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Measuring Poverty Dynamics with Synthetic Panels Based on Repeated Cross Sections 基于重复截面的合成面板测量贫困动态
IF 2.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2023-02-07 DOI: 10.1111/obes.12539
Hai-Anh H. Dang, Peter F. Lanjouw
{"title":"Measuring Poverty Dynamics with Synthetic Panels Based on Repeated Cross Sections","authors":"Hai-Anh H. Dang,&nbsp;Peter F. Lanjouw","doi":"10.1111/obes.12539","DOIUrl":"https://doi.org/10.1111/obes.12539","url":null,"abstract":"<p>Panel data are rarely available for developing countries. Departing from traditional pseudo-panel methods that require multiple rounds of cross-sectional data to study poverty mobility at the cohort level, we develop a procedure that works with as few as two survey rounds and produces point estimates of transitions along the welfare distribution at the more disaggregated household level. Validation using Monte Carlo simulations and real cross-sectional and actual panel survey data – from several countries, spanning different income levels and geographical regions – perform well under various deviations from model assumptions. The method could also inform investigation of other welfare outcome dynamics.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"85 3","pages":"599-622"},"PeriodicalIF":2.5,"publicationDate":"2023-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/obes.12539","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50123740","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
Real-Time Perceptions of Historical GDP Data Uncertainty* 历史GDP数据不确定性的实时感知*
IF 2.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2023-02-02 DOI: 10.1111/obes.12542
Ana Beatriz Galvão, James Mitchell
{"title":"Real-Time Perceptions of Historical GDP Data Uncertainty*","authors":"Ana Beatriz Galvão,&nbsp;James Mitchell","doi":"10.1111/obes.12542","DOIUrl":"10.1111/obes.12542","url":null,"abstract":"<p>GDP is measured with error. But data uncertainty is rarely communicated quantitatively in real-time. An exception are the fan charts for historical real GDP growth published by the Bank of England. To assess how well data uncertainty is understood, we first evaluate the accuracy of the historical fan charts. We find that data uncertainties can be accurately quantified, even without judgement, using past revisions data. Secondly, we conduct an online survey to gauge perceptions of GDP data uncertainty across a wider set of experts. Our results call for greater communication of data uncertainties to anchor experts' dispersed expectations.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"85 3","pages":"457-481"},"PeriodicalIF":2.5,"publicationDate":"2023-02-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/obes.12542","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46571298","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: 2
Real-Time Monitoring of Bubbles and Crashes 气泡和碰撞的实时监测
IF 2.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2023-01-27 DOI: 10.1111/obes.12540
Emily J. Whitehouse, David I. Harvey, Stephen J. Leybourne
{"title":"Real-Time Monitoring of Bubbles and Crashes","authors":"Emily J. Whitehouse,&nbsp;David I. Harvey,&nbsp;Stephen J. Leybourne","doi":"10.1111/obes.12540","DOIUrl":"10.1111/obes.12540","url":null,"abstract":"<p>Given the financial and economic damage that can be caused by the collapse of an asset price bubble, it is of critical importance to rapidly detect the onset of a crash once a bubble has been identified. We develop a real-time monitoring procedure for detecting a crash episode in a time series. We adopt an autoregressive framework, with bubble and crash regimes modelled by explosive and stationary dynamics, respectively. The first stage of our approach is to monitor for a bubble; conditional on which, we monitor for a crash in real time as new data emerges. Our crash detection procedure employs a statistic based on the different signs of the means of the first differences associated with explosive and stationary regimes, and critical values are obtained using a training period of data. We show that the procedure has desirable asymptotic properties in terms of its ability to rapidly detect a crash while never indicating a crash earlier than one occurs. Monte Carlo simulations further demonstrate that our procedure can offer a well-controlled false positive rate during a bubble regime. Application to the US housing market demonstrates the efficacy of our procedure in rapidly detecting the house price crash of 2006.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"85 3","pages":"482-513"},"PeriodicalIF":2.5,"publicationDate":"2023-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/obes.12540","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42346274","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: 1
Selective Mortality and the Long-Term Effects of Early-Life Exposure to Natural Disasters 选择性死亡率与早期暴露于自然灾害的长期影响
IF 2.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2023-01-25 DOI: 10.1111/obes.12537
Margaret Triyana, Xing Xia
{"title":"Selective Mortality and the Long-Term Effects of Early-Life Exposure to Natural Disasters","authors":"Margaret Triyana,&nbsp;Xing Xia","doi":"10.1111/obes.12537","DOIUrl":"https://doi.org/10.1111/obes.12537","url":null,"abstract":"<p>We analyze the effects of early-life shocks in the Philippines and find that <i>in utero</i> exposure to severe typhoons is associated with adverse outcomes. We exploit variations in typhoon exposure and sharp increases in short-term disaster relief efforts in the 1960s. Before the increase in disaster relief efforts, <i>in utero</i> exposure to severe typhoons was associated with higher mortality (a 9% reduction in cohort size); survivors exhibited similar levels of human capital as the unaffected. After the increase in disaster relief, the mortality effects were mitigated; however, survivors exhibited lower human capital in the long term. We offer suggestive evidence that the observed changes in adverse long-term effects are due to the relief efforts' effectiveness in increasing survival probability.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"85 4","pages":"773-804"},"PeriodicalIF":2.5,"publicationDate":"2023-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50154176","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
Variable Screening and Model Averaging for Expectile Regressions 期望回归的变量筛选和模型平均
IF 2.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2023-01-24 DOI: 10.1111/obes.12538
Yundong Tu, Siwei Wang
{"title":"Variable Screening and Model Averaging for Expectile Regressions","authors":"Yundong Tu,&nbsp;Siwei Wang","doi":"10.1111/obes.12538","DOIUrl":"10.1111/obes.12538","url":null,"abstract":"<p>Expectile regression is a useful tool in modelling data with heterogeneous conditional distributions. This paper introduces two new concepts, i.e. the expectile correlation and expectile partial correlation, which can measure the contribution from each regressor to the response in expectile regression. In ultra-high dimensional setting, the expectile partial correlation, which provides an importance ranking of the predictors, is found useful for variable screening. Theoretical results indicate that the proposed screening procedure can achieve the sure screening set. Additionally, a model selection method via extended Bayesian information criterion (EBIC) and a jackknife model averaging (JMA) method are suggested after the screening step to address model uncertainty. The screening consistency of EBIC, the asymptotic optimality of JMA in the sense of minimizing out-of-sample expectile final prediction error, and the sparsity of JMA weight are then established. Finally, numerical results demonstrate the nice performance of our proposed methods.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"85 3","pages":"574-598"},"PeriodicalIF":2.5,"publicationDate":"2023-01-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44639785","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: 1
Estimation of Panel Data Models with Mixed Sampling Frequencies* 具有混合采样频率的面板数据模型的估计*
IF 2.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2023-01-15 DOI: 10.1111/obes.12536
Yimin Yang, Fei Jia, Haoran Li
{"title":"Estimation of Panel Data Models with Mixed Sampling Frequencies*","authors":"Yimin Yang,&nbsp;Fei Jia,&nbsp;Haoran Li","doi":"10.1111/obes.12536","DOIUrl":"10.1111/obes.12536","url":null,"abstract":"<p>Standard panel models usually assume that data are available at the same frequency. Occasionally, researchers might work with variables sampled at different frequencies. A common practice is to aggregate all variables to the same frequency by an equal weighting scheme. We show that such a simple aggregation scheme results in biases for common estimators. We propose a data-driven method to determine weights for aggregation. We further demonstrate that, in contrast with single-frequency panel models, the Mundlak device and the Chamberlain's approach lead to different estimators for panels with mixed sampling frequencies. The proposed estimators have satisfying finite sample performances in various simulation designs. As an empirical illustration, we apply the new method to the estimation of the effects of temperature fluctuations on economic growth. The empirical evidence shows that the temperature shocks mainly work through the level effect instead of the growth effect for poor countries.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"85 3","pages":"514-544"},"PeriodicalIF":2.5,"publicationDate":"2023-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46464107","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
Are Girls' and Boys' Cognitive Test Performance in Adolescence Differently Affected by Deprivation at Earlier Ages?* 早期剥夺对女孩和男孩青春期认知测试成绩的影响不同吗?*
IF 2.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2022-12-23 DOI: 10.1111/obes.12535
Le Thuc Duc, Jere R. Behrman
{"title":"Are Girls' and Boys' Cognitive Test Performance in Adolescence Differently Affected by Deprivation at Earlier Ages?*","authors":"Le Thuc Duc,&nbsp;Jere R. Behrman","doi":"10.1111/obes.12535","DOIUrl":"10.1111/obes.12535","url":null,"abstract":"<p>Using data on the Millennium Children from the Young Lives Survey in Ethiopia, India, Peru, and Vietnam, we find that earlier nutritional growth and household wealth are important predictors of adolescent outcomes in math, reading, and receptive vocabulary for all children. Gender differences in the effect of wealth are significant mostly for non-poor regions. The cognitive outcomes at age 8 are more strongly associated with growth between ages 1 and 5 for girls than boys. The gender differences reverse after age 8 mostly due to strong associations between growth in preadolescence ages and cognitive outcomes at age 15 for boys. Under the conditional mean independence assumption, the estimators for growth of the children are unbiased and consistent.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"85 4","pages":"671-691"},"PeriodicalIF":2.5,"publicationDate":"2022-12-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43889261","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
Selection Bias in Housing Price Indexes: The Characteristics Repeat Sales Approach* 住宅价格指数的选择偏差:特征重复销售方法*
IF 2.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2022-12-07 DOI: 10.1111/obes.12534
Daniel Melser
{"title":"Selection Bias in Housing Price Indexes: The Characteristics Repeat Sales Approach*","authors":"Daniel Melser","doi":"10.1111/obes.12534","DOIUrl":"10.1111/obes.12534","url":null,"abstract":"<p>The widely used repeat sales method for constructing house price indexes only uses data for properties that sell twice or more. This makes it susceptible to selection bias as price movements for these properties may not be representative of those for the stock of homes. We outline a novel approach to modelling repeat sales, which allows for a home's characteristics to influence its price movement. This allows us to impute price changes for the stock of homes and control for selection-on-observables. Using data for Florida from 2002 to 2020 we find that selection effects significantly exaggerated the volatility of Florida's housing prices.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"85 3","pages":"623-637"},"PeriodicalIF":2.5,"publicationDate":"2022-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/obes.12534","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41513346","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: 2
Productivity and Performance: A GMM approach 生产力和绩效：GMM方法
IF 2.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2022-12-01 DOI: 10.1111/obes.12530
Mike G. Tsionas, Subal C. Kumbhakar
{"title":"Productivity and Performance: A GMM approach","authors":"Mike G. Tsionas,&nbsp;Subal C. Kumbhakar","doi":"10.1111/obes.12530","DOIUrl":"10.1111/obes.12530","url":null,"abstract":"<p>In this paper we propose a single-step generalized method of moments (GMM) approach to estimate a production function with multiple quasi-fixed and variable inputs as well as productivity and inefficiency. Our approach relies on the system consisting of the production function, the first-order conditions of expected profit maximization with respect to the variable inputs, as well as general formulations for dynamic productivity and inefficiency. The estimation procedure takes care of correlations of both productivity and inefficiency with the variable inputs without using any distributional assumptions on the error terms (including inefficiency) in the system. We use Indonesian manufacturing census data to illustrate workings of our procedure.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"85 2","pages":"331-344"},"PeriodicalIF":2.5,"publicationDate":"2022-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45461319","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: 1
Large Time-Varying Volatility Models for Hourly Electricity Prices* 小时电价的大时变波动模型*
IF 2.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2022-11-30 DOI: 10.1111/obes.12532
Angelica Gianfreda, Francesco Ravazzolo, Luca Rossini
{"title":"Large Time-Varying Volatility Models for Hourly Electricity Prices*","authors":"Angelica Gianfreda,&nbsp;Francesco Ravazzolo,&nbsp;Luca Rossini","doi":"10.1111/obes.12532","DOIUrl":"10.1111/obes.12532","url":null,"abstract":"<p>We study the importance of time-varying volatility in modelling hourly electricity prices when fundamental drivers are included in the estimation. This allows us to contribute to the literature of large Bayesian VARs by using well-known time series models in a large dimension for the matrix of coefficients. Based on novel Bayesian techniques, we exploit the importance of both Gaussian and non-Gaussian error terms in stochastic volatility. We find that using regressors as fuel prices, forecasted demand and forecasted renewable energy is essential to properly capture the volatility of these prices. Moreover, we show that the time-varying volatility models outperform the constant volatility models in both the in-sample model-fit and the out-of-sample forecasting performance.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"85 3","pages":"545-573"},"PeriodicalIF":2.5,"publicationDate":"2022-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49201757","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: 2
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