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引用次数: 0
摘要
本文重复了 Adrian 等人（《美国经济评论》，2019 年）的研究结果，即 GDP 增长波动主要由分布的低量化值驱动，而低量化值是由金融状况预测的。考虑到金融条件指数具有高度序列相关性，本文扩展了他们的研究，使用 Lee（《计量经济学杂志》，2016 年）的 IVX-QR 估计器和 Cai 等人（《计量经济学杂志》，2022 年）的双加权估计器对模型进行了估计。两个模型均采用 Kaplan 和 Sun（《计量经济学理论》，2017 年）的平滑估计方程方法进行估计。结果表明，Adrian 等人（《美国经济评论》，2019 年）的研究结果是稳健的，不会因存在持续性预测因素而出现偏差。样本外预测练习表明，对持久性预测因子的存在具有稳健性的方法可以提高对国内生产总值增长分布中较低数量级的预测性能。
This paper replicates the results of Adrian et al. (American Economic Review, 2019) that GDP growth volatility is mainly driven by the lower quantiles of the distribution which is predicted by the financial condition. It extends their study by estimating the model with the IVX-QR estimator of Lee (Journal of Econometrics, 2016) and double weighted estimator of Cai et al. (Journal of Econometrics, 2022) considering that the financial condition index is highly serially correlated. Both models are estimated with the smoothed estimating equation approach of Kaplan and Sun (Econometric Theory, 2017). The results show that the findings of Adrian et al. (American Economic Review, 2019) are robust to possible bias due to the existence of persistent predictors. The out-of-sample forecasting exercises suggest that methods that are robust to the existence of persistent predictors can improve forecasting performance at the lower quantiles of the GDP growth distribution.
期刊介绍：
The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.
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