当前期刊: The Econometrics Journal Go to current issue    加入关注   
显示样式:        排序: IF: - GO 导出
  • Online Estimation of DSGE Models*
    Econom. J. (IF 2.139) Pub Date : 2020-09-21
    Michael Cai; Marco Del Negro; Edward Herbst; Ethan Matlin; Reca Sarfati; Frank Schorfheide

    This paper illustrates the usefulness of sequential Monte Carlo (SMC) methods in approximating DSGE model posterior distributions. We show how the tempering schedule can be chosen adaptively, document the accuracy and runtime benefits of generalized data tempering for “online” estimation (that is, re-estimating a model as new data become available), and provide examples of multimodal posteriors that

  • Estimation of dynamic models of recurrent events with censored data
    Econom. J. (IF 2.139) Pub Date : 2020-09-09
    Sanghyeok Lee; Tue Gørgens

    In this paper we consider estimation of dynamic models of recurrent events (event histories) in continuous time using censored data. We develop maximum simulated likelihood estimators where missing data are integrated out using Monte Carlo and importance sampling methods. We allow for random effects and integrate out this unobserved heterogeneity using a quadrature rule. In Monte Carlo experiments

  • Higher-order Income Dynamics with Linked Regression Trees
    Econom. J. (IF 2.139) Pub Date : 2020-08-29
    Jeppe Druedahl; Anders Munk-Nielsen

    We propose a novel method for modeling income processes using machine learning. Our method links age-specific regression trees, and returns a discrete state process, which can easily be included in consumption-saving models without further discretizations. A central advantage of our approach is that it does not rely on any parametric assumptions, and because we build on existing machine learning tools

  • Quantifying the impact of non-pharmaceutical interventions during the COVID-19 outbreak – The case of Sweden
    Econom. J. (IF 2.139) Pub Date : 2020-08-29
    Sang-Wook (Stanley) Cho

    This paper estimates the effect of non-pharmaceutical intervention (NPI) policies on public health during the COVID-19 outbreak by considering a counterfactual case for Sweden. Using a synthetic control approach, I find that strict initial lockdown measures play an important role in limiting the spread of the COVID-19 infection as the infection cases in Sweden would have been reduced by almost 75 percent

  • Debiased Machine Learning of Conditional Average Treatment Effects and Other Causal Functions
    Econom. J. (IF 2.139) Pub Date : 2020-08-29
    Vira Semenova; Victor Chernozhukov

    This paper provides estimation and inference methods for the best linear predictor (approximation) of a structural function, such as conditional average structural and treatment effects, and structural derivatives, based on modern machine learning (ML) tools. We represent this structural function as a conditional expectation of an unbiased signal that depends on a nuisance parameter, which we estimate

  • Machine Learning and Structural Econometrics: Contrasts and Synergies
    Econom. J. (IF 2.139) Pub Date : 2020-08-29
    Fedor Iskhakov; John Rust; Bertel Schjerning

    We contrast machine learning (ML) and structural econometrics (SE), focusing on areas where ML can advance the goals of SE. Our views have been informed and inspired by the contributions to this special issue and papers presented at the second conference on Dynamic Structural Econometrics at the University of Copenhagen in 2018 “Methodology and applications of structural dynamic models and machine

  • A Simple Estimator for Quantile Panel Data Models Using Smoothed Quantile Regressions
    Econom. J. (IF 2.139) Pub Date : 2020-08-05
    Liang Chen; Yulong Huo

    Canay (2011)’s two-step estimator of quantile panel data models, due to its simple intuition and low computational cost, has been widely used in empirical studies in recent years. However, in the asymptotic analysis of Canay (2011), the bias of his estimator due to the estimation of the fixed effects is mistakenly omitted, and such omission will lead to invalid inference on the coefficients. To solve

  • Potential Outcomes and Finite Population Inference for M-estimators
    Econom. J. (IF 2.139) Pub Date : 2020-07-18
    Ruonan Xu

    When a sample is drawn from or coincides with a finite population, the uncertainty of the coefficient estimators is often reported assuming the population is effectively infinite. Abadie, Athey, Imbens, and Wooldridge (2020), who study finite population inference for linear regression, derive an alternative asymptotic variance of the least squares estimator. I extend their results to the more general

  • Panel VAR Models with Interactive Fixed Effects
    Econom. J. (IF 2.139) Pub Date : 2020-07-17
    Mustafa Tuğan

    The existing literature on panel models with interactive fixed effects have the common feature of modeling a univariate variable. In this regard, it is incapable of addressing dynamic and simultaneous interactions among a set of macroeconomic variables, which falls in the realm of structural analysis. This paper aims to contribute to the existing literature by studying a homogeneous panel vector autoregression

  • Identifying and Estimating the Effects of Unconventional Monetary Policy: How to Do It And What Have We Learned?
    Econom. J. (IF 2.139) Pub Date : 2020-07-16
    Barbara Rossi

    The recent financial crisis led central banks to lower their interest rates in order to stimulate the economy until they hit the zero lower bound. How should one identify monetary policy shocks in unconventional times? Are unconventional monetary policies as effective as conventional ones? And has the monetary policy transmission mechanism changed in the zero lower bound era? This article aims at providing

  • Erratum to: Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models
    Econom. J. (IF 2.139) Pub Date : 2020-07-01
    Banerjee A, Chevillon G, Kratz M.

    SummaryWe 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

  • Identifying present bias and time preferences with an application to land-lease-contract data
    Econom. J. (IF 2.139) Pub Date : 2020-06-23
    Pieter A Gautier; Aico van Vuuren

    What can contracts –traded and priced in a competitive market and featuring a pre-specified system of future payments– teach us about time preferences and present bias? We first show that identification of present bias requires assumptions on the felicity function and that agents must have credit constraints on consumption expenditure. Moreover, when there is heterogeneity in present bias, identification

  • Binary Classification with Covariate Selection through L0-Penalized Empirical Risk Minimization
    Econom. J. (IF 2.139) Pub Date : 2020-06-20
    Le-Yu Chen; Sokbae Lee

    We consider the problem of binary classification with covariate selection. We construct a classification procedure by minimizing the empirical misclassification risk with a penalty on the number of selected covariates. This optimization problem is equivalent to obtaining an ℓ0-penalized maximum score estimator. We derive probability bounds on the estimated sparsity as well as on the excess misclassification

  • Identification of a class of index models: A topological approach*
    Econom. J. (IF 2.139) Pub Date : 2020-06-17
    Mogens Fosgerau; Dennis Kristensen

    We establish nonparametric identification in a class of so-called index models using a novel approach that relies on general topological results. Our proof strategy requires substantially weaker conditions on the functions and distributions characterizing the model compared to existing strategies; in particular, it does not require any large support conditions on the regressors of our model. We apply

  • Accelerated failure time models with log-concave errors
    Econom. J. (IF 2.139) Pub Date : 
    Liu R, Yu Z.

    SummaryWe study accelerated failure time models in which the survivor function of the additive error term is log-concave. The log-concavity assumption covers large families of commonly used distributions and also represents the aging or wear-out phenomenon of the baseline duration. For right-censored failure time data, we construct semiparametric maximum likelihood estimates of the finite-dimensional

  • Machine Learning Estimation of Heterogeneous Causal Effects: Empirical Monte Carlo Evidence
    Econom. J. (IF 2.139) Pub Date : 2020-06-06
    Michael C Knaus; Michael Lechner; Anthony Strittmatter

    We investigate the finite sample performance of causal machine learning estimators for heterogeneous causal effects at different aggregation levels. We employ an Empirical Monte Carlo Study that relies on arguably realistic data generation processes (DGPs) based on actual data in an observational setting. We consider 24 different DGPs, eleven different causal machine learning estimators, and three

  • Two-way Exclusion Restrictions in Models with Heterogeneous Treatment Effects
    Econom. J. (IF 2.139) Pub Date : 2020-06-01
    Shenglong Liu; Ismael Mourifié; Yuanyuan Wan

    In this paper we propose a novel method to identify the conditional average treatment effect partial derivative (CATE-PD) in an environment in which the treatment is endogenous, the treatment effect is heterogeneous, the candidate “instrumental variables” can be correlated with latent errors, and the treatment selection does not need to be (weakly) monotone. We show that CATE-PD is point identified

  • Probabilistic forecasting of bubbles and flash crashes
    Econom. J. (IF 2.139) Pub Date : 2020-02-14
    Anurag Banerjee; Guillaume Chevillon; Marie Kratz

    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

  • Double/debiased machine learning for difference-in-differences models
    Econom. J. (IF 2.139) Pub Date : 2020-02-04
    Neng-Chieh Chang

    This paper provides an orthogonal extension of the semiparametric difference-in-differences estimator proposed in earlier literature. The proposed estimator enjoys the so-called Neyman orthogonality (Chernozhukov et al., 2018), and thus it allows researchers to flexibly use a rich set of machine learning methods in the first-step estimation. It is particularly useful when researchers confront a high-dimensional

  • Multilayer network analysis of oil linkages
    Econom. J. (IF 2.139) Pub Date : 2020-01-29
    Roberto Casarin; Matteo Iacopini; German Molina; Enrique ter Horst; Ramon Espinasa; Carlos Sucre; Roberto Rigobon

    This manuscript proposes a new approach for unveiling existing linkages within the international oil market across multiple driving factors beyond production. A multilayer, multicountry network is extracted through a novel Bayesian graphical vector autoregressive model, which allows for a more comprehensive, dynamic representation of the network linkages than do traditional or static pairwise Granger-causal

  • Wild bootstrap for fuzzy regression discontinuity designs: obtaining robust bias-corrected confidence intervals
    Econom. J. (IF 2.139) Pub Date : 2020-01-25
    Yang He; Otávio Bartalotti

    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.

  • Partial identification in nonseparable count data instrumental variable models
    Econom. J. (IF 2.139) Pub Date : 2019-12-20
    Dongwoo Kim

    This paper investigates undesirable limitations of widely used count data instrumental variable models. To overcome the limitations, I propose a partially identifying single-equation model that requires neither strong separability of unobserved heterogeneity nor a triangular system. Sharp bounds (identified sets) of structural features are characterised by conditional moment inequalities. Numerical

  • The ignorant monopolist redux
    Econom. J. (IF 2.139) Pub Date : 2019-11-13
    Roger Koenker

    The classical problem of the monopolist faced with an unknown demand curve is considered in a simple stochastic setting. Sequential pricing strategies designed to maximize discounted profits are shown to converge sufficiently rapidly that they leave the monopolist ignorant about all but the most local features of demand. The failure of the monopolist to 'learn' his demand curve would seem to call into

  • Optimal bandwidth choice for robust bias-corrected inference in regression discontinuity designs
    Econom. J. (IF 2.139) Pub Date : 2019-11-12
    Sebastian Calonico; Matias D Cattaneo; Max H Farrell

    Modern empirical work in regression discontinuity (RD) designs often employs local polynomial estimation and inference with a mean square error (MSE) optimal bandwidth choice. This bandwidth yields an MSE-optimal RD treatment effect estimator, but is by construction invalid for inference. Robust bias-corrected (RBC) inference methods are valid when using the MSE-optimal bandwidth, but we show that

  • Peer effects in bedtime decisions among adolescents: a social network model with sampled data.
    Econom. J. (IF 2.139) Pub Date : 2017-10-01
    Xiaodong Liu,Eleonora Patacchini,Edoardo Rainone

    Using unique information on a representative sample of US teenagers, we investigate peer effects in adolescent bedtime decisions. We extend the nonlinear least-squares estimator for spatial autoregressive models to estimate network models with network fixed effects and sampled observations on the dependent variable. We show the extent to which neglecting the sampling issue yields misleading inferential

  • My friend far, far away: a random field approach to exponential random graph models.
    Econom. J. (IF 2.139) Pub Date : 2017-10-01
    Vincent Boucher,Ismael Mourifié

    We explore the asymptotic properties of strategic models of network formation in very large populations. Specifically, we focus on (undirected) exponential random graph models. We want to recover a set of parameters from the individuals' utility functions using the observation of a single, but large, social network. We show that, under some conditions, a simple logit-based estimator is coherent, consistent

  • An instrumental variable random-coefficients model for binary outcomes.
    Econom. J. (IF 2.139) Pub Date : 2015-03-24
    Andrew Chesher,Adam M Rosen

    In this paper, we study a random-coefficients model for a binary outcome. We allow for the possibility that some or even all of the explanatory variables are arbitrarily correlated with the random coefficients, thus permitting endogeneity. We assume the existence of observed instrumental variables Z that are jointly independent with the random coefficients, although we place no structure on the joint

  • More reliable inference for the dissimilarity index of segregation.
    Econom. J. (IF 2.139) Pub Date : 2015-02-01
    Rebecca Allen,Simon Burgess,Russell Davidson,Frank Windmeijer

    The most widely used measure of segregation is the so-called dissimilarity index. It is now well understood that this measure also reflects randomness in the allocation of individuals to units (i.e. it measures deviations from evenness, not deviations from randomness). This leads to potentially large values of the segregation index when unit sizes and/or minority proportions are small, even if there

  • 更新日期:2019-11-01
Contents have been reproduced by permission of the publishers.
ACS ES&T Engineering
ACS ES&T Water
ACS Publications填问卷