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Working Paper
A Closer Look at the Behavior of Uncertainty and Disagreement: Micro Evidence from the Euro Area
Tracy, Joseph; Rich, Robert W. (2018-07-24)
This paper examines point and density forecasts of real GDP growth, inflation and unemployment from the European Central Bank?s Survey of Professional Forecasters. We present individual uncertainty measures and introduce individual point- and density-based measures of disagreement. The data indicate substantial heterogeneity and persistence in respondents? uncertainty and disagreement, with uncertainty associated with prominent respondent effects and disagreement associated with prominent time effects. We also examine the co-movement between uncertainty and disagreement and find an ...
Working Papers , Paper 1811

Working Paper
Spatial Dependence and Data-Driven Networks of International Banks
Craig, Ben R.; Saldias Zambrana, Martin (2016-12-02)
This paper computes data-driven correlation networks based on the stock returns of international banks and conducts a comprehensive analysis of their topological properties. We first apply spatial-dependence methods to filter the effects of strong common factors and a thresholding procedure to select the significant bilateral correlations. The analysis of topological characteristics of the resulting correlation networks shows many common features that have been documented in the recent literature but were obtained with private information on banks? exposures. Our analysis validates these ...
Working Papers (Old Series) , Paper 1627

Newsletter
Measuring the Effects of the Covid-19 Delta Wave on the U.S. Hourly Labor Market
Grove, Stephanie; Cole, Ross; Brave, Scott A. (2021-10-01)
In this article, we take a closer look at the implications of rising Covid-19 cases and vaccination rates for the U.S. hourly labor market. To do so, we rely on geographic variation in the high-frequency data collected by the firm Homebase with its timekeeping software. This data source allows us to make use of U.S. state-level variation on a daily basis in order to decompose the effects on hourly employees and hours worked from both rising cases and vaccinations.
Chicago Fed Letter , Issue 461 , Pages 6

Working Paper
exuber: Recursive Right-Tailed Unit Root Testing with R
http://fedora:8080/fcrepo/rest/objects/authors/; Martinez-Garcia, Enrique; Pavlidis, Efthymios (2020-05-12)
This paper introduces the R package exuber for testing and date-stamping periods of mildly explosive dynamics (exuberance) in time series. The package computes test statistics for the supremum ADF test (SADF) of Phillips, Wu and Yu (2011), the generalized SADF (GSADF) of Phillips, Shi and Yu (2015a,b), and the panel GSADF proposed by Pavlidis, Yusupova, Paya, Peel, Martínez-García, Mack and Grossman (2016); generates finite-sample critical values based on Monte Carlo and bootstrap methods; and implements the corresponding date-stamping procedures. The recursive least-squares algorithm that ...
Globalization Institute Working Papers , Paper 383

Working Paper
Density Forecasts in Panel Data Models : A Semiparametric Bayesian Perspective
Liu, Laura (2018-05-22)
This paper constructs individual-specific density forecasts for a panel of firms or households using a dynamic linear model with common and heterogeneous coefficients and cross-sectional heteroskedasticity. The panel considered in this paper features a large cross-sectional dimension N but short time series T. Due to the short T, traditional methods have difficulty in disentangling the heterogeneous parameters from the shocks, which contaminates the estimates of the heterogeneous parameters. To tackle this problem, I assume that there is an underlying distribution of heterogeneous parameters, ...
Finance and Economics Discussion Series , Paper 2018-036

Working Paper
Countercyclical policy and the speed of recovery after recessions
Owyang, Michael T.; Francis, Neville; Jackson, Laura E. (2013)
We consider the effect of some policies intended to shorten recessions and accelerate recoveries. Our innovation is to analyze the duration of the recoveries of various U.S. states, which gives us a cross-section of both state- and national-level policies. Because we study multiple recessions for the same state and multiple states for the same recession, we can control for differences in the economic conditions preceding recessions and the causes of the recessions when evaluating various policies. We find that expansionary monetary policy at the national level helps to stimulate the exit of ...
Working Papers , Paper 2013-032

Working Paper
A Local Projections Approach to Difference-in-Differences Event Studies
Jordà, Òscar; Girardi, Daniele; Dube, Arindrajit; Taylor, Alan M. (2023-04-20)
Many of the challenges in the estimation of dynamic heterogeneous treatment effects can be resolved with local projection (LP) estimators of the sort used in applied macroeconometrics. This approach provides a convenient alternative to the more complicated solutions proposed in the recent literature on Difference in-Differences (DiD). The key is to combine LPs with a flexible ‘clean control’ condition to define appropriate sets of treated and control units. Our proposed LP-DiD estimator is clear, simple, easy and fast to compute, and it is transparent and flexible in its handling of ...
Working Paper Series , Paper 2023-12

Report
Approximating Grouped Fixed Effects Estimation via Fuzzy Clustering Regression
Lewis, Daniel J.; Melcangi, Davide; Pilossoph, Laura; Toner-Rodgers, Aidan (2022-09-01)
We propose a new, computationally-efficient way to approximate the “grouped fixed-effects” (GFE) estimator of Bonhomme and Manresa (2015), which estimates grouped patterns of unobserved heterogeneity. To do so, we generalize the fuzzy C-means objective to regression settings. As the regularization parameter m approaches 1, the fuzzy clustering objective converges to the GFE objective; moreover, we recast this objective as a standard Generalized Method of Moments problem. We replicate the empirical results of Bonhomme and Manresa (2015) and show that our estimator delivers almost identical ...
Staff Reports , Paper 1033

Working Paper
Visualization, Identification, and stimation in the Linear Panel Event-Study Design
Freyaldenhoven, Simon; Hansen, Christian; Shapiro, Jesse; Perez Perez, Jorge (2021-12-20)
Linear panel models, and the “event-study plots” that often accompany them, are popular tools for learning about policy effects. We discuss the construction of event-study plots and suggest ways to make them more informative. We examine the economic content of different possible identifying assumptions. We explore the performance of the corresponding estimators in simulations, highlighting that a given estimator can perform well or poorly depending on the economic environment. An accompanying Stata package, xtevent, facilitates adoption of our suggestions.
Working Papers , Paper 21-44

Working Paper
An Augmented Anderson-Hsiao Estimator for Dynamic Short-T Panels
Pesaran, M. Hashem; Chudik, Alexander (2020-03-26)
This paper introduces the idea of self-instrumenting endogenous regressors in settings when the correlation between these regressors and the errors can be derived and used to bias-correct the moment conditions. The resulting bias-corrected moment conditions are less likely to be subject to the weak instrument problem and can be used on their own and/or augmented with other available moment conditions (if any) to obtain more efficient estimators. This approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. This paper focuses on the latter, ...
Globalization Institute Working Papers , Paper 327

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