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Racial/Ethnic Health Disparity in the United States -
An Empirical Model of Medicare Costs: The Role of Health Insurance, Employment, and Delays in Medicare Enrollment -
Selecting a Model for Forecasting -
Uncertainty Due to Infectious Diseases and Stock–Bond Correlation -
Structural Bayesian Multicountry Dynamics: Volatility, Policy, and Endogeneity Issues
Journal Description
Econometrics
Econometrics
is an international, peer-reviewed, open access journal on econometric modeling and forecasting, as well as new advances in econometrics theory, and is published quarterly online by MDPI.
- Open Access— free for readers, with article processing charges (APC) paid by authors or their institutions.
- High Visibility: indexed within Scopus, ESCI (Web of Science), EconLit, EconBiz, RePEc, and many other databases.
- Journal Rank: CiteScore - Q2 (Economics and Econometrics)
- Rapid Publication: manuscripts are peer-reviewed and a first decision provided to authors approximately 55.8 days after submission; acceptance to publication is undertaken in 5.9 days (median values for papers published in this journal in the first half of 2021).
- Recognition of Reviewers: reviewers who provide timely, thorough peer-review reports receive vouchers entitling them to a discount on the APC of their next publication in any MDPI journal, in appreciation of the work done.
Latest Articles
Prais–Winsten Algorithm for Regression with Second or Higher Order Autoregressive Errors
Econometrics 2021, 9(3), 32; https://doi.org/10.3390/econometrics9030032 (registering DOI) - 27 Aug 2021
Abstract
There is no available Prais–Winsten algorithm for regression with AR(2) or higher order errors, and the one with AR(1) errors is not fully justified or is implemented incorrectly (thus being inefficient). This paper addresses both issues, providing an accurate, computationally fast, and inexpensive
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There is no available Prais–Winsten algorithm for regression with AR(2) or higher order errors, and the one with AR(1) errors is not fully justified or is implemented incorrectly (thus being inefficient). This paper addresses both issues, providing an accurate, computationally fast, and inexpensive generic zig-zag algorithm.
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Cointegration, Root Functions and Minimal Bases
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Econometrics 2021, 9(3), 31; https://doi.org/10.3390/econometrics9030031 - 17 Aug 2021
Abstract
This paper discusses the notion of cointegrating space for linear processes integrated of any order. It first shows that the notions of (polynomial) cointegrating vectors and of root functions coincide. Second, it discusses how the cointegrating space can be defined (i) as a
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This paper discusses the notion of cointegrating space for linear processes integrated of any order. It first shows that the notions of (polynomial) cointegrating vectors and of root functions coincide. Second, it discusses how the cointegrating space can be defined (i) as a vector space of polynomial vectors over complex scalars, (ii) as a free module of polynomial vectors over scalar polynomials, or finally (iii) as a vector space of rational vectors over rational scalars. Third, it shows that a canonical set of root functions can be used as a basis of the various notions of cointegrating space. Fourth, it reviews results on how to reduce polynomial bases to minimal order—i.e., minimal bases. The application of these results to Vector AutoRegressive processes integrated of order 2 is found to imply the separation of polynomial cointegrating vectors from non-polynomial ones.
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(This article belongs to the Special Issue Celebrated Econometricians: Katarina Juselius and Søren Johansen)
Open AccessArticle
Søren Johansen and Katarina Juselius: A Bibliometric Analysis of Citations through Multivariate Bass Models
Econometrics 2021, 9(3), 30; https://doi.org/10.3390/econometrics9030030 - 12 Aug 2021
Abstract
We showcase the impact of Katarina Juselius and Søren Johansen’s contribution to econometrics using bibliometric data on citations from 1989 to 2017, extracted from the Web of Science (WoS) database. Our purpose is to analyze the impact of KJ and SJ’s ideas on
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We showcase the impact of Katarina Juselius and Søren Johansen’s contribution to econometrics using bibliometric data on citations from 1989 to 2017, extracted from the Web of Science (WoS) database. Our purpose is to analyze the impact of KJ and SJ’s ideas on applied and methodological research in econometrics. To this aim, starting from WoS data, we derived two composite indices whose purpose is to disentangle the authors’ impact on applied research from their impact on methodological research. As of 2017, the number of applied citing papers per quarter had not yet reached the peak; conversely, the peak in the methodological literature seem to have been reached around 2000, although the shape of the trajectory is very flat after the peak. We analyzed the data using a multivariate dynamic version of the well known Bass model. Our estimates suggest that the methodological literature is mainly driven by “innovators”, whereas “imitators” are relatively more important in the applied literature: this might explain the different location of the peaks. We also find that, in the literature referring to KJ and SJ, the “cross-fertilization” between methodological and applied research is statistically significant and bi-directional.
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(This article belongs to the Special Issue Celebrated Econometricians: Katarina Juselius and Søren Johansen)
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Open AccessEditorial
Special Issue “Celebrated Econometricians: Peter Phillips”
Econometrics 2021, 9(3), 29; https://doi.org/10.3390/econometrics9030029 - 27 Jul 2021
Abstract
Peter Phillips has had a tremendous impact on econometric theory and practice [...]
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(This article belongs to the Special Issue Celebrated Econometricians: Peter Phillips)
Open AccessArticle
Multivariate Analysis of Cryptocurrencies
Econometrics 2021, 9(3), 28; https://doi.org/10.3390/econometrics9030028 - 01 Jul 2021
Cited by 1
Abstract
Recently, the world of cryptocurrencies has experienced an undoubted increase in interest. Since the first cryptocurrency appeared in 2009 in the aftermath of the Great Recession, the popularity of digital currencies has, year by year, risen continuously. As of February 2021, there are
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Recently, the world of cryptocurrencies has experienced an undoubted increase in interest. Since the first cryptocurrency appeared in 2009 in the aftermath of the Great Recession, the popularity of digital currencies has, year by year, risen continuously. As of February 2021, there are more than 8525 cryptocurrencies with a market value of approximately USD 1676 billion. These particular assets can be used to diversify the portfolio as well as for speculative actions. For this reason, investigating the daily volatility and co-volatility of cryptocurrencies is crucial for investors and portfolio managers. In this work, the interdependencies among a panel of the most traded digital currencies are explored and evaluated from statistical and economic points of view. Taking advantage of the monthly Google queries (which appear to be the factors driving the price dynamics) on cryptocurrencies, we adopted a mixed-frequency approach within the Dynamic Conditional Correlation (DCC) model. In particular, we introduced the Double Asymmetric GARCH–MIDAS model in the DCC framework.
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(This article belongs to the Special Issue Topics in Computational Econometrics and Finance: Theory and Applications)
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Fisher’s z Distribution-Based Mixture Autoregressive Model
Econometrics 2021, 9(3), 27; https://doi.org/10.3390/econometrics9030027 - 29 Jun 2021
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We generalize the Gaussian Mixture Autoregressive (GMAR) model to the Fisher’s z Mixture Autoregressive (ZMAR) model for modeling nonlinear time series. The model consists of a mixture of K-component Fisher’s z autoregressive models with the mixing proportions changing over time. This model
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We generalize the Gaussian Mixture Autoregressive (GMAR) model to the Fisher’s z Mixture Autoregressive (ZMAR) model for modeling nonlinear time series. The model consists of a mixture of K-component Fisher’s z autoregressive models with the mixing proportions changing over time. This model can capture time series with both heteroskedasticity and multimodal conditional distribution, using Fisher’s z distribution as an innovation in the MAR model. The ZMAR model is classified as nonlinearity in the level (or mode) model because the mode of the Fisher’s z distribution is stable in its location parameter, whether symmetric or asymmetric. Using the Markov Chain Monte Carlo (MCMC) algorithm, e.g., the No-U-Turn Sampler (NUTS), we conducted a simulation study to investigate the model performance compared to the GMAR model and Student t Mixture Autoregressive (TMAR) model. The models are applied to the daily IBM stock prices and the monthly Brent crude oil prices. The results show that the proposed model outperforms the existing ones, as indicated by the Pareto-Smoothed Important Sampling Leave-One-Out cross-validation (PSIS-LOO) minimum criterion.
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Open AccessFeature PaperArticle
Selecting a Model for Forecasting
Econometrics 2021, 9(3), 26; https://doi.org/10.3390/econometrics9030026 - 25 Jun 2021
Abstract
We investigate forecasting in models that condition on variables for which future values are unknown. We consider the role of the significance level because it guides the binary decisions whether to include or exclude variables. The analysis is extended by allowing for a
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We investigate forecasting in models that condition on variables for which future values are unknown. We consider the role of the significance level because it guides the binary decisions whether to include or exclude variables. The analysis is extended by allowing for a structural break, either in the first forecast period or just before. Theoretical results are derived for a three-variable static model, but generalized to include dynamics and many more variables in the simulation experiment. The results show that the trade-off for selecting variables in forecasting models in a stationary world, namely that variables should be retained if their noncentralities exceed unity, still applies in settings with structural breaks. This provides support for model selection at looser than conventional settings, albeit with many additional features explaining the forecast performance, and with the caveat that retaining irrelevant variables that are subject to location shifts can worsen forecast performance.
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(This article belongs to the Special Issue Celebrated Econometricians: David Hendry)
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An Empirical Model of Medicare Costs: The Role of Health Insurance, Employment, and Delays in Medicare Enrollment
by
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Econometrics 2021, 9(2), 25; https://doi.org/10.3390/econometrics9020025 - 08 Jun 2021
Abstract
Medicare is one of the largest federal social insurance programs in the United States and the secondary payer for Medicare beneficiaries covered by employer-provided health insurance (EPHI). However, an increasing number of individuals are delaying their Medicare enrollment when they first become eligible
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Medicare is one of the largest federal social insurance programs in the United States and the secondary payer for Medicare beneficiaries covered by employer-provided health insurance (EPHI). However, an increasing number of individuals are delaying their Medicare enrollment when they first become eligible at age 65. Using administrative data from the Medicare Current Beneficiary Survey (MCBS), this paper estimates the effects of EPHI, employment, and delays in Medicare enrollment on Medicare costs. Given the administrative nature of the data, we are able to disentangle and estimate the Medicare as secondary payer (MSP) effect and the work effects on Medicare costs, as well as to construct delay enrollment indicators. Using Heckman’s sample selection model, we estimate that MSP and being employed are associated with a lower probability of observing positive Medicare spending and a lower level of Medicare spending. This paper quantifies annual savings of $5.37 billion from MSP and being employed. Delays in Medicare enrollment generate additional annual savings of $10.17 billion. Owing to the links between employment, health insurance coverage, and Medicare costs presented in this research, our findings may be of interest to policy makers who should take into account the consequences of reforms on the Medicare system.
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(This article belongs to the Special Issue Health Econometrics)
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Are Soybean Yields Getting a Free Ride from Climate Change? Evidence from Argentine Time Series Data
Econometrics 2021, 9(2), 24; https://doi.org/10.3390/econometrics9020024 - 04 Jun 2021
Abstract
We analyze the influence of climate change on soybean yields in a multivariate time-series framework for a major soybean producer and exporter—Argentina. Long-run relationships are found in partial systems involving climatic, technological, and economic factors. Automatic model selection simplifies dynamic specification for a
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We analyze the influence of climate change on soybean yields in a multivariate time-series framework for a major soybean producer and exporter—Argentina. Long-run relationships are found in partial systems involving climatic, technological, and economic factors. Automatic model selection simplifies dynamic specification for a model of soybean yields and permits encompassing tests of different economic hypotheses. Soybean yields adjust to disequilibria that reflect technological improvements to seed and crops practices. Climatic effects include (a) a positive effect from increased CO concentrations, which may capture accelerated photosynthesis, and (b) a negative effect from high local temperatures, which could increase with continued global warming.
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(This article belongs to the Special Issue Celebrated Econometricians: David Hendry)
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Semiparametric Estimation of a Corporate Bond Rating Model
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Econometrics 2021, 9(2), 23; https://doi.org/10.3390/econometrics9020023 - 28 May 2021
Abstract
This paper investigates the incentive of credit rating agencies (CRAs) to bias ratings using a semiparametric, ordered-response model. The proposed model explicitly takes conflicts of interest into account and allows the ratings to depend flexibly on risk attributes through a semiparametric index structure.
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This paper investigates the incentive of credit rating agencies (CRAs) to bias ratings using a semiparametric, ordered-response model. The proposed model explicitly takes conflicts of interest into account and allows the ratings to depend flexibly on risk attributes through a semiparametric index structure. Asymptotic normality for the estimator is derived after using several bias correction techniques. Using Moody’s rating data from 2001 to 2016, I found that firms related to Moody’s shareholders were more likely to receive better ratings. Such favorable treatments were more pronounced in investment grade bonds compared with high yield bonds, with the 2007–2009 financial crisis being an exception. Parametric models, such as the ordered-probit, failed to identify this heterogeneity of the rating bias across different bond categories.
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(This article belongs to the Special Issue Topics in Computational Econometrics and Finance: Theory and Applications)
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Racial/Ethnic Health Disparity in the U.S.: A Decomposition Analysis
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Econometrics 2021, 9(2), 22; https://doi.org/10.3390/econometrics9020022 - 06 May 2021
Abstract
Following recent econometric developments, we use self-assessed general health on a Likert scale conditioned by several objective determinants to measure health disparity between non-Hispanic Whites and minority groups in the United States. A statistical decomposition analysis is conducted to determine the contributions of
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Following recent econometric developments, we use self-assessed general health on a Likert scale conditioned by several objective determinants to measure health disparity between non-Hispanic Whites and minority groups in the United States. A statistical decomposition analysis is conducted to determine the contributions of socio-demographic and neighborhood characteristics in generating disparities. Whereas, 72% of health disparity between Whites and Blacks is attributable to Blacks’ relatively worse socio-economic and demographic characteristics, it is only 50% for Hispanics and 65% for American Indian Alaska Natives. The role of a number of factors including per capita income and income inequality vary across the groups. Interestingly, “blackness” of a county is associated with better health for all minority groups, but it affects Whites negatively. Our findings suggest that public health initiatives to eliminate health disparity should be targeted differently for different racial/ethnic groups by focusing on the most vulnerable within each group.
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(This article belongs to the Special Issue Health Econometrics)
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Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models
Econometrics 2021, 9(2), 21; https://doi.org/10.3390/econometrics9020021 - 04 May 2021
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This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From the definition of RBEKK, the unconditional covariance matrix is estimated in the first step to rotate the observed variables in order to have the identity
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This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From the definition of RBEKK, the unconditional covariance matrix is estimated in the first step to rotate the observed variables in order to have the identity matrix for its sample covariance matrix. In the second step, the remaining parameters are estimated by maximizing the quasi-log-likelihood function. For this two-step quasi-maximum likelihood (2sQML) estimator, this paper shows consistency and asymptotic normality under weak conditions. While second-order moments are needed for the consistency of the estimated unconditional covariance matrix, the existence of the finite sixth-order moments is required for the convergence of the second-order derivatives of the quasi-log-likelihood function. This paper also shows the relationship between the asymptotic distributions of the 2sQML estimator for the RBEKK model and variance targeting quasi-maximum likelihood estimator for the VT-BEKK model. Monte Carlo experiments show that the bias of the 2sQML estimator is negligible and that the appropriateness of the diagonal specification depends on the closeness to either the diagonal BEKK or the diagonal RBEKK models. An empirical analysis of the returns of stocks listed on the Dow Jones Industrial Average indicates that the choice of the diagonal BEKK or diagonal RBEKK models changes over time, but most of the differences between the two forecasts are negligible.
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Open AccessArticle
Structural Panel Bayesian VAR with Multivariate Time-Varying Volatility to Jointly Deal with Structural Changes, Policy Regime Shifts, and Endogeneity Issues
Econometrics 2021, 9(2), 20; https://doi.org/10.3390/econometrics9020020 - 02 May 2021
Abstract
This paper improves a standard Structural Panel Bayesian Vector Autoregression model in order to jointly deal with issues of endogeneity, because of omitted factors and unobserved heterogeneity, and volatility, because of policy regime shifts and structural changes. Bayesian methods are used to select
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This paper improves a standard Structural Panel Bayesian Vector Autoregression model in order to jointly deal with issues of endogeneity, because of omitted factors and unobserved heterogeneity, and volatility, because of policy regime shifts and structural changes. Bayesian methods are used to select the best model solution for examining if international spillovers come from multivariate volatility, time variation, or contemporaneous relationship. An empirical application among Central-Eastern and Western Europe economies is conducted to describe the performance of the methodology, with particular emphasis on the Great Recession and post-crisis periods. A simulated example is also addressed to highlight the performance of the estimating procedure. Findings from evidence-based forecasting are also addressed to evaluate the impact of an ongoing pandemic crisis on the global economy.
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(This article belongs to the Special Issue Topics in Computational Econometrics and Finance: Theory and Applications)
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Outliers in Semi-Parametric Estimation of Treatment Effects
Econometrics 2021, 9(2), 19; https://doi.org/10.3390/econometrics9020019 - 30 Apr 2021
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Outliers can be particularly hard to detect, creating bias and inconsistency in the semi-parametric estimates. In this paper, we use Monte Carlo simulations to demonstrate that semi-parametric methods, such as matching, are biased in the presence of outliers. Bad and good leverage point
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Outliers can be particularly hard to detect, creating bias and inconsistency in the semi-parametric estimates. In this paper, we use Monte Carlo simulations to demonstrate that semi-parametric methods, such as matching, are biased in the presence of outliers. Bad and good leverage point outliers are considered. Bias arises in the case of bad leverage points because they completely change the distribution of the metrics used to define counterfactuals; good leverage points, on the other hand, increase the chance of breaking the common support condition and distort the balance of the covariates, which may push practitioners to misspecify the propensity score or the distance measures. We provide some clues to identify and correct for the effects of outliers following a reweighting strategy in the spirit of the Stahel-Donoho (SD) multivariate estimator of scale and location, and the S-estimator of multivariate location (Smultiv). An application of this strategy to experimental data is also implemented.
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Open AccessArticle
Multidimensional Arrays, Indices and Kronecker Products
Econometrics 2021, 9(2), 18; https://doi.org/10.3390/econometrics9020018 - 28 Apr 2021
Abstract
Much of the algebra that is associated with the Kronecker product of matrices has been rendered in the conventional notation of matrix algebra, which conceals the essential structures of the objects of the analysis. This makes it difficult to establish even the most
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Much of the algebra that is associated with the Kronecker product of matrices has been rendered in the conventional notation of matrix algebra, which conceals the essential structures of the objects of the analysis. This makes it difficult to establish even the most salient of the results. The problems can be greatly alleviated by adopting an orderly index notation that reveals these structures. This claim is demonstrated by considering a problem that several authors have already addressed without producing a widely accepted solution.
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Uncertainty Due to Infectious Diseases and Stock–Bond Correlation
Econometrics 2021, 9(2), 17; https://doi.org/10.3390/econometrics9020017 - 19 Apr 2021
Abstract
We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock–bond correlation. To this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ a nonlinear Granger causality test with the use of artificial neural
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We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock–bond correlation. To this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ a nonlinear Granger causality test with the use of artificial neural networks so as to investigate the predictability of this type of uncertainty on realized stock–bond correlation and jumps. Our findings reveal that uncertainty-due-to-infectious-diseases has significant predictive value on the changes of the stock–bond relation.
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(This article belongs to the Special Issue Health Econometrics)
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Quantile Regression with Generated Regressors
Econometrics 2021, 9(2), 16; https://doi.org/10.3390/econometrics9020016 - 12 Apr 2021
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This paper studies estimation and inference for linear quantile regression models with generated regressors. We suggest a practical two-step estimation procedure, where the generated regressors are computed in the first step. The asymptotic properties of the two-step estimator, namely, consistency and asymptotic normality
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This paper studies estimation and inference for linear quantile regression models with generated regressors. We suggest a practical two-step estimation procedure, where the generated regressors are computed in the first step. The asymptotic properties of the two-step estimator, namely, consistency and asymptotic normality are established. We show that the asymptotic variance-covariance matrix needs to be adjusted to account for the first-step estimation error. We propose a general estimator for the asymptotic variance-covariance, establish its consistency, and develop testing procedures for linear hypotheses in these models. Monte Carlo simulations to evaluate the finite-sample performance of the estimation and inference procedures are provided. Finally, we apply the proposed methods to study Engel curves for various commodities using data from the UK Family Expenditure Survey. We document strong heterogeneity in the estimated Engel curves along the conditional distribution of the budget share of each commodity. The empirical application also emphasizes that correctly estimating confidence intervals for the estimated Engel curves by the proposed estimator is of importance for inference.
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Debiased/Double Machine Learning for Instrumental Variable Quantile Regressions
Econometrics 2021, 9(2), 15; https://doi.org/10.3390/econometrics9020015 - 02 Apr 2021
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In this study, we investigate the estimation and inference on a low-dimensional causal parameter in the presence of high-dimensional controls in an instrumental variable quantile regression. Our proposed econometric procedure builds on the Neyman-type orthogonal moment conditions of a previous study (Chernozhukov et
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In this study, we investigate the estimation and inference on a low-dimensional causal parameter in the presence of high-dimensional controls in an instrumental variable quantile regression. Our proposed econometric procedure builds on the Neyman-type orthogonal moment conditions of a previous study (Chernozhukov et al. 2018) and is thus relatively insensitive to the estimation of the nuisance parameters. The Monte Carlo experiments show that the estimator copes well with high-dimensional controls. We also apply the procedure to empirically reinvestigate the quantile treatment effect of 401(k) participation on accumulated wealth.
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Open AccessFeature PaperArticle
Estimating Endogenous Treatment Effects Using Latent Factor Models with and without Instrumental Variables
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and
Econometrics 2021, 9(1), 14; https://doi.org/10.3390/econometrics9010014 - 17 Mar 2021
Abstract
We provide evidence on the least biased ways to identify causal effects in situations where there are multiple outcomes that all depend on the same endogenous regressor and a reasonable but potentially contaminated instrumental variable that is available. Simulations provide suggestive evidence on
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We provide evidence on the least biased ways to identify causal effects in situations where there are multiple outcomes that all depend on the same endogenous regressor and a reasonable but potentially contaminated instrumental variable that is available. Simulations provide suggestive evidence on the complementarity of instrumental variable (IV) and latent factor methods and how this complementarity depends on the number of outcome variables and the degree of contamination in the IV. We apply the causal inference methods to assess the impact of mental illness on work absenteeism and disability, using the National Comorbidity Survey Replication.
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(This article belongs to the Special Issue Health Econometrics)
Open AccessFeature PaperArticle
Integration and Disintegration of EMU Government Bond Markets
Econometrics 2021, 9(1), 13; https://doi.org/10.3390/econometrics9010013 - 15 Mar 2021
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It is commonly found that the markets for long-term government bonds of Economic and Monetary Union (EMU) countries were integrated prior to the EMU debt crisis. Contrasting this, we show, based on the interrelation between market integration and fractional cointegration, that there were
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It is commonly found that the markets for long-term government bonds of Economic and Monetary Union (EMU) countries were integrated prior to the EMU debt crisis. Contrasting this, we show, based on the interrelation between market integration and fractional cointegration, that there were periods of integration and disintegration that coincide with bull and bear market periods in the stock market. An econometric argument about the spectral behavior of long-memory time series leads to the conclusion that there is a stronger differentiation between bonds with different default risks. This implied the possibility of macroeconomic and fiscal divergence between the EMU countries before the crisis periods.
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