经济学权威期刊Quantitative Economics 2023年第1期
Quantitative Economics 2023年第1期
Volume 14, Issue 1, January 2023
——更多动态，请持续关注gzh：理想主义的百年孤独
1.Full-information estimation of heterogeneous agent models using macro and micro data
利用宏观和微观数据的异构代理模型的全信息估计
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 Chain Monte Carlo algorithm, we obtain fully efficient and valid Bayesian inference. Evaluation of the micro part of the likelihood lends itself naturally to parallel computing. Numerical illustrations in models with heterogeneous households or firms demonstrate that the proposed full-information method substantially sharpens inference relative to using only macro data, and for some parameters micro data is essential for identification.
我们开发了一种适用于异构代理模型的全信息推理方法，结合了聚合的时间序列数据和微观数据的重复截面。为了处理影响截面分布的不可观察的聚集状态变量，我们计算了模型隐含似然函数的数值无偏估计。利用马尔可夫链蒙特卡罗算法中的似然估计，我们得到了完全有效的贝叶斯推断。对可能性的微观部分的评估自然适合于并行计算。在包含不同家庭或企业的模型中，数值插图表明，与仅使用宏观数据相比，所提出的全信息方法大大增强了推断能力，对于某些参数，微观数据是识别的必要条件。
2.Permutation-based tests for discontinuities in event studies
事件研究中基于排列的不连续性检验
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 values are computed via a standard permutation algorithm. Under a high-level condition that the observed data can be coupled by a collection of conditionally independent variables, we establish the asymptotic validity of the permutation test, allowing the sizes of the local subsamples to be either be fixed or grow to infinity. In the latter case, we also establish that the permutation test is consistent. We demonstrate that our high-level condition can be verified in a broad range of problems in the infill asymptotic time-series setting, which justifies using the permutation test to detect jumps in economic variables such as volatility, trading activity, and liquidity. These potential applications are illustrated in an empirical case study for selected FOMC announcements during the ongoing COVID-19 pandemic.
我们建议使用排列检验来检测潜在经济模型在一个已知的截止点上的不连续性。相对于现有的文献，我们表明这种测试非常适合基于时间序列数据的事件研究。检验统计量测量了两个局部子样本中观测数据的经验分布函数在断裂带两侧的距离。临界值是通过标准排列算法计算的。在观测数据可以被一组条件自变量耦合的高阶条件下，我们建立了置换检验的渐近有效性，允许局部子样本的大小固定或增长到无穷。在后一种情况下，我们还确定置换检验是一致的。我们证明，我们的高水平条件可以在填充渐近时间序列设置中的广泛问题中得到验证，这证明了使用排列检验来检测经济变量的跳跃，如波动性、交易活动和流动性。在COVID-19大流行期间，对选定的FOMC公告进行的实证案例研究说明了这些潜在的应用。
3.Random utility and limited consideration
随机效用和有限的斟酌
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 of random (limited) consideration and generalizes them to allow for preference heterogeneity. We apply this methodology in a novel stochastic choice data set that we collected in a large-scale online experiment. Our data set is unique since it exhibits both choice set and (attention) frame variation. We run a statistical survival race between competing models of random consideration and RUM. We find that RUM cannot explain the population behavior. In contrast, we cannot reject the hypothesis that decision makers behave according to the logit attention model (Brady and Rehbeck (2016)).
随机效用模型(RUM, McFadden and Richter, 1990)一直是描述决策者群体行为的标准工具。朗姆假设决策者的行为就像他们在选择集上最大化理性偏好一样。当考虑所有替代方案代价高昂时，这一假设可能会失败。我们提供了一个理论和统计框架，统一了众所周知的随机(有限)考虑模型，并对它们进行了一般化处理，以考虑偏好异质性。我们将这种方法应用于一个新的随机选择数据集，我们在一个大规模的在线实验中收集。我们的数据集是独特的，因为它同时展示了选择集和(注意力)帧变化。我们在随机考虑模型和朗姆酒模型之间进行了一场统计上的生存竞赛。我们发现朗姆酒不能解释种群行为。相反，我们不能拒绝“决策者行为遵循logit注意力模型”的假设(Brady and Rehbeck(2016))。
4.Forecasting with a panel Tobit model
使用面板Tobit模型进行预测
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 density forecasts, we construct set forecasts that explicitly target the average coverage probability for the cross-section. We present a novel application in which we forecast bank-level loan charge-off rates for small banks.
我们使用具有异方差的动态面板Tobit模型对截尾观测的短时间序列的大截面产生预测。我们的完全贝叶斯方法允许我们灵活地估计异质系数的截面分布，然后隐式地使用该分布作为之前构建单个时间序列的贝叶斯预测。除了密度预测，我们构建了明确针对横截面平均覆盖概率的集合预测。我们提出了一个新的应用，在该应用中，我们预测了小型银行的银行级贷款冲销利率。
5.Monetary policy, external instruments, and heteroskedasticity
货币政策、外部工具变量与异方差
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 structural shock of interest. We test alternative instruments and find that narrative and model-based measures are valid, while high-frequency data instruments show signs of invalidity. Finally, we document that monetary shocks identified with both a valid instrument and heteroskedasticity have larger effects on production and prices than monetary shocks identified via an instrument only.
我们开发了一个结合外部工具和异方差的结构向量自回归框架来识别货币政策冲击。研究表明，利用这两种信息可以强化结构推断，允许使用似然比检验分别检验工具的相关性和外生性条件，并有助于对利益结构冲击的经济解释。我们测试了其他工具，发现叙述性和基于模型的措施是有效的，而高频数据工具显示出无效的迹象。最后，我们发现，与仅通过工具识别的货币冲击相比，有效工具和异方差识别的货币冲击对生产和价格的影响更大。
6.Pareto extrapolation: An analytical framework for studying tail inequality
帕累托外推:研究尾不等式的分析框架
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 top of the wealth distribution (e.g., analytical expressions for top wealth shares, type distribution in the tail, and transition probabilities in and out of the tail) in addition to delivering improved accuracy and speed.
我们开发了一个分析框架，旨在解决和分析内生地产生胖尾财富分布的异质性代理模型。我们利用策略函数的渐近线性和帕累托指数的解析表征，以尾巴理论来增强传统的解决算法。我们的框架允许精确理解财富分布的顶部(例如，顶级财富份额的解析表达式、尾部的类型分布以及尾部内外的转移概率)，此外还提高了准确性和速度。
7.Testing unified growth theory: Technological progress and the child quantity-quality tradeoff
检验统一成长理论:技术进步与儿童数量与质量的权衡
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 as patents per capita, R&D intensity, and investment in machinery, equipment, and intellectual property products. While controlling for confounders, such as income growth, mortality, and the gender wage gap, we establish (1) a significant impact of technological progress on education (positive) and fertility (negative); (2) that accelerating technological progress stimulated the fertility transition; and (3) that the baseline results are supported in 2SLS regressions using genetic-distance weighted foreign patent-intensity, compulsory schooling years, and minimum working age as instruments.
统一增长理论的一个核心机制是，加速技术进步导致了大众教育，并通过与儿童数量-质量替代的互动，导致了生育率的下降。利用21个经合组织国家1750—2000年的独特新数据，我们首次检验了统一增长理论这一核心机制的有效性。我们用人均专利、研发强度、机械设备和知识产权产品投资等指标来衡量一个国家的技术进步。在控制了收入增长、死亡率和性别工资差距等混杂因素的同时，我们确定了(1)技术进步对教育(正)和生育率(负)的显著影响;(2)加速的技术进步促进了生育转型;(3)以基因距离加权的外国专利密集度、义务教育年限和最低工作年龄为工具进行2SLS回归，基线结果得到支持。
8.Borrowing into debt crises
举债应对债务危机
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, which uses public employment and intermediate consumption as inputs. The inputs have varying degrees of downward rigidity, which means that it is costly to reduce them. Facing an adverse income shock, the government borrows to smooth out the reduction in public employment, which results in increasing debt and higher spread. We quantify this rigidity using the OECD Government Accounts data and show that it explains about 70% of the missing bond spread volatility.
主权违约的定量模型预测，政府会在衰退期间减少借款，以避免债务危机。这种行为的一个突出含义是，由此产生的利差波动是反事实的低。我们建议，政府在债务危机中举债是因为在调整支出方面存在摩擦。我们建立了一个以公共就业和中间消费为投入的政府产品生产模型。投入具有不同程度的向下刚性，这意味着降低投入的成本较高。面对不利的收入冲击，政府借款以平滑公共就业的减少，这导致债务增加和利差上升。我们使用经合组织(OECD)的政府账户数据对这种刚性进行了量化，并表明它解释了约70%的债券利差波动缺失。
9.The demographic consequences of sex-selection technology
性别选择技术对人口统计学的影响
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 decisions with microdata on fertility histories. We leverage the quasi-experimental variation inherent in the random determination of sex to identify the key structural parameter characterizing preferences for sex variety in offspring. We then simulate the introduction of this technology. While this technology can reduce fertility by allowing parents to efficiently reach their preferred sex mix, it could also increase it. This is because without this technology, many parents may opt not to have another baby given the uncertainty about its sex. Results suggest that these two effects operate simultaneously, but on net, sex-selection technology ends up reducing the average family size among married women by less than 2% in the steady state, a much smaller decline than the one that would be predicted by alternative methods.
在过去的几年中，已经发展出了在受孕前进行性别选择的高度准确的方法。鉴于美国对后代性别多样性的强烈偏好已经被记录在案，我们想知道性别选择技术可能会给人口统计学带来什么后果。由于缺乏对这一技术的不同时空的获取，我们利用生育历史的微观数据来估计生育决策的动态规划模型。我们利用性别随机决定中固有的准实验变异来识别表征后代性别多样性偏好的关键结构参数。然后，我们模拟该技术的引入。虽然这项技术可以通过让父母有效地达到他们喜欢的性别组合来降低生育率，但它也可以提高生育率。这是因为如果没有这项技术，许多父母可能会选择不再生一个孩子，因为他们不确定孩子的性别。结果表明，这两种影响同时起作用，但从整体上看，性别选择技术最终使已婚妇女在稳定状态下的平均家庭规模减少了不到2%，这比其他方法预测的降幅要小得多。
10.Gender, competition, and performance: Evidence from chess players
性别、竞争和表现:来自国际象棋选手的证据
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 well against male and female opponents. We also find that men persist longer before losing to women. Our results shed some light on the behavioral changes that lead to differential outcomes when the gender composition of competitions varies.
本文研究在男性主导的国际象棋比赛的竞争环境中表现的性别差异。我们发现，国际象棋游戏的性别构成会影响男性和女性的行为，从而恶化女性的结果。使用一种独特的游戏质量测量方法，我们发现女性在与男性游戏时犯的错误更多。然而，男性在与男性和女性对手的比赛中表现得一样好。我们还发现，男性在输给女性之前坚持的时间更长。我们的研究结果在一定程度上揭示了当比赛的性别构成不同时，导致不同结果的行为变化。
