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Showing papers in "Journal of Econometrics in 2008"


Journal ArticleDOI
TL;DR: In regression discontinuity (RD) as mentioned in this paper, assignment to a treatment is determined at least partly by the value of an observed covariate lying on either side of a fixed threshold.

2,509 citations


Journal ArticleDOI
TL;DR: In this paper, a test of manipulation related to continuity of the running variable density function was developed for popular elections to the House of Representatives and roll call voting in the House, where sorting is neither expected nor found.

2,166 citations


Journal ArticleDOI
TL;DR: In this article, a standardized version of Swamy's test of slope homogeneity for panel data models where the cross section dimension (N ) could be large relative to the time series dimension (T ) was proposed.

1,819 citations


Journal ArticleDOI
TL;DR: In this article, the authors established the relatively weak conditions under which causal inferences from a regressiondiscontinuity analysis can be as credible as those from a randomized experiment, and hence under which the validity of the RD design can be tested by examining whether or not there is a discontinuity in any pre-determined (or baseline) variables at the RD threshold.

1,591 citations


Journal ArticleDOI
TL;DR: The authors revisited the effects of spending on student performance using data from the state of Michigan and found that spending has nontrivial and statistically significant effects, although the diminishing effect is not especially pronounced.

1,090 citations


Journal ArticleDOI
TL;DR: This work examines covariance matrix estimation in the asymptotic framework that the dimensionality p tends to [infinity] as the sample size n increases and identifies situations under which the factor approach increases performance substantially or marginally.

678 citations


Journal ArticleDOI
TL;DR: In this paper, a simple econometric procedure is proposed to account for uncertainty in the choice of functional form for regression discontinuity (RD) designs with discrete support, where deviations of the true regression function from a given approximating function are modeled as random.

609 citations


Journal ArticleDOI
TL;DR: In this paper, the authors considered the non-linearity of the link function between the predictors and the factors to allow for nonlinearity in the forecasting equation and found improvements at all forecast horizons over the current diffusion index forecasts using fewer but informative predictors.

585 citations


Journal ArticleDOI
TL;DR: In this article, the authors investigated the asymptotic properties of quasi-maximum likelihood estimators for spatial dynamic panel data with the same number of individuals and the number of time periods.

490 citations


Journal ArticleDOI
TL;DR: In this article, robust inference procedures for an instrumental variables model defined by Y = D α (U ) where D is strictly increasing in U and U is a uniform variable that may depend on D but is independent of a set of instrumental variables Z are developed.

453 citations


Journal ArticleDOI
TL;DR: In this article, the authors consider Bayesian regression with normal and double-exponential priors as forecasting methods based on large panels of time series and show that these forecasts are highly correlated with principal component forecasts and that they perform equally well for a wide range of prior choices.

Journal ArticleDOI
TL;DR: In this article, the wild bootstrap is studied in the context of regression models with heteroskedastic disturbances, and it is shown that perfect bootstrap inference is possible, and a substantial reduction in the error in the rejection probability of a bootstrap test is available much more generally.

Journal ArticleDOI
TL;DR: Monte Carlo experiments for the mixed logit model indicate the superior performance of the proposed Gaussian quadrature extension over simulation techniques.

Journal ArticleDOI
TL;DR: In this paper, a term structure model which parsimoniously exploits a broad macroeconomic information set is proposed, which uses the short rate and the common components of a large number of macroeconomic variables as factors.

Journal ArticleDOI
TL;DR: A model of retirement and savings incorporating limited borrowing, stochastic wage offers, health status and survival, social security benefits, Medicare and employer provided health insurance coverage, and intentional bequests is developed and estimated.

Journal ArticleDOI
TL;DR: This paper reviewed the history of the regression discontinuity design in three academic disciplines, including economics, psychology, and sociology, and described the design's birth and subsequent demise in psychology even though most problems with it had been solved there.

Journal ArticleDOI
TL;DR: The MMA forecasts have low MSFE and have much lower maximum regret than other feasible forecasting methods, including equal weighting, BIC selection, weighted BIC, AIC selection), weighted AIC, Bates-Granger combination, predictive least squares, and Granger-Ramanathan combination.

Journal ArticleDOI
TL;DR: In this article, the authors evaluate the work disincentive effects of the disability insurance (DI) program during the 1990s using comparison group and regression-discontinuity methods.

Journal ArticleDOI
TL;DR: In this paper, the authors test for price discontinuities in a panel of high-frequency intraday stock returns and an equi-weighted index constructed from the same stocks using a new test for common jumps that explicitly utilizes the cross-covariance structure in the returns to identify non-diversifiable jumps.

Journal ArticleDOI
TL;DR: In this article, a Bayesian stochastic search approach is proposed to select restrictions for vector autoregressive (VAR) models, which can be applied to VAR modeling of inflation transmission from PPI components to the consumer price index (CPI).

Journal ArticleDOI
TL;DR: Fan and Li as mentioned in this paper showed that any estimator satisfying a sparsity property has maximal risk that converges to the supremum of the loss function; in particular, the maximal risk diverges to infinity whenever the loss functions is unbounded.

Journal ArticleDOI
TL;DR: In this paper, a targeted program that extends the maximum duration of unemployment benefits from 30 weeks to 209 weeks in Austria was studied, and the authors found that the duration of job search is prolonged by at least 0.09 weeks per additional week of benefits among men, whereas unemployment duration increases by at most 0.32 weeks for women.

Journal ArticleDOI
TL;DR: In this paper, a general solution to the problem of identification and estimation of nonlinear models with misclassification error in a general discrete explanatory variable using instrumental variables is provided, and the model can be expressed as an explicit function of directly observed distribution functions.

Journal ArticleDOI
TL;DR: This paper introduces an iterative nonparametric kernel estimator and proposes test statistics to test between the three alternatives in practice to determine whether a parametric, semiparametric or non parametric model is appropriate.

Journal ArticleDOI
TL;DR: In this article, the authors proposed a new test for jumps in asset prices that is motivated by the literature on variance swaps and derived its power from the impact of jumps on the third and higher order return moments.

Journal ArticleDOI
TL;DR: In this article, the authors extend the Diebold-Li model to a global context, modeling a potentially large set of country yield curves in a framework that allows for both global and country-specific factors.

Journal ArticleDOI
TL;DR: In this paper, the effects of social assistance on various labour market outcomes using a regression discontinuity approach were investigated and strong evidence that more generous social assistance benefits reduce employment was found.

Journal ArticleDOI
TL;DR: In this article, the authors exploit the fact that students are mandated to attend summer school based on a discontinuous function of their score on year-end exams to identify the effect of summer school attendance on achievement.

Journal ArticleDOI
TL;DR: In this article, the authors compare the forecasts of Quadratic Variation given by the Realized Volatility (RV) and the Two Scales Realized VOLUME 7, 2019 (TSRV), under several different dynamics for the volatility process and assumptions on the noise.

Journal ArticleDOI
TL;DR: In this article, the authors estimate a Bayesian learning model with heterogeneity aimed at explaining expert forecast disagreement and its evolution over horizons, and find significant heterogeneity in the nature of inefficiency across horizons and countries.