In this article, we introduce dynamac, a suite of commands designed to assist users in modeling and visualizing the effects of autoregressive distributed lag models and in testing for cointegration. ...We discuss the bounds cointegration test proposed by Pesaran, Shin, and Smith (2001, Journal of Applied Econometrics 16: 289–326), which we have adapted into a command. Because the resulting models can be dynamically complex, we follow the advice of Philips (2018, American Journal of Political Science 62: 230–244) by introducing a flexible command designed to dynamically simulate and plot a variety of types of autoregressive distributed lag models, including error-correction models.
Quantiles via moments Machado, José A.F.; Santos Silva, J.M.C.
Journal of econometrics,
11/2019, Letnik:
213, Številka:
1
Journal Article
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We study the conditions under which it is possible to estimate regression quantiles by estimating conditional means. The advantage of this approach is that it allows the use of methods that are only ...valid in the estimation of conditional means, while still providing information on how the regressors affect the entire conditional distribution. The methods we propose are not meant to replace the well-established quantile regression estimator, but provide an additional tool that can allow the estimation of regression quantiles in settings where otherwise that would be difficult or even impossible. We consider two settings in which our approach can be particularly useful: panel data models with individual effects and models with endogenous explanatory variables. Besides presenting the estimator and establishing the regularity conditions needed for valid inference, we perform a small simulation experiment, present two simple illustrative applications, and discuss possible extensions.
Objectives:
Discussions of fairness in criminal justice risk assessments typically lack conceptual precision. Rhetoric too often substitutes for careful analysis. In this article, we seek to clarify ...the trade-offs between different kinds of fairness and between fairness and accuracy.
Methods:
We draw on the existing literatures in criminology, computer science, and statistics to provide an integrated examination of fairness and accuracy in criminal justice risk assessments. We also provide an empirical illustration using data from arraignments.
Results:
We show that there are at least six kinds of fairness, some of which are incompatible with one another and with accuracy.
Conclusions:
Except in trivial cases, it is impossible to maximize accuracy and fairness at the same time and impossible simultaneously to satisfy all kinds of fairness. In practice, a major complication is different base rates across different legally protected groups. There is a need to consider challenging trade-offs. These lessons apply to applications well beyond criminology where assessments of risk can be used by decision makers. Examples include mortgage lending, employment, college admissions, child welfare, and medical diagnoses.
This paper considers generalized least squares (GLS) estimation for linear panel data models. By estimating the large error covariance matrix consistently, the proposed feasible GLS estimator is more ...efficient than the ordinary least squares in the presence of heteroskedasticity, serial and cross-sectional correlations. The covariance matrix used for the feasible GLS is estimated via the banding and thresholding method. We establish the limiting distribution of the proposed estimator. A Monte Carlo study is considered. The proposed method is applied to an empirical application.
In this article, we introduce two community-contributed commands, rddensity and rdbwdensity, that implement automatic manipulation tests based on density discontinuity and are constructed using the ...results for local-polynomial density estimators in Cattaneo, Jansson, and Ma (2017b, Simple local polynomial density estimators, Working paper, University of Michigan). These new tests exhibit better size properties (and more power under additional assumptions) than other conventional approaches currently available in the literature. The first command, rddensity, implements manipulation tests based on a novel local-polynomial density estimation technique that avoids prebinning of the data (improving size properties) and allows for restrictions on other features of the model (improving power properties). The second command, rdbwdensity, implements several bandwidth selectors specifically tailored for the manipulation tests discussed herein. We also provide a companion R package with the same syntax and capabilities as rddensity and rdbwdensity.
Bitcoin is designed as a peer-to-peer cash system. To work as a currency, it must be stable or be backed by a government. In this paper, we show that the volatility of Bitcoin prices is extreme and ...almost 10 times higher than the volatility of major exchange rates (US dollar against the euro and the yen). The excess volatility even adversely affects its potential role in portfolios. Our analysis implies that Bitcoin cannot function as a medium of exchange and has only limited use as a risk-diversifier. In contrast, we use the deflationary design of Bitcoin as a theoretical basis and demonstrate that Bitcoin displays store of value characteristics over long horizons.
Estimating models within the mixture model framework, like latent growth mixture modeling (LGMM) or latent class growth analysis (LCGA), involves making various decisions throughout the estimation ...process. This has led to a wide variety in how results of latent trajectory analysis are reported. To overcome this issue, using a 4-round Delphi study, we developed Guidelines for Reporting on Latent Trajectory Studies (GRoLTS). The purpose of GRoLTS is to present criteria that should be included when reporting the results of latent trajectory analysis across research fields. We have gone through a systematic process to identify key components that, according to a panel of experts, are necessary when reporting results for trajectory studies. We applied GRoLTS to 38 papers where LGMM or LCGA was used to study trajectories of posttraumatic stress after a traumatic event.
This paper examines and discusses the biases and pitfalls of retrospective survey questions that are currently being used in many medical, epidemiological, and sociological studies on the COVID-19 ...pandemic. By analyzing the consistency of answers to retrospective questions provided by respondents who participated in the first two waves of a survey on the social consequences of the COVID-19 pandemic, we illustrate the insights generated by a large body of survey research on the use of retrospective questions and recall accuracy.
In this article, we develop a command, xthenreg, that implements the first-differenced generalized method of moments estimation of the dynamic panel threshold model that Seo and Shin (2016, Journal ...of Econometrics 195: 169–186) proposed. Furthermore, we derive the asymptotic variance formula for a kink-constrained generalized method of moments estimator of the dynamic threshold model and provide an estimation algorithm. We also propose a fast bootstrap algorithm to implement the bootstrap for the linearity test. We illustrate the use of xthenreg through a Monte Carlo simulation and an economic application.
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