This paper introduces a novel approach for estimating heterogeneous-agent macroeconomic models adding information from micro data. The methodology covers both panels and repeated cross sections, with applications to a wide class of dynamic structural models used in macroeconomics. The routine involves the estimation of dynamic moments over subgroups of the cross-sectional dimension of agents. Micro moments differ from each other in the informative content that they carry for point estimation of the structural parameters. For instance, variability of moments over the cross-sectional distribution of households' wealth contain relevant information for the correct estimation of the subjective discount rate. However, data from the cross section are not relevant for the identification of a technology shock.
{"title":"Structural Estimation Combining Micro and Macro Data","authors":"Luca Neri","doi":"10.2139/ssrn.3911041","DOIUrl":"https://doi.org/10.2139/ssrn.3911041","url":null,"abstract":"This paper introduces a novel approach for estimating heterogeneous-agent macroeconomic models adding information from micro data. The methodology covers both panels and repeated cross sections, with applications to a wide class of dynamic structural models used in macroeconomics. The routine involves the estimation of dynamic moments over subgroups of the cross-sectional dimension of agents. Micro moments differ from each other in the informative content that they carry for point estimation of the structural parameters. For instance, variability of moments over the cross-sectional distribution of households' wealth contain relevant information for the correct estimation of the subjective discount rate. However, data from the cross section are not relevant for the identification of a technology shock.","PeriodicalId":384078,"journal":{"name":"ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116906018","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Cross-country estimates of Taylor rules suggest that higher data uncertainty is associated with a more inertial behavior of interest rates. Data uncertainty is measured by the volatility of differences between real-time data and their revisions. Using a simple structural model with Kalman filter learning, I replicate the cross-country pattern of the inertial behavior. More inertial behavior results not because central banks gradually adjust interest rates in the face of data uncertainty, but because the central banks' inference about the true data is correlated with past interest rates. Thus, I endogenize the inertial behavior of interest rates as resulting in part from the learning process.
{"title":"Monetary Policy under Data Uncertainty: Interest-Rate Smoothing from a Cross-Country Perspective","authors":"Saiah Lee","doi":"10.2139/ssrn.3757399","DOIUrl":"https://doi.org/10.2139/ssrn.3757399","url":null,"abstract":"Cross-country estimates of Taylor rules suggest that higher data uncertainty is associated with a more inertial behavior of interest rates. Data uncertainty is measured by the volatility of differences between real-time data and their revisions. Using a simple structural model with Kalman filter learning, I replicate the cross-country pattern of the inertial behavior. More inertial behavior results not because central banks gradually adjust interest rates in the face of data uncertainty, but because the central banks' inference about the true data is correlated with past interest rates. Thus, I endogenize the inertial behavior of interest rates as resulting in part from the learning process.","PeriodicalId":384078,"journal":{"name":"ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic)","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117253538","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In this short piece, we posit that data stewards and digital fiduciaries, by enabling greater participation in data-related decisions, can nudge society towards greater social and economic equity. First, we locate data stewards and digital fiduciaries within the broader debate on new data paradigms, and discuss their respective roles at the individual and community level. Drawing from literature on community stewardship of environmental resources, the paper relatedly touches upon possible duties and business models for data stewards and digital fiduciaries.
Thereafter, we discuss conceptual and anecdotal links between “ladders” of participation and greater equity in the context of data. While strong links are posited between participation as facilitated by stewards and forms of data equity, there remains a need to establish, research, and evaluate the potential and limitations of data stewards and digital fiduciaries in the “wild.” The paper concludes with specific questions designed to build a body of work that explores the role that stewards/fiduciaries can play in rebalancing power in the data economy.
{"title":"Nudging Towards Data Equity: The Role of Stewardship and Fiduciaries in the Digital Economy","authors":"A. Kapoor, R. Whitt","doi":"10.2139/ssrn.3791845","DOIUrl":"https://doi.org/10.2139/ssrn.3791845","url":null,"abstract":"In this short piece, we posit that data stewards and digital fiduciaries, by enabling greater participation in data-related decisions, can nudge society towards greater social and economic equity. First, we locate data stewards and digital fiduciaries within the broader debate on new data paradigms, and discuss their respective roles at the individual and community level. Drawing from literature on community stewardship of environmental resources, the paper relatedly touches upon possible duties and business models for data stewards and digital fiduciaries.<br><br>Thereafter, we discuss conceptual and anecdotal links between “ladders” of participation and greater equity in the context of data. While strong links are posited between participation as facilitated by stewards and forms of data equity, there remains a need to establish, research, and evaluate the potential and limitations of data stewards and digital fiduciaries in the “wild.” The paper concludes with specific questions designed to build a body of work that explores the role that stewards/fiduciaries can play in rebalancing power in the data economy.<br>","PeriodicalId":384078,"journal":{"name":"ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129962408","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Gabriel Ehrlich, J. Haltiwanger, Ron S. Jarmin, David Johnson, M. Shapiro
Traditional methods of collecting data from businesses and households face increasing challenges. These include declining response rates to surveys, increasing costs to traditional modes of data collection, and the difficulty of keeping pace with rapid changes in the economy. The digitization of virtually all market transactions offers the potential for re-engineering key national economic indicators. The challenge for the statistical system is how to operate in this data-rich environment. This paper focuses on the opportunities for collecting item-level data at the source and constructing key indicators using measurement methods consistent with such a data infrastructure. Ubiquitous digitization of transactions allows price and quantity be collected or aggregated simultaneously at the source. This new architecture for economic statistics creates challenges arising from the rapid change in items sold. The paper explores some recently proposed techniques for estimating price and quantity indices in large scale item-level data. Although those methods display tremendous promise, substantially more research is necessary before they will be ready to serve as the basis for the official economic statistics. Finally, the paper addresses implications for building national statistics from transactions for data collection and for the capabilities and organization of the statistical agencies in the 21st century.
{"title":"Re-Engineering Key National Economic Indicators","authors":"Gabriel Ehrlich, J. Haltiwanger, Ron S. Jarmin, David Johnson, M. Shapiro","doi":"10.2139/ssrn.3427429","DOIUrl":"https://doi.org/10.2139/ssrn.3427429","url":null,"abstract":"Traditional methods of collecting data from businesses and households face increasing challenges. These include declining response rates to surveys, increasing costs to traditional modes of data collection, and the difficulty of keeping pace with rapid changes in the economy. The digitization of virtually all market transactions offers the potential for re-engineering key national economic indicators. The challenge for the statistical system is how to operate in this data-rich environment. This paper focuses on the opportunities for collecting item-level data at the source and constructing key indicators using measurement methods consistent with such a data infrastructure. Ubiquitous digitization of transactions allows price and quantity be collected or aggregated simultaneously at the source. This new architecture for economic statistics creates challenges arising from the rapid change in items sold. The paper explores some recently proposed techniques for estimating price and quantity indices in large scale item-level data. Although those methods display tremendous promise, substantially more research is necessary before they will be ready to serve as the basis for the official economic statistics. Finally, the paper addresses implications for building national statistics from transactions for data collection and for the capabilities and organization of the statistical agencies in the 21st century.","PeriodicalId":384078,"journal":{"name":"ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic)","volume":"264 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133731387","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We present three in-detail quantitative trading ideas for equity markets in China and Japan. First idea discusses the emerging 50 ETF option markets in China and the feasibility of a covered call strategy. Second idea evaluates the opportunities implied by the ETF purchase program of Bank of Japan. Third idea demonstrates the predicting effectiveness of Chinese short selling and margin buying data with feature selection. Limitations and concerns for each idea is discussed separately. With a valuation model established in the first section, we are able to value each trading idea at 1.5M, 0.46M and 0.33M USD respectively, based on derived estimates of strategy performances and investment characteristics.
{"title":"Quant Research Ideas to Test for ETF Option and Equity Markets in China and Japan","authors":"Jingzhong Zhang","doi":"10.2139/ssrn.2787497","DOIUrl":"https://doi.org/10.2139/ssrn.2787497","url":null,"abstract":"We present three in-detail quantitative trading ideas for equity markets in China and Japan. First idea discusses the emerging 50 ETF option markets in China and the feasibility of a covered call strategy. Second idea evaluates the opportunities implied by the ETF purchase program of Bank of Japan. Third idea demonstrates the predicting effectiveness of Chinese short selling and margin buying data with feature selection. Limitations and concerns for each idea is discussed separately. With a valuation model established in the first section, we are able to value each trading idea at 1.5M, 0.46M and 0.33M USD respectively, based on derived estimates of strategy performances and investment characteristics.","PeriodicalId":384078,"journal":{"name":"ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125524986","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Mathematics is a very important subject in the science of education. But mathematics subjects are also one of the subjects that are feared or hated by most students. Mathematics is a very important subject in the science of education. But mathematics subjects are also one of the subjects that are most feared or hated by most students. Like it or not, happy not happy, all students must learn mathematics. The peak of ability in mathematics is solving problems. The ability of each student to solve the problem is certainly different. Therefore this study intends to examine the media of fun mathematics learning through educational games intended for students to feel more happy when learning mathematics subjects. The educational game that will be reviewed by the writer is an educational game that has the genre of Role Playing Game (RPG).
{"title":"Educational Game in Mathematics Subjects","authors":"Fadhlika nur Rohadatul aisy","doi":"10.2139/ssrn.3395753","DOIUrl":"https://doi.org/10.2139/ssrn.3395753","url":null,"abstract":"Mathematics is a very important subject in the science of education. But mathematics subjects are also one of the subjects that are feared or hated by most students. Mathematics is a very important subject in the science of education. But mathematics subjects are also one of the subjects that are most feared or hated by most students. Like it or not, happy not happy, all students must learn mathematics. The peak of ability in mathematics is solving problems. The ability of each student to solve the problem is certainly different. Therefore this study intends to examine the media of fun mathematics learning through educational games intended for students to feel more happy when learning mathematics subjects. The educational game that will be reviewed by the writer is an educational game that has the genre of Role Playing Game (RPG).","PeriodicalId":384078,"journal":{"name":"ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic)","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115411383","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper considers the time-varying asymmetric correlation between the stock and government bond price returns of the five peripheral EU countries during the EU sovereign crisis. To this end this paper proposes a new asymmetric copula using the split-normal distribution. The time-varying correlation coefficients are estimated by the particle filter method in the state-space framework. It finds a strong asymmetry in the early stage of the crisis, namely positive lower-tail correlation and negative upper-tail correlation of the stock-bond distribution, which the other copulas cannot express. It also finds that the signs of the correlations changed from negative to positive in the crisis.
{"title":"A New Time-Varying Asymmetric Copula Analysis of the EU Sovereign Debt Crisis","authors":"Masahito Kobayashi","doi":"10.2139/ssrn.3335602","DOIUrl":"https://doi.org/10.2139/ssrn.3335602","url":null,"abstract":"This paper considers the time-varying asymmetric correlation between the stock and government bond price returns of the five peripheral EU countries during the EU sovereign crisis. To this end this paper proposes a new asymmetric copula using the split-normal distribution. The time-varying correlation coefficients are estimated by the particle filter method in the state-space framework. \u0000 \u0000It finds a strong asymmetry in the early stage of the crisis, namely positive lower-tail correlation and negative upper-tail correlation of the stock-bond distribution, which the other copulas cannot express. It also finds that the signs of the correlations changed from negative to positive in the crisis.","PeriodicalId":384078,"journal":{"name":"ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic)","volume":"62 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125213779","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Wolfgang Aussenegg, Louisa Chen, R. Jelic, D. Maringer
We use a 3-factor Regime Switching Threshold model to study common factors in the excess returns of 18 European corporate bond indices during 2000-2014. Our results document significant time variation of the common factors across bond indices for different maturities, ratings and industries. The conditional response is particularly evident for the liquidity factor. We also compare models with different transition variables and identify key drivers of regime switches in the excess returns of sample bond indices.
{"title":"Time Varying Factors in the Performance of Corporate Bond Indices","authors":"Wolfgang Aussenegg, Louisa Chen, R. Jelic, D. Maringer","doi":"10.2139/ssrn.3303160","DOIUrl":"https://doi.org/10.2139/ssrn.3303160","url":null,"abstract":"We use a 3-factor Regime Switching Threshold model to study common factors in the excess returns of 18 European corporate bond indices during 2000-2014. Our results document significant time variation of the common factors across bond indices for different maturities, ratings and industries. The conditional response is particularly evident for the liquidity factor. We also compare models with different transition variables and identify key drivers of regime switches in the excess returns of sample bond indices.<br><br>","PeriodicalId":384078,"journal":{"name":"ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic)","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122742267","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Many careers find within-family career following common including law, politics, business, agriculture, medicine, entertainment, and professional sports. As children enter the same career as their parents, there are potential benefits: physical-capital transfer, human-capital transfer, brandname- loyalty transfer, and/or nepotism. In Formula One (auto racing) career following is also common where many sons follow their father into racing and many brothers race at the same time. Using a panel describing the annual statistics for drivers from 1953-2011, we find that the brothers of Formula One drivers appear to benefit from human capital transfer and nepotism but that sons gain little from human capital transfer and do not enjoy nepotism. We do find, however, that only the best drivers have sons who follow them into racing suggesting that sons can extend the brand name-loyalty their famous fathers have created. Key Words: Motorsports, Nepotism, Human Capital, Brand Loyalty.
{"title":"On-Line Appendix for Family Connections in Motorsports: The Case of Formula One","authors":"C. Depken, Peter A. Groothuis, K. Rotthoff","doi":"10.2139/ssrn.3239602","DOIUrl":"https://doi.org/10.2139/ssrn.3239602","url":null,"abstract":"Many careers find within-family career following common including law, politics, business, agriculture, medicine, entertainment, and professional sports. As children enter the same career as their parents, there are potential benefits: physical-capital transfer, human-capital transfer, brandname- loyalty transfer, and/or nepotism. In Formula One (auto racing) career following is also common where many sons follow their father into racing and many brothers race at the same time. Using a panel describing the annual statistics for drivers from 1953-2011, we find that the brothers of Formula One drivers appear to benefit from human capital transfer and nepotism but that sons gain little from human capital transfer and do not enjoy nepotism. We do find, however, that only the best drivers have sons who follow them into racing suggesting that sons can extend the brand name-loyalty their famous fathers have created. Key Words: Motorsports, Nepotism, Human Capital, Brand Loyalty.","PeriodicalId":384078,"journal":{"name":"ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic)","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115181616","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We use numerous high-frequency transaction data sets to evaluate the forecasting performances of several dynamic ordinal-response time series models with generalized autoregressive conditional heteroscedasticity (GARCH). The specifications account for three components: leverage effects, in-mean effects and moving average error terms. We estimate the model parameters by developing Markov chain Monte Carlo algorithms. Our empirical analysis shows that the proposed ordinal-response GARCH models achieve better point and density forecasts than standard benchmarks.
{"title":"Ordinal-Response GARCH Models for Transaction Data: A Forecasting Exercise","authors":"S. Dimitrakopoulos, M. Tsionas","doi":"10.2139/ssrn.3210078","DOIUrl":"https://doi.org/10.2139/ssrn.3210078","url":null,"abstract":"We use numerous high-frequency transaction data sets to evaluate the forecasting performances of several dynamic ordinal-response time series models with generalized autoregressive conditional heteroscedasticity (GARCH). The specifications account for three components: leverage effects, in-mean effects and moving average error terms. We estimate the model parameters by developing Markov chain Monte Carlo algorithms. Our empirical analysis shows that the proposed ordinal-response GARCH models achieve better point and density forecasts than standard benchmarks.","PeriodicalId":384078,"journal":{"name":"ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic)","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127817118","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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