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A robust permutation test for subvector inference in linear regressions Quantitative Economics (IF 2.19) Pub Date : 2024-01-30 Xavier D'Haultfœuille, Purevdorj Tuvaandorj
We develop a new permutation test for inference on a subvector of coefficients in linear models. The test is exact when the regressors and the error terms are independent. Then we show that the test is asymptotically of correct level, consistent, and has power against local alternatives when the independence condition is relaxed, under two main conditions. The first is a slight reinforcement of the
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Difficulties in testing for capital overaccumulation Quantitative Economics (IF 2.19) Pub Date : 2024-01-30 Narayana R. Kocherlakota
This paper reconsiders the question of testing for the presence of Pareto suboptimal capital overaccumulation in overlapping generations economies. The paper allows generation-specific technology shocks to evolve over time according to a stationary Markov chain, and assumes that an econometrician observes a finite sample of aggregate quantities. In this setting, any statistical test of the null hypothesis
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Geometric methods for finite rational inattention Quantitative Economics (IF 2.19) Pub Date : 2024-01-30 Roc Armenter, Michèle Müller-Itten, Zachary R. Stangebye
We present a geometric approach to the finite Rational Inattention (RI) model, recasting it as a convex optimization problem with reduced dimensionality that is well suited to numerical methods. We provide an algorithm that outperforms existing RI computation techniques in terms of both speed and accuracy in both static and dynamic RI problems. We further introduce methods to quantify the impact of
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Measuring trust in institutions and its causal effect Quantitative Economics (IF 2.19) Pub Date : 2024-01-30 Stefan P. Penczynski, Maria Isabel Santana
We propose a novel way of measuring trust in institutions, which draws on the experimental method used to elicit time preferences. Our measure is provided in the meaningful metric of the subjective probability of trustworthiness of the trustee. In a lab-in-the-field setting in the Philippines, we measure trust in two different financial institutions. Additionally, we exploit exogenous variation in
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The importance of supply and demand for oil prices: Evidence from non-Gaussianity Quantitative Economics (IF 2.19) Pub Date : 2023-11-17 Robin Braun
When quantifying the importance of supply and demand for oil price fluctuations, a wide range of estimates have been reported. Models identified via a sharp upper bound on the short-run price elasticity of supply find supply shocks to be minor drivers. In turn, when replacing the upper bound with a weakly informative prior, supply shocks turn out to be substantially more important. In this paper, I
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Local projections, autocorrelation, and efficiency Quantitative Economics (IF 2.19) Pub Date : 2023-11-17 Amaze Lusompa
It is well known that Local Projections (LP) residuals are autocorrelated. Conventional wisdom says that LP have to be estimated by OLS and that GLS is not possible because the autocorrelation process is unknown and/or because the GLS estimator would be inconsistent. I show that the autocorrelation process of LP can be written as a Vector Moving Average (VMA) process of the Wold errors and impulse
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A new posterior sampler for Bayesian structural vector autoregressive models Quantitative Economics (IF 2.19) Pub Date : 2023-11-17 Martin Bruns, Michele Piffer
We develop an importance sampler for sign restricted Bayesian structural vector autoregressive models. The algorithm nests as a special case the sampler associated with the popular Normal inverse Wishart Uniform prior, while allowing to move beyond such prior in medium sized models. We then propose a prior on contemporaneous impulse responses that provides flexibility on the magnitude and shape of
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Demand estimation with infrequent purchases and small market sizes Quantitative Economics (IF 2.19) Pub Date : 2023-11-17 Ali Hortaçsu, Olivia R. Natan, Hayden Parsley, Timothy Schwieg, Kevin R. Williams
We propose a demand estimation method that allows for a large number of zero- sale observations, rich unobserved heterogeneity, and endogenous prices. We do so by modeling small market sizes through Poisson arrivals. Each of these arriving consumers solves a standard discrete choice problem. We present a Bayesian IV estimation approach that addresses sampling error in product shares and scales well
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Spatial interactions Quantitative Economics (IF 2.19) Pub Date : 2023-11-17 Jun Sung Kim, Eleonora Patacchini, Pierre M. Picard, Yves Zenou
This paper studies how the strength of social ties is affected by the geographical location of other individuals and their social capital. We characterize the equilibrium in terms of both social interactions and social capital. We show that lower travel costs increase not only the interaction frequency but also the social capital for all agents. We also show that the equilibrium frequency of interactions
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Capital reallocation and the cyclicality of aggregate productivity Quantitative Economics (IF 2.19) Pub Date : 2023-11-17 Russell W. Cooper, Immo Schott
Capital reallocation between firms is procyclical and leads to variations in measured aggregate productivity. In this paper, we ask how much of the cyclical variation in measured productivity is the consequence of capital reallocation. We build a heterogeneous-firm model to study the effects of exogenous shocks to total factor productivity (TFP) and to the costs of reallocation. These shocks cause
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Tax-and-transfer progressivity and business cycles Quantitative Economics (IF 2.19) Pub Date : 2023-11-17 Youngsoo Jang, Takeki Sunakawa, Minchul Yum
This paper studies how tax-and-transfer progressivity influences aggregate fluctuations when interacting with household heterogeneity. Using a simple static model of the extensive margin labor supply, we analytically characterize how a degree of progressivity influences differential labor supply responses to aggregate conditions across heterogeneous households. We then build a quantitative dynamic
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Behavioral learning equilibria in New Keynesian models Quantitative Economics (IF 2.19) Pub Date : 2023-11-17 Cars Hommes, Kostas Mavromatis, Tolga Özden, Mei Zhu
We introduce Behavioral Learning Equilibria (BLE) into a multivariate linear framework and apply it to New Keynesian DSGE models. In a BLE, boundedly rational agents use simple, but optimal AR(1) forecasting rules whose parameters are consistent with the observed sample mean and autocorrelation of past data. We study the BLE concept in a standard 3-equation New Keynesian model and develop an estimation
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Costly information acquisition in centralized matching markets Quantitative Economics (IF 2.19) Pub Date : 2023-11-17 Rustamdjan Hakimov, Dorothea Kübler, Siqi Pan
When applying to a university, students and their parents devote considerable time acquiring information about university programs in order to form preferences. We explore ways to reduce wasteful information acquisition, that is, to help students avoid acquiring information about out-of-reach schools or universities, using a market design approach. Focusing on markets where students are ranked by universities
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Fiscal multipliers: A heterogenous-agent perspective Quantitative Economics (IF 2.19) Pub Date : 2023-07-28 Tobias Broer, Per Krusell, Erik Öberg
We use an analytically tractable heterogeneous-agent (HANK) version of the standard New Keynesian model to show how the size of fiscal multipliers depends on (i) the distribution of factor incomes, and (ii) the source of nominal rigidities. With sticky prices but flexible wages, the standard representative-agent (RANK) model predicts large multipliers because profits fall after a fiscal stimulus and
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Redistribution and the monetary-fiscal policy mix Quantitative Economics (IF 2.19) Pub Date : 2023-07-28 Saroj Bhattarai, Jae Won Lee, Choongryul Yang
We show that the effectiveness of redistribution policy is tied to how much inflation it generates, and thereby to monetary-fiscal adjustments that ultimately finance the transfers. In the monetary regime, taxes increase to finance transfers while in the fiscal regime, inflation rises, imposing inflation taxes on public debt holders. We show analytically that the fiscal regime generates larger and
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The origins and effects of macroeconomic uncertainty Quantitative Economics (IF 2.19) Pub Date : 2023-07-28 Francesco Bianchi, Howard Kung, Mikhail Tirskikh
We estimate a production-based general equilibrium model featuring demand- and supply-side uncertainty and an endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and business cycle fluctuations. Both demand- and supply-side uncertainty imply large contractions in real activity and an increase in term premia, but supply-side uncertainty
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Anticipated productivity and the labor market Quantitative Economics (IF 2.19) Pub Date : 2023-07-28 Ryan Chahrour, Sanjay K. Chugh, Tristan Potter
We identify the main shock driving fluctuations in long-horizon productivity expectations, consistent with theories of TFP news. The identified shock induces strong comovement patterns in output, consumption, investment, employment, and stock prices even though TFP does not change significantly for more than 2 years. A labor search model in which wages are determined by a cash-flow sharing rule, rather
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Sufficient statistics for frictional wage dispersion and growth Quantitative Economics (IF 2.19) Pub Date : 2023-07-28 Rune Vejlin, Gregory F. Veramendi
This paper develops a sufficient statistics approach for estimating the role of search frictions in wage dispersion and life-cycle wage growth. We show how the wage dynamics of displaced workers are directly informative of both for a large class of search models. Specifically, the correlation between pre- and post-displacement wages is informative of frictional wage dispersion. Furthermore, the fraction
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Expertise, gender, and equilibrium play Quantitative Economics (IF 2.19) Pub Date : 2023-07-28 Romain Gauriot, Lionel Page, John Wooders
Mixed-strategy Nash equilibrium is the cornerstone of our understanding of strategic situations that require decision makers to be unpredictable. Using data from nearly half a million serves over 3000 tennis matches, and data on player rankings from the ATP and WTA, we examine whether the behavior of professional tennis players is consistent with equilibrium. We find that win rates conform remarkably
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Estimating large-dimensional connectedness tables: The great moderation through the lens of sectoral spillovers Quantitative Economics (IF 2.19) Pub Date : 2023-07-28 Felix Brunner, Ruben Hipp
We estimate sectoral spillovers around the Great Moderation with the help of forecast error variance decomposition tables. Obtaining such tables in high dimensions is challenging because they are functions of the estimated vector autoregressive coefficients and the residual covariance matrix. In a simulation study, we compare various regularization methods on both and conduct a comprehensive analysis
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Bootstrapping Laplace transforms of volatility Quantitative Economics (IF 2.19) Pub Date : 2023-07-28 Ulrich Hounyo, Zhi Liu, Rasmus T. Varneskov
This paper studies inference for the realized Laplace transform (RLT) of volatility in a fixed-span setting using bootstrap methods. Specifically, since standard wild bootstrap procedures deliver inconsistent inference, we propose a local Gaussian (LG) bootstrap, establish its first-order asymptotic validity, and use Edgeworth expansions to show that the LG bootstrap inference achieves second-order
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Fixed-effects binary choice models with three or more periods Quantitative Economics (IF 2.19) Pub Date : 2023-07-28 Laurent Davezies, Xavier D'Haultfœuille, Martin Mugnier
We consider fixed-effects binary choice models with a fixed number of periods T and regressors without a large support. If the time-varying unobserved terms are i.i.d. with known distribution F, Chamberlain (2010) shows that the common slope parameter is point identified if and only if F is logistic. However, he only considers in his proof T = 2. We show that the result does not generalize to T ≥ 3:
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Ellsberg meets Keynes at an urn Quantitative Economics (IF 2.19) Pub Date : 2023-07-28 Soo Hong Chew, Bin Miao, Songfa Zhong
Keynes (1921) and Ellsberg (1961) have articulated an aversion toward betting on an urn containing balls of two colors of unknown proportion to one with a 50–50 composition. Keynes views this as reflecting different preferences for bets arising from different sources of uncertainty. Ellsberg describes this as weighting the priors arising from the unknown urn pessimistically. In two experiments, we
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Estimating demand for differentiated products with zeroes in market share data Quantitative Economics (IF 2.19) Pub Date : 2023-05-16 Amit Gandhi, Zhentong Lu, Xiaoxia Shi
In this paper, we introduce a new approach to estimating differentiated product demand systems that allows for products with zero sales in the data. Zeroes in demand are a common problem in differentiated product markets, but fall outside the scope of existing demand estimation techniques. We show that with a lower bound imposed on the expected sales quantities, we can construct upper and lower bounds
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Risk aversion in share auctions: Estimating import rents from TRQs in Switzerland Quantitative Economics (IF 2.19) Pub Date : 2023-05-16 Samuel Häfner
This paper analyzes risk aversion in discriminatory share auctions. I generalize the k-step share auction model of Kastl (2011, 2012) and establish that marginal profits are set-identified for any given coefficient of constant absolute risk aversion. I also derive necessary conditions for best-response behavior, which allows determining risk preferences from bidding data. Further, I show how the bidders'
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Bootstrap inference under cross-sectional dependence Quantitative Economics (IF 2.19) Pub Date : 2023-05-16 Timothy G. Conley, Sílvia Gonçalves, Min Seong Kim, Benoit Perron
In this paper, we introduce a method of generating bootstrap samples with unknown patterns of cross- sectional/spatial dependence, which we call the spatial dependent wild bootstrap. This method is a spatial counterpart to the wild dependent bootstrap of Shao (2010) and generates data by multiplying a vector of independently and identically distributed external variables by the eigendecomposition of
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Selection and the distribution of female real hourly wages in the United States Quantitative Economics (IF 2.19) Pub Date : 2023-05-16 Iván Fernández-Val, Aico van Vuuren, Francis Vella, Franco Peracchi
We analyze the role of selection bias in generating changes in the observed distribution of female hourly wages in the United States using CPS data for the years 1975 to 2020. We account for selection bias from the employment decision by modeling the distribution of the number of working hours and estimating a nonseparable model of wages. We decompose changes in the wage distribution into composition
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Quantifying noise in survey expectations Quantitative Economics (IF 2.19) Pub Date : 2023-05-16 Artūras Juodis, Simas Kučinskas
Expectations affect economic decisions, and inaccurate expectations are costly. Expectations can be wrong due to either bias (systematic mistakes) or noise (unsystematic mistakes). We develop a framework for quantifying the level of noise in survey expectations. The method is based on the insight that theoretical models of expectation formation predict a factor structure for individual expectations
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A simple but powerful simulated certainty equivalent approximation method for dynamic stochastic problems Quantitative Economics (IF 2.19) Pub Date : 2023-05-16 Yongyang Cai, Kenneth L. Judd
We introduce a novel simulated certainty equivalent approximation (SCEQ) method for solving dynamic stochastic problems. Our examples show that SCEQ can quickly solve high-dimensional finite- or infinite-horizon, stationary or nonstationary dynamic stochastic problems with hundreds of state variables, a wide state space, and occasionally binding constraints. With the SCEQ method, a desktop computer
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Monetary policy and long-term interest rates Quantitative Economics (IF 2.19) Pub Date : 2023-05-16 Gianni Amisano, Oreste Tristani
We study the relationship between monetary policy and long-term rates in a structural, general equilibrium model estimated on both macro- and yield-data from the United States. Regime shifts in the conditional variance of productivity shocks, or “uncertainty shocks,” are a crucial driver of bond risk premia. We highlight three main results. First, our term premia on 10-year bonds are highly correlated
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Unemployment risk, MPC heterogeneity, and business cycles Quantitative Economics (IF 2.19) Pub Date : 2023-05-16 Daeha Cho
This paper uses an estimated Heterogeneous Agent New Keynesian (HANK) model to evaluate the quantitative importance of two channels in driving aggregate consumption fluctuations in the US: (i) precautionary savings against unemployment risk and (ii) MPC heterogeneity. I find that MPC heterogeneity is the dominant channel because a large fraction of households are close to the borrowing limit. The empirical
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Risk aversion and information aggregation in binary-asset markets Quantitative Economics (IF 2.19) Pub Date : 2023-05-16 Antonio Filippin, Marco Mantovani
We investigate how risk aversion (RA) shapes the informative content of prices in an experimental asset market, where traders are sorted according to their RA. RA should induce steeper individual demands and, under its most common parametrizations, drive equilibrium prices closer to revealing the state. Results support the prediction on individual demands, but not the prediction on prices, which do
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Inference on heterogeneous treatment effects in high-dimensional dynamic panels under weak dependence Quantitative Economics (IF 2.19) Pub Date : 2023-05-16 Vira Semenova, Matt Goldman, Victor Chernozhukov, Matt Taddy
This paper provides estimation and inference methods for conditional average treatment effects (CATE) characterized by a high-dimensional parameter in both homogeneous cross-sectional and unit-heterogeneous dynamic panel data settings. In our leading example, we model CATE by interacting the base treatment variable with explanatory variables. The first step of our procedure is orthogonalization, where
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Pareto extrapolation: An analytical framework for studying tail inequality Quantitative Economics (IF 2.19) Pub Date : 2023-01-21 Émilien Gouin-Bonenfant, Alexis Akira Toda
We develop an analytical framework designed to solve and analyze heterogeneous-agent models that endogenously generate fat-tailed wealth distributions. We exploit the asymptotic linearity of policy functions and the analytical characterization of the Pareto exponent to augment the conventional solution algorithm with a theory of the tail. Our framework allows for a precise understanding of the very
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Testing unified growth theory: Technological progress and the child quantity-quality tradeoff Quantitative Economics (IF 2.19) Pub Date : 2023-01-21 Jakob Madsen, Holger Strulik
A core mechanism of unified growth theory is that accelerating technological progress induces mass education and, through interaction with child quantity-quality substitution, a decline in fertility. Using unique new data for 21 OECD countries over the period 1750–2000, we test, for the first time, the validity of this core mechanism of unified growth theory. We measure a country's technological progress
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Full-information estimation of heterogeneous agent models using macro and micro data Quantitative Economics (IF 2.19) Pub Date : 2023-01-21 Laura Liu, Mikkel Plagborg-Møller
We develop a generally applicable full-information inference method for heterogeneous agent models, combining aggregate time series data and repeated cross-sections of micro data. To handle unobserved aggregate state variables that affect cross-sectional distributions, we compute a numerically unbiased estimate of the model-implied likelihood function. Employing the likelihood estimate in a Markov
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Permutation-based tests for discontinuities in event studies Quantitative Economics (IF 2.19) Pub Date : 2023-01-21 Federico A. Bugni, Jia Li, Qiyuan Li
We propose using a permutation test to detect discontinuities in an underlying economic model at a known cutoff point. Relative to the existing literature, we show that this test is well suited for event studies based on time-series data. The test statistic measures the distance between the empirical distribution functions of observed data in two local subsamples on the two sides of the cutoff. Critical
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Random utility and limited consideration Quantitative Economics (IF 2.19) Pub Date : 2023-01-21 Victor H. Aguiar, Maria Jose Boccardi, Nail Kashaev, Jeongbin Kim
The random utility model (RUM, McFadden and Richter (1990)) has been the standard tool to describe the behavior of a population of decision makers. RUM assumes that decision makers behave as if they maximize a rational preference over a choice set. This assumption may fail when consideration of all alternatives is costly. We provide a theoretical and statistical framework that unifies well-known models
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Forecasting with a panel Tobit model Quantitative Economics (IF 2.19) Pub Date : 2023-01-21 Laura Liu, Hyungsik Roger Moon, Frank Schorfheide
We use a dynamic panel Tobit model with heteroskedasticity to generate forecasts for a large cross-section of short time series of censored observations. Our fully Bayesian approach allows us to flexibly estimate the cross-sectional distribution of heterogeneous coefficients and then implicitly use this distribution as prior to construct Bayes forecasts for the individual time series. In addition to
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Monetary policy, external instruments, and heteroskedasticity Quantitative Economics (IF 2.19) Pub Date : 2023-01-21 Thore Schlaak, Malte Rieth, Maximilian Podstawski
We develop a structural vector autoregressive framework that combines external instruments and heteroskedasticity for identification of monetary policy shocks. We show that exploiting both types of information sharpens structural inference, allows testing the relevance and exogeneity condition for instruments separately using likelihood ratio tests, and facilitates the economic interpretation of the
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Borrowing into debt crises Quantitative Economics (IF 2.19) Pub Date : 2023-01-21 Radoslaw Paluszynski, Georgios Stefanidis
Quantitative models of sovereign default predict that governments reduce borrowing during recessions to avoid debt crises. A prominent implication of this behavior is that the resulting interest rate spread volatility is counterfactually low. We propose that governments borrow into debt crises because of frictions in the adjustment of their expenditures. We develop a model of government good production
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The demographic consequences of sex-selection technology Quantitative Economics (IF 2.19) Pub Date : 2023-01-21 Qi Li, Juan Pantano
Over the last several years, highly accurate methods of sex selection before conception have been developed. Given that strong preferences for sex variety in offspring have been documented for the U.S., we ask what the demographic consequences of sex-selection technology could be. Lacking variation across space and time in access to this technology, we estimate a dynamic programming model of fertility
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Gender, competition, and performance: Evidence from chess players Quantitative Economics (IF 2.19) Pub Date : 2023-01-21 Peter Backus, Maria Cubel, Matej Guid, Santiago Sánchez-Pagés, Enrique López Mañas
This paper studies gender differences in performance in a male-dominated competitive environment chess tournaments. We find that the gender composition of chess games affects the behaviors of both men and women in ways that worsen the outcomes for women. Using a unique measure of within-game quality of play, we show that women make more mistakes when playing against men. Men, however, play equally
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Four decades of Canadian earnings inequality and dynamics across workers and firms Quantitative Economics (IF 2.19) Pub Date : 2022-12-01 Audra Bowlus, Émilien Gouin-Bonenfant, Huju Liu, Lance Lochner, Youngmin Park
This paper studies the evolution of individual earnings inequality and dynamics in Canada from 1983 to 2016 using tax files and administrative records. Linking individual tax filers to their employers (and rich administrative records on firms) beginning in 2001, it also documents the relationship between the earnings dynamics of workers and the size and growth of their employers. It highlights three
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Editorial Quantitative Economics (IF 2.19) Pub Date : 2022-12-01
We write to introduce this special issue as the current Editor of Quantitative Economics and the former Editor of the journal who initiated the process. We are grateful to the guest editors Fatih Guvenen, Luigi Pistaferri, and Giovanni L. Violante, for their initiative and leadership. This is the first special issue for this journal and we hope not the last. This is a perfect inaugural special issue
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Global trends in income inequality and income dynamics: New insights from GRID Quantitative Economics (IF 2.19) Pub Date : 2022-12-01 Fatih Guvenen, Luigi Pistaferri, Giovanni L. Violante
The Global Repository of Income Dynamics (GRID) is a new open-access, cross-country database that contains a wide range of micro statistics on income inequality, dynamics, and mobility. It has four key characteristics: it is built on micro panel data drawn from administrative records; it fully exploits the longitudinal dimension of the underlying data sets; it offers granular descriptions of income
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The evolution of the earnings distribution in a volatile economy: Evidence from Argentina Quantitative Economics (IF 2.19) Pub Date : 2022-12-01 Andrés Blanco, Bernardo Diaz de Astarloa, Andres Drenik, Christian Moser, Danilo R. Trupkin
This paper studies earnings inequality and dynamics in Argentina between 1996 and 2015. Following the 2001–2002 crisis, the Argentine economy transitioned from a low- to a high-inflation regime, while collective bargaining and the minimum wage gained influence. This transition was associated with a persistent decrease in earnings dispersion and cyclical movements in higher-order moments of the distribution
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Inequality and dynamics of earnings and disposable income in Denmark 1987–2016 Quantitative Economics (IF 2.19) Pub Date : 2022-12-01 Søren Leth-Petersen, Johan Sæverud
We document facts about earnings and disposable income inequality and growth in Denmark in the period 1987–2016. During this period, the distribution of log earnings growth exhibits skewness that varies with the business cycle and has strong excess kurtosis. Denmark has a progressive income tax system with a high level of taxes and a relatively generous and heavily subsidized unemployment insurance
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Inequality and earnings dynamics in France: National policies and local consequences Quantitative Economics (IF 2.19) Pub Date : 2022-12-01 Francis Kramarz, Elio Nimier-David, Thomas Delemotte
This paper provides new stylized facts about labor earnings inequality and dynamics in France for the period 1991–2016. Using linked employer–employee data, we show that (i) labor inequality in France is low compared to other developed countries and has been decreasing until the financial crisis of 2009 and increasing since then, (ii) women experienced high earnings growth, in particular at the bottom
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Inequality and income dynamics in Germany Quantitative Economics (IF 2.19) Pub Date : 2022-12-01 Moritz Drechsel-Grau, Andreas Peichl, Kai D. Schmid, Johannes F. Schmieder, Hannes Walz, Stefanie Wolter
We provide a comprehensive analysis of income inequality and income dynamics for Germany over the last two decades. Combining personal income tax and social security data allows us—for the first time—to offer a complete picture of the distribution of annual earnings in Germany. We find that cross-sectional inequality rose until 2009 for men and women. After the Great Recession, inequality continued
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Earnings dynamics and labor market reforms: The Italian case Quantitative Economics (IF 2.19) Pub Date : 2022-12-01 Eran B. Hoffmann, Davide Malacrino, Luigi Pistaferri
This paper summarizes statistics on the key aspects of the distribution of earnings levels and earnings changes using administrative (social security) data from Italy between 1985 and 2016. During the time covered by our data, earnings inequality and earnings volatility increased, while earnings mobility did not change significantly. We connect these trends with some salient facts about the Italian
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Inequality, income dynamics, and worker transitions: The case of Mexico Quantitative Economics (IF 2.19) Pub Date : 2022-12-01 Daniela Puggioni, Mariana Calderón, Alfonso Cebreros Zurita, León Fernández Bujanda, José Antonio Inguanzo González, David Jaume
We characterize the salient features of the distribution of (log) earnings of formal workers in Mexico using social security records for the period 2005–2019. The analysis is based on a nonparametric approach and is focused primarily on the properties of the distribution of earnings changes. We find strong evidence of deviations from normality of this distribution in terms of negative skewness and
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Earnings dynamics and its intergenerational transmission: Evidence from Norway Quantitative Economics (IF 2.19) Pub Date : 2022-12-01 Elin Halvorsen, Serdar Ozkan, Sergio Salgado
Using administrative data, we provide an extensive characterization of labor earnings dynamics in Norway. Some of our findings are as follows: (i) Norway has not been immune to the increase in top earnings inequality seen in other countries, (ii) the earnings distribution compresses in the bottom 90% over the life cycle but expands in the top 10%, and (iii) the earnings growth distribution is left-skewed
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Income risk inequality: Evidence from Spanish administrative records Quantitative Economics (IF 2.19) Pub Date : 2022-12-01 Manuel Arellano, Stéphane Bonhomme, Micole De Vera, Laura Hospido, Siqi Wei
In this paper, we use administrative data from the social security to study income dynamics and income risk inequality in Spain between 2005 and 2018. We construct individual measures of income risk as functions of past employment history, income, and demographics. Focusing on males, we document that income risk is highly unequal in Spain: More than half of the economy has close to perfect predictability
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Earnings dynamics of immigrants and natives in Sweden 1985–2016 Quantitative Economics (IF 2.19) Pub Date : 2022-12-01 Benjamin Friedrich, Lisa Laun, Costas Meghir
This paper analyzes earnings inequality and earnings dynamics in Sweden over 1985–2016. The deep recession in the early 1990s marks a historic turning point with a massive increase in earnings inequality and earnings volatility, and the impact of the recession and the recovery from it lasted for decades. In the aftermath of the recession, we find steady growth in real earnings across the entire distribution
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Income dynamics in the United Kingdom and the impact of the Covid-19 recession Quantitative Economics (IF 2.19) Pub Date : 2022-12-01 Brian Bell, Nicholas Bloom, Jack Blundell
In this paper, we use an employer-based survey of earnings and hours to set out the key patterns in UK earnings dynamics from 1975 to 2020, with a particular focus on the most recent recession. We demonstrate that (log) earnings changes exhibit strongly procyclical skewness and have become increasingly leptokurtic, and thus less well approximated by a log-normal distribution, over the period of study
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U.S. long-term earnings outcomes by sex, race, ethnicity, and place of birth Quantitative Economics (IF 2.19) Pub Date : 2022-12-01 Kevin L. McKinney, John M. Abowd, Hubert P. Janicki
This paper is part of the Global Repository of Income Dynamics (GRID) project cross-country comparison of earnings inequality, volatility, and mobility. Using data from the U.S. Census Bureau's Longitudinal Employer-Household Dynamics (LEHD) infrastructure files, we produce a uniform set of earnings statistics for the U.S. From 1998 to 2019, we find U.S. earnings inequality has increased and volatility
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A discrete choice model for partially ordered alternatives Quantitative Economics (IF 2.19) Pub Date : 2022-07-19 Eleni Aristodemou, Adam M. Rosen
In this paper, we analyze a discrete choice model for partially ordered alternatives. The alternatives are differentiated along two dimensions: the first an unordered “horizontal” dimension, and the second an ordered “vertical” dimension. The model can be used in circumstances in which individuals choose among products of different brands, wherein each brand offers an ordered choice menu, for example
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Minimizing sensitivity to model misspecification Quantitative Economics (IF 2.19) Pub Date : 2022-07-19 Stéphane Bonhomme, Martin Weidner
We propose a framework for estimation and inference when the model may be misspecified. We rely on a local asymptotic approach where the degree of misspecification is indexed by the sample size. We construct estimators whose mean squared error is minimax in a neighborhood of the reference model, based on one-step adjustments. In addition, we provide confidence intervals that contain the true parameter
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Unconditional quantile regression with high-dimensional data Quantitative Economics (IF 2.19) Pub Date : 2022-07-19 Yuya Sasaki, Takuya Ura, Yichong Zhang
This paper considers estimation and inference for heterogeneous counterfactual effects with high-dimensional data. We propose a novel robust score for debiased estimation of the unconditional quantile regression (Firpo, Fortin, and Lemieux (2009)) as a measure of heterogeneous counterfactual marginal effects. We propose a multiplier bootstrap inference and develop asymptotic theories to guarantee the