework is flexible enough to allow for a mix of integrated and stationary regressors, as well as deterministic terms. Using simulation experiments, we show that the proposed two-step estimator performs competitively against the likelihood-based approach in finite samples. However, the two-step estimator is computationally much more efficient. An economic application to the identification of structural breaks in the term structure of interest rates illustrates this methodology.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"87 4","pages":"850-865"},"PeriodicalIF":1.5,"publicationDate":"2025-02-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/obes.12666","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144573876","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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: 0
Monetization and the Fiscal Multiplier 货币化与财政乘数
IF 1.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2025-02-04 DOI: 10.1111/obes.12658
Michele Fratianni, Riccardo Lucchetti, Federico Giri, Francesco Valentini
{"title":"Monetization and the Fiscal Multiplier","authors":"Michele Fratianni,&nbsp;Riccardo Lucchetti,&nbsp;Federico Giri,&nbsp;Francesco Valentini","doi":"10.1111/obes.12658","DOIUrl":"https://doi.org/10.1111/obes.12658","url":null,"abstract":"<div>\u0000 \u0000 <p>We investigate the size of Italian fiscal multipliers over the period 1872–2006. By instrumenting total expenditure with defence expenditure, we measure the multiplier under different business and monetary policy regimes, also employing a time-varying parameters model to encompass structural changes. We explore the nexus between the multiplier and monetization using the treasury monetary base, a policy instrument used in Italy during the period, as a novel measure of monetization. Results suggest that when monetization and economic slackness occur jointly, the fiscal multiplier tends to be larger. Monetization does not significantly affect the multiplier during expansions.</p>\u0000 </div>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"87 4","pages":"711-734"},"PeriodicalIF":1.5,"publicationDate":"2025-02-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144573520","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Does Less Education Harm Health? Evidence From a Natural Experiment in a Developing Country 教育程度降低会危害健康吗？来自发展中国家自然实验的证据
IF 1.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2025-02-02 DOI: 10.1111/obes.12661
Islam Khalil, Debdulal Mallick, Aaron Nicholas
{"title":"Does Less Education Harm Health? Evidence From a Natural Experiment in a Developing Country","authors":"Islam Khalil,&nbsp;Debdulal Mallick,&nbsp;Aaron Nicholas","doi":"10.1111/obes.12661","DOIUrl":"https://doi.org/10.1111/obes.12661","url":null,"abstract":"<p>We investigate the health outcome effects of a <i>reduction</i> in years of schooling in Egypt in 1988, a policy change that moves in the opposite direction in relation to the extant literature. We exploit this policy change as a natural experiment and employ a fuzzy regression discontinuity design to investigate a range of objectively measured health outcomes and behaviours. Despite the policy's adverse effect on students' years of schooling and ability to complete educational milestones, there is no statistical effect on any health outcomes. Results also suggest that the reduction in years of schooling had no effect on labour market outcomes, thus providing a rationale for the lack of effect on health outcomes. While increasing education often leads to improved health outcomes, our findings suggest that decreasing education does not necessarily result in poorer health outcomes.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"87 4","pages":"751-770"},"PeriodicalIF":1.5,"publicationDate":"2025-02-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/obes.12661","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144573116","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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: 0
Healthy Ageing for All? A Health Growth Incidence Curve Approach 人人享有健康老龄化？健康增长发生率曲线方法
IF 1.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2025-02-01 DOI: 10.1111/obes.12665
Vincenzo Carrieri, Andrew M. Jones, Francesco Principe, Maria Maddalena Speziali
{"title":"Healthy Ageing for All? A Health Growth Incidence Curve Approach","authors":"Vincenzo Carrieri,&nbsp;Andrew M. Jones,&nbsp;Francesco Principe,&nbsp;Maria Maddalena Speziali","doi":"10.1111/obes.12665","DOIUrl":"https://doi.org/10.1111/obes.12665","url":null,"abstract":"<p>We propose and apply a framework that analyses the distributional impact of episodes of overall health growth or decline. We use local smoothing to model the relationship between health outcomes and relative income rank and we introduce Health Growth Incidence Curves (HGIC) to graph the rate of change of health outcomes across the income distribution. We illustrate our framework with an analysis of the distributional dynamics of health and well-being among those aged 60–85 in the years 2004 and 2015 using pooled SHARE data for selected European countries. Overall we observe a pattern that favours individuals with higher socioeconomic status, with a pro-rich distribution of improvements in outcomes. Only cognitive capacity growth has been uniform across income groups.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"87 4","pages":"789-799"},"PeriodicalIF":1.5,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/obes.12665","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144573216","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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: 0
The Long-Term Effects of In Utero Exposure to Rubella 子宫内风疹暴露的长期影响
IF 1.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2025-01-27 DOI: 10.1111/obes.12663
Irene Mosca, Anne Nolan
{"title":"The Long-Term Effects of In Utero Exposure to Rubella","authors":"Irene Mosca,&nbsp;Anne Nolan","doi":"10.1111/obes.12663","DOIUrl":"https://doi.org/10.1111/obes.12663","url":null,"abstract":"<p>A rubella infection in early pregnancy poses a significant risk of damage to the foetus. In this paper, we examine the later-life impact of a rubella outbreak that occurred in Ireland in 1956. Matching the outcomes of individuals born in 1954–1957 in the 2016 Irish Census of Population to the county-level rubella incidence rate that was prevailing when respondents were in utero in early pregnancy, we find that one extra rubella case per 10,000 population is associated with between 0.4% and 1.2% point increases in the probability of having lower levels of educational attainment, being in poor health and having a disability in later life.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"87 4","pages":"771-788"},"PeriodicalIF":1.5,"publicationDate":"2025-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/obes.12663","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144574193","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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: 0
Threshold Expectile Regressions With an Unknown Threshold for Dependent Data 具有未知阈值的依赖数据阈值期望回归
IF 1.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2025-01-25 DOI: 10.1111/obes.12655
Feipeng Zhang, Yundong Tu
{"title":"Threshold Expectile Regressions With an Unknown Threshold for Dependent Data","authors":"Feipeng Zhang,&nbsp;Yundong Tu","doi":"10.1111/obes.12655","DOIUrl":"https://doi.org/10.1111/obes.12655","url":null,"abstract":"<div>\u0000 \u0000 <p>This article introduces a threshold expectile regression model with an unknown threshold for dependent data, which enables simple characterization of nonlinearity and heteroscedasticity in economic and financial applications. Profile estimation is proposed for the unknown parameters, and a sup-Wald test is developed to test the existence of the threshold effect at a fixed expectile level. Inference issues across multiple expectile levels are further considered, with a likelihood-ratio-type test designed to check for the presence of a common threshold value. Monte Carlo simulations demonstrate the nice finite sample performance of the proposed inference procedures. Finally, an empirical application demonstrates that the debt-to-GDP ratio has a heterogeneous threshold effect on the U.S. growth rate across the growth distribution.</p>\u0000 </div>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"87 4","pages":"815-836"},"PeriodicalIF":1.5,"publicationDate":"2025-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144574226","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Task Difficulty and Gender Differences in Competitiveness: Evidence From Botswana 任务难度与竞争力的性别差异：来自博茨瓦纳的证据
IF 1.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2025-01-24 DOI: 10.1111/obes.12656
Michalis Drouvelis, Graeme Pearce
{"title":"Task Difficulty and Gender Differences in Competitiveness: Evidence From Botswana","authors":"Michalis Drouvelis,&nbsp;Graeme Pearce","doi":"10.1111/obes.12656","DOIUrl":"https://doi.org/10.1111/obes.12656","url":null,"abstract":"<p>Using a novel subject pool from Botswana, we experimentally examine the impact of task difficulty on willingness to compete, an economic indicator that may partially explain gender disparities in the labour market. Our experiment closely follows the paradigm of Niederle and Vesterlund (2007, QJE) and is concerned with treatments where a task is either relatively easy or more difficult. We report evidence of a larger gender gap in willingness to compete when the math task is easy in comparison to when the math task is more difficult. Our results have implications for future experiments examining gender differences.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"87 4","pages":"735-750"},"PeriodicalIF":1.5,"publicationDate":"2025-01-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/obes.12656","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144574198","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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: 0
The UK Productivity “Puzzle” in an International Comparative Perspective 国际比较视角下的英国生产力“困惑”
IF 1.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2025-01-18 DOI: 10.1111/obes.12660
John Fernald, Robert Inklaar
{"title":"The UK Productivity “Puzzle” in an International Comparative Perspective","authors":"John Fernald,&nbsp;Robert Inklaar","doi":"10.1111/obes.12660","DOIUrl":"https://doi.org/10.1111/obes.12660","url":null,"abstract":"<p>The UK's slow productivity growth since 2007 has been referred to as a “puzzle,” as if it were a particularly UK-specific problem. We highlight how the United States and northern Europe experienced very similar slowdowns. In all three regions, the slowdown in total factor productivity (TFP) growth accounts for the slowdown in labor productivity growth. We find no evidence in capital-output ratios, investment rates, or internal rates of return that something substantive changed in the capital-formation process after 2007—other than a slowdown in TFP and output growth that induced slower capital formation. Hence, capital formation is not an important independent factor in the post-2007 productivity slowdown. For the UK, weak investment is a longstanding concern going back to the 1990s, though considerations of non-national accounts intangible assets somewhat ameliorate the investment shortfalls. The common slowdown in TFP growth is fairly broad-based across industry groups. Industry-specific issues, such as in mining, account for some of relative ground lost after 2007 rather than indicating a systematic UK competitiveness problem.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"87 4","pages":"691-710"},"PeriodicalIF":1.5,"publicationDate":"2025-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/obes.12660","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144574190","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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: 0
Quarterly GDP Estimates for the German States: New Data for Business Cycle Analyses 德国各州季度GDP估计：商业周期分析的新数据
IF 1.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2025-01-16 DOI: 10.1111/obes.12653
Robert Lehmann, Ida Wikman
{"title":"Quarterly GDP Estimates for the German States: New Data for Business Cycle Analyses","authors":"Robert Lehmann,&nbsp;Ida Wikman","doi":"10.1111/obes.12653","DOIUrl":"https://doi.org/10.1111/obes.12653","url":null,"abstract":"<div>\u0000 \u0000 <p>To date, only annual information on economic activity is published for the 16 German states, thus, preventing the measurement of inter-annual business cycle movements. We calculate quarterly regional real GDP estimates for the period between 1995 to 2021, thereby improving the database for Germany. We use the new data for an in-depth business cycle analysis including the discussion of regional business cycle characteristics, the factors explaining these features, and the first state-level output gap estimates at the quarterly frequency. The analysis reveals large heterogeneities in both the duration and amplitudes of state-specific fluctuations as well as in the degrees of cyclical concordance. Especially the sectoral mix significantly explains the differences across the states' business cycle amplitudes. We further observe heterogeneous output gap profiles across the German states that also correlate with the regional sectoral mix. In 2021, the states with negative output gaps were those with a large share in service activities, which is the sector most affected by the COVID-19 pandemic.</p>\u0000 </div>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"87 4","pages":"800-814"},"PeriodicalIF":1.5,"publicationDate":"2025-01-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144574076","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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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