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Jel Classification:C13 

Working Paper
Bayesian Estimation and Comparison of Conditional Moment Models
Simoni, Anna; Shin, Minchul; Chib, Siddhartha (2019-12-09)
We provide a Bayesian analysis of models in which the unknown distribution of the outcomes is speci?ed up to a set of conditional moment restrictions. This analysis is based on the nonparametric exponentially tilted empirical likelihood (ETEL) function, which is constructed to satisfy a sequence of unconditional moments, obtained from the conditional moments by an increasing (in sample size) vector of approximating functions (such as tensor splines based on the splines of each conditioning variable). The posterior distribution is shown to satisfy the Bernstein-von Mises theorem, subject to a ...
Working Papers , Paper 19-51

Working Paper
Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels
Smith, Ron P.; Chudik, Alexander; Pesaran, M. Hashem (2023-11-08)
Using a transformation of the autoregressive distributed lag model due to Bewley, a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics is proposed. The PB estimator is directly comparable to the widely used Pooled Mean Group (PMG) estimator, and is shown to be consistent and asymptotically normal. Monte Carlo simulations show good small sample performance of PB compared to the existing estimators in the literature, namely PMG, panel dynamic OLS (PDOLS) and panel fully-modified OLS (FMOLS). Application of two bias-correction ...
Globalization Institute Working Papers , Paper 409

Report
Comment on "Star Wars: The Empirics Strike Back"
Gorajek, Adam; Malin, Benjamin A. (2021-11-18)
Using a novel meta-analytical method, Brodeur et al. (2016) argue that hypothesis tests in top economic journals have exaggerated levels of statistical significance. Brodeur et al. (2020) apply the same method to another sample of hypothesis tests, obtaining similar results. We investigate the reliability of the method by highlighting questionable assumptions and compiling a dataset to examine their merits. Our findings support the original conclusions.
Staff Report , Paper 629

Report
A Jackknife Variance Estimator for Panel Regressions
Lopez Gaffney, Ignacio; Crump, Richard K.; Gospodinov, Nikolay (2024-10-01)
We introduce a new jackknife variance estimator for panel-data regressions. Our variance estimator can be motivated as the conventional leave-one-out jackknife variance estimator on a transformed space of the regressors and residuals using orthonormal trigonometric basis functions. We prove the asymptotic validity of our variance estimator and demonstrate desirable finite-sample properties in a series of simulation experiments. We also illustrate how our method can be used for jackknife bias-correction in a variety of time-series settings.
Staff Reports , Paper 1133

Working Paper
The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited
Lahaye, Jerome; Neely, Christopher J. (2014-10-01)
This paper extends the previous literature on geographic (heat waves) and intertemporal (meteor showers) foreign exchange volatility transmission to characterize the role of jumps and cross-rate propagation. We employ heterogeneous autoregressive (HAR) models to capture the quasi-long-memory properties of volatility and the Shapley-Owen R2 measure to quantify the contributions of components. We conclude that meteor showers are more influential than heat waves, that jumps play a modest but significant role in volatility transmission and that significant, bidirectional cross-rate volatility ...
Working Papers , Paper 2014-034

Working Paper
Half-panel jackknife fixed effects estimation of panels with weakly exogenous regressor
Chudik, Alexander; Yang, Jui-Chung; Pesaran, M. Hashem (2016-08-31)
This paper considers estimation and inference in fixed effects (FE) panel regression models with lagged dependent variables and/or other weakly exogenous (or predetermined) regressors when NN (the cross section dimension) is large relative to TT (the time series dimension). The paper first derives a general formula for the bias of the FE estimator which is a generalization of the Nickell type bias derived in the literature for the pure dynamic panel data models. It shows that in the presence of weakly exogenous regressors, inference based on the FE estimator will result in size distortions ...
Globalization Institute Working Papers , Paper 281

Report
Star Wars at Central Banks
Gorajek, Adam; Malin, Benjamin A.; Bank, Joel; Fitchett, Hamish; Staib, Andrew (2021-02-11)
We investigate the credibility of central bank research by searching for traces of researcher bias, which is a tendency to use undisclosed analytical procedures that raise measured levels of statistical significance (stars) in artificial ways. To conduct our search, we compile a new dataset and borrow 2 bias-detection methods from the literature: the p-curve and z-curve. The results are mixed. The p-curve shows no traces of researcher bias but has a high propensity to produce false negatives. The z-curve shows some traces of researcher bias but requires strong assumptions. We examine those ...
Staff Report , Paper 620

Working Paper
Technical note on \"assessing Bayesian model comparison in small samples\"
Wynne, Mark A.; Martinez-Garcia, Enrique (2014-08-01)
This technical note is developed as a companion to the paper ?Assessing Bayesian Model Comparison in Small Samples? (Globalization and Monetary Policy Institute working paper no. 189). Taking the workhorse open-economy model of Martnez-Garca and Wynne (2010) with nominal rigidities under monopolistic competition as our Data-Generating Process, we investigate with simulated data how Bayesian model comparison based on posterior odds performs when the model becomes arbitrarily close to a closed-economy and/or an economy with flexible prices and perfect competition. This technical note elaborates ...
Globalization Institute Working Papers , Paper 190

Working Paper
Minimum distance estimation of possibly non-invertible moving average models
Ng, Serena; Gospodinov, Nikolay (2013)
This paper considers estimation of moving average (MA) models with non-Gaussian errors. Information in higher-order cumulants allows identification of the parameters without imposing invertibility. By allowing for an unbounded parameter space, the generalized method of moments estimator of the MA(1) model has classical (root-T and asymptotic normal) properties when the moving average root is inside, outside, and on the unit circle. For more general models where the dependence of the cumulants on the model parameters is analytically intractable, we consider simulation-based estimators with two ...
FRB Atlanta Working Paper , Paper 2013-11

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