Journal of Business & Economic Statistics最新文献

Modeling and inference for heterogeneous data have gained great interest recently due to rapid developments in personalized marketing. Most existing regression approaches are based on the conditional mean and may require additional cluster information to accommodate data heterogeneity. In this paper, we propose a novel nonparametric resolution-wise regression procedure to provide an estimated distribution of the response instead of one single value. We achieve this by decomposing the information of the response and the predictors into resolutions and patterns respectively based on marginal binary expansions. The relationships between resolutions and patterns are modeled by penalized logistic regressions. Combining the resolution-wise prediction, we deliver a histogram of the conditional response to approximate the distribution. Moreover, we show a sure independence screening property and the consistency of the proposed method for growing dimensions. Simulations and a real estate valuation dataset further illustrate the effectiveness of the proposed method.

This paper is part of a coordinated collection of papers on prime-age male earnings volatility. Each paper produces a similar set of statistics for the same reference population using a different primary data source. Our primary data source is the Census Bureau's Longitudinal Employer-Household Dynamics (LEHD) infrastructure files. Using LEHD data from 1998 to 2016, we create a well-defined population frame to facilitate accurate estimation of temporal changes comparable to designed longitudinal samples of people. We show that earnings volatility, excluding increases during recessions, has declined over the analysis period, a finding robust to various sensitivity analyses.

Compositional data arises in a wide variety of research areas when some form of standardization and composition is necessary. Estimating covariance matrices is of fundamental importance for high-dimensional compositional data analysis. However, existing methods require the restrictive Gaussian or sub-Gaussian assumption, which may not hold in practice. We propose a robust composition adjusted thresholding covariance procedure based on Huber-type M-estimation to estimate the sparse covariance structure of high-dimensional compositional data. We introduce a cross-validation procedure to choose the tuning parameters of the proposed method. Theoretically, by assuming a bounded fourth moment condition, we obtain the rates of convergence and signal recovery property for the proposed method and provide the theoretical guarantees for the cross-validation procedure under the high-dimensional setting. Numerically, we demonstrate the effectiveness of the proposed method in simulation studies and also a real application to sales data analysis.

Abstract

Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a time-varying network for cryptocurrencies, based on the evolution of return cross-predictability and technological similarities. We develop a dynamic covariate-assisted spectral clustering method to consistently estimate the latent community structure of cryptocurrencies network that accounts for both sets of information. We demonstrate that investors can achieve better risk diversification by investing in cryptocurrencies from different communities. A cross-sectional portfolio that implements an inter-crypto momentum trading strategy earns a 1.08% daily return. By dissecting the portfolio returns on behavioral factors, we confirm that our results are not driven by behavioral mechanisms.

We compare two approaches to using information about the signs of structural shocks at specific dates within a structural vector autoregression (SVAR): imposing "narrative restrictions" (NR) on the shock signs in an otherwise set-identified SVAR; and casting the information about the shock signs as a discrete-valued "narrative proxy" (NP) to point-identify the impulse responses. The NP is likely to be "weak" given that the sign of the shock is typically known in a small number of periods, in which case the weak-proxy robust confidence intervals in Montiel Olea, Stock, and Watson are the natural approach to conducting inference. However, we show both theoretically and via Monte Carlo simulations that these confidence intervals have distorted coverage-which may be higher or lower than the nominal level-unless the sign of the shock is known in a large number of periods. Regarding the NR approach, we show that the prior-robust Bayesian credible intervals from Giacomini, Kitagawa, and Read deliver coverage exceeding the nominal level, but which converges toward the nominal level as the number of NR increases.