Journal of Applied Econometrics
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Doubly Robust Estimation of Causal Effects with Multivalued Treatments: An Application to the Returns to Schooling Summary This paper provides doubly robust estimators for treatment effect parameters which are defined in a multivalued treatment effect framework. We apply this method to the unique dataset of the 1970 British Cohort Study (BCS70) to estimate returns to various levels of schooling. The analysis is carried out for female and male samples separately to capture possible gender differences. Average returns are estimated for the entire population, as well as conditional on having a specific educational achievement. For males, relative to no qualification, we find an average return to O‐levels of 6.3%, to A‐levels of 7.9% and to higher education of 25.4%. The estimated average returns to O‐level and A‐level relative to no qualification are insignificant for females, whereas the return to higher education is 19.9%.Copyright © 2014 John Wiley & Sons, Ltd.
Journal of Applied Econometrics - Tập 30 Số 5 - Trang 763-786 - 2015
Macroeconomic forecasting and structural change SUMMARY The aim of this paper is to assess whether modeling structural change can help improving the accuracy of macroeconomic forecasts. We conduct a simulated real‐time out‐of‐sample exercise using a time‐varying coefficients vector autoregression (VAR) with stochastic volatility to predict the inflation rate, unemployment rate and interest rate in the USA. The model generates accurate predictions for the three variables. In particular, the forecasts of inflation are much more accurate than those obtained with any other competing model, including fixed coefficients VARs, time‐varying autoregressions and the naïve random walk model. The results hold true also after the mid 1980s, a period in which forecasting inflation was particularly hard. Copyright © 2011 John Wiley & Sons, Ltd.
Journal of Applied Econometrics - Tập 28 Số 1 - Trang 82-101 - 2013
Macroeconomic Forecasting Performance under Alternative Specifications of Time-Varying Volatility
Journal of Applied Econometrics - Tập 30 Số 4 - Trang 551-575 - 2015
Estimating consumer preferences using market data—an application to us automobile demand Abstract This paper explores the possibility of using market data to identify consumer preferences. A utility function composed of ‘homogeneous’ characteristics and goods‐specific effects is used as a basic link between the goods space and the characteristics space. The functional form for the hedonic price equation, the data requirements and issues of measurement errors for estimating demand and supply of characteristics are discussed. We illustrate the methodology by considering the US automobile demand using 1969–86 data compiled from Consumer Reports and Ward's Automotive Yearbook .
Journal of Applied Econometrics - Tập 9 Số 1 - Trang 1-18 - 1994
Structural breaks and GARCH models of exchange rate volatility Abstract We investigate the empirical relevance of structural breaks for GARCH models of exchange rate volatility using both in‐sample and out‐of‐sample tests. We find significant evidence of structural breaks in the unconditional variance of seven of eight US dollar exchange rate return series over the 1980–2005 period—implying unstable GARCH processes for these exchange rates—and GARCH(1,1) parameter estimates often vary substantially across the subsamples defined by the structural breaks. We also find that it almost always pays to allow for structural breaks when forecasting exchange rate return volatility in real time. Combining forecasts from different models that accommodate structural breaks in volatility in various ways appears to offer a reliable method for improving volatility forecast accuracy given the uncertainty surrounding the timing and size of the structural breaks. Copyright © 2008 John Wiley & Sons, Ltd.
Journal of Applied Econometrics - Tập 23 Số 1 - Trang 65-90 - 2008
Jumps, cojumps and macro announcements
Journal of Applied Econometrics - Tập 26 Số 6 - Trang 893-921 - 2011
Stocks, bonds, money markets and exchange rates: measuring international financial transmission
Journal of Applied Econometrics - Tập 26 Số 6 - Trang 948-974 - 2011
Modelling and forecasting multivariate realized volatility
Journal of Applied Econometrics - Tập 26 Số 6 - Trang 922-947 - 2011
Comparing shocks and frictions in US and euro area business cycles: a Bayesian DSGE Approach Abstract This paper estimates a DSGE model with many types of shocks and frictions for both the US and the euro area economy over a common sample period (1974–2002). The structural estimation methodology allows us to investigate whether differences in business cycle behaviour are due to differences in the type of shocks that affect the two economies, differences in the propagation mechanism of those shocks, or differences in the way the central bank responds to those economic developments. Our main conclusion is that each of these characteristics is remarkably similar across both currency areas. Copyright © 2005 John Wiley & Sons, Ltd.
Journal of Applied Econometrics - Tập 20 Số 2 - Trang 161-183 - 2005
The Lucas critique and the stability of empirical models Abstract This paper reconsiders the empirical relevance of the Lucas critique using a DSGE sticky price model in which a weak central bank response to inflation generates equilibrium indeterminacy. The model is calibrated to capture the magnitude of the historical shift in the Federal Reserve's policy rule. Using Monte Carlo simulations and a backward‐looking model of aggregate supply and demand, we find that shifts in the policy rule induce breaks in both the reduced‐form coefficients and the reduced‐form error variances. When the instability of the reduced‐form error variances is accounted for, the Lucas critique is found to be empirically relevant. Copyright © 2009 John Wiley & Sons, Ltd.
Journal of Applied Econometrics - Tập 25 Số 1 - Trang 177-194 - 2010
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