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description Publicationkeyboard_double_arrow_right Preprint , Article 2021Institute of Mathematical Statistics EC | ROMIA, SSHRC, UKRI | Advancing Microdata Model...EC| ROMIA ,SSHRC ,UKRI| Advancing Microdata Models and MethodsAuthors: Lee, Sokbae; Liao, Yuan; Seo, Myung Hwan; Shin, Youngki;Lee, Sokbae; Liao, Yuan; Seo, Myung Hwan; Shin, Youngki;We propose a novel two-regime regression model where regime switching is driven by a vector of possibly unobservable factors. When the factors are latent, we estimate them by the principal component analysis of a panel data set. We show that the optimization problem can be reformulated as mixed integer optimization, and we present two alternative computational algorithms. We derive the asymptotic distribution of the resulting estimator under the scheme that the threshold effect shrinks to zero. In particular, we establish a phase transition that describes the effect of first-stage factor estimation as the cross-sectional dimension of panel data increases relative to the time-series dimension. Moreover, we develop bootstrap inference and illustrate our methods via numerical studies.
arXiv.org e-Print Ar... arrow_drop_down The Annals of StatisticsOther literature type . Article . 2021https://doi.org/10.48550/arxiv...Article . 2018License: arXiv Non-Exclusive DistributionData sources: Dataciteadd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
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For further information contact us at helpdesk@openaire.eu7 citations 7 popularity Top 10% influence Average impulse Top 10% Powered by BIP!more_vert arXiv.org e-Print Ar... arrow_drop_down The Annals of StatisticsOther literature type . Article . 2021https://doi.org/10.48550/arxiv...Article . 2018License: arXiv Non-Exclusive DistributionData sources: Dataciteadd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.1214/20-aos2017&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eudescription Publicationkeyboard_double_arrow_right Article , Preprint 2019Elsevier BV SSHRC, UKRI | Advancing Microdata Model..., EC | ROMIASSHRC ,UKRI| Advancing Microdata Models and Methods ,EC| ROMIAAuthors: Lee, Sokbae; Liao, Yuan; Seo, Myung Hwan; Shin, Youngki;Lee, Sokbae; Liao, Yuan; Seo, Myung Hwan; Shin, Youngki;pmc: PMC7361205
pmid: 32836518
We investigate state-dependent effects of fiscal multipliers and allow for endogenous sample splitting to determine whether the US economy is in a slack state. When the endogenized slack state is estimated as the period of the unemployment rate higher than about 12 percent, the estimated cumulative multipliers are significantly larger during slack periods than non-slack periods and are above unity. We also examine the possibility of time-varying regimes of slackness and find that our empirical results are robust under a more flexible framework. Our estimation results point out the importance of the heterogenous effects of fiscal policy and shed light on the prospect of fiscal policy in response to economic shocks from the current COVID-19 pandemic. Comment: 15 pages, 5 figures, 2 table
Economic Inquiry arrow_drop_down https://doi.org/10.48550/arxiv...Article . 2019License: arXiv Non-Exclusive DistributionData sources: Dataciteadd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.2139/ssrn.3458473&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eu5 citations 5 popularity Top 10% influence Average impulse Average Powered by BIP!more_vert Economic Inquiry arrow_drop_down https://doi.org/10.48550/arxiv...Article . 2019License: arXiv Non-Exclusive DistributionData sources: Dataciteadd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.2139/ssrn.3458473&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eudescription Publicationkeyboard_double_arrow_right Preprint 2021Embargo end date: 01 Jan 2021arXiv SSHRC, EC | ROMIA, UKRI | Advancing Microdata Model... +2 projectsSSHRC ,EC| ROMIA ,UKRI| Advancing Microdata Models and Methods ,EC| PANEDA ,NSF| Issues in Estimation of Structural Economic ModelsAuthors: Honoré, Bo E.; Muris, Chris; Weidner, Martin;Honoré, Bo E.; Muris, Chris; Weidner, Martin;This paper studies a dynamic ordered logit model for panel data with fixed effects. The main contribution of the paper is to construct a set of valid moment conditions that are free of the fixed effects. The moment functions can be computed using four or more periods of data, and the paper presents sufficient conditions for the moment conditions to identify the common parameters of the model, namely the regression coefficients, the autoregressive parameters, and the threshold parameters. The availability of moment conditions suggests that these common parameters can be estimated using the generalized method of moments, and the paper documents the performance of this estimator using Monte Carlo simulations and an empirical illustration to self-reported health status using the British Household Panel Survey.
arXiv.org e-Print Ar... arrow_drop_down https://doi.org/10.48550/arxiv...Other literature type . Article . 2021License: arXiv Non-Exclusive Distributionadd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.48550/arxiv.2107.03253&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eu0 citations 0 popularity Average influence Average impulse Average Powered by BIP!more_vert arXiv.org e-Print Ar... arrow_drop_down https://doi.org/10.48550/arxiv...Other literature type . Article . 2021License: arXiv Non-Exclusive Distributionadd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.48550/arxiv.2107.03253&type=result"></script>'); --> </script>
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description Publicationkeyboard_double_arrow_right Preprint , Article 2021Institute of Mathematical Statistics EC | ROMIA, SSHRC, UKRI | Advancing Microdata Model...EC| ROMIA ,SSHRC ,UKRI| Advancing Microdata Models and MethodsAuthors: Lee, Sokbae; Liao, Yuan; Seo, Myung Hwan; Shin, Youngki;Lee, Sokbae; Liao, Yuan; Seo, Myung Hwan; Shin, Youngki;We propose a novel two-regime regression model where regime switching is driven by a vector of possibly unobservable factors. When the factors are latent, we estimate them by the principal component analysis of a panel data set. We show that the optimization problem can be reformulated as mixed integer optimization, and we present two alternative computational algorithms. We derive the asymptotic distribution of the resulting estimator under the scheme that the threshold effect shrinks to zero. In particular, we establish a phase transition that describes the effect of first-stage factor estimation as the cross-sectional dimension of panel data increases relative to the time-series dimension. Moreover, we develop bootstrap inference and illustrate our methods via numerical studies.
arXiv.org e-Print Ar... arrow_drop_down The Annals of StatisticsOther literature type . Article . 2021https://doi.org/10.48550/arxiv...Article . 2018License: arXiv Non-Exclusive DistributionData sources: Dataciteadd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.1214/20-aos2017&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eu7 citations 7 popularity Top 10% influence Average impulse Top 10% Powered by BIP!more_vert arXiv.org e-Print Ar... arrow_drop_down The Annals of StatisticsOther literature type . Article . 2021https://doi.org/10.48550/arxiv...Article . 2018License: arXiv Non-Exclusive DistributionData sources: Dataciteadd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.1214/20-aos2017&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eudescription Publicationkeyboard_double_arrow_right Article , Preprint 2019Elsevier BV SSHRC, UKRI | Advancing Microdata Model..., EC | ROMIASSHRC ,UKRI| Advancing Microdata Models and Methods ,EC| ROMIAAuthors: Lee, Sokbae; Liao, Yuan; Seo, Myung Hwan; Shin, Youngki;Lee, Sokbae; Liao, Yuan; Seo, Myung Hwan; Shin, Youngki;pmc: PMC7361205
pmid: 32836518
We investigate state-dependent effects of fiscal multipliers and allow for endogenous sample splitting to determine whether the US economy is in a slack state. When the endogenized slack state is estimated as the period of the unemployment rate higher than about 12 percent, the estimated cumulative multipliers are significantly larger during slack periods than non-slack periods and are above unity. We also examine the possibility of time-varying regimes of slackness and find that our empirical results are robust under a more flexible framework. Our estimation results point out the importance of the heterogenous effects of fiscal policy and shed light on the prospect of fiscal policy in response to economic shocks from the current COVID-19 pandemic. Comment: 15 pages, 5 figures, 2 table
Economic Inquiry arrow_drop_down https://doi.org/10.48550/arxiv...Article . 2019License: arXiv Non-Exclusive DistributionData sources: Dataciteadd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.2139/ssrn.3458473&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eu5 citations 5 popularity Top 10% influence Average impulse Average Powered by BIP!more_vert Economic Inquiry arrow_drop_down https://doi.org/10.48550/arxiv...Article . 2019License: arXiv Non-Exclusive DistributionData sources: Dataciteadd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.2139/ssrn.3458473&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eudescription Publicationkeyboard_double_arrow_right Preprint 2021Embargo end date: 01 Jan 2021arXiv SSHRC, EC | ROMIA, UKRI | Advancing Microdata Model... +2 projectsSSHRC ,EC| ROMIA ,UKRI| Advancing Microdata Models and Methods ,EC| PANEDA ,NSF| Issues in Estimation of Structural Economic ModelsAuthors: Honoré, Bo E.; Muris, Chris; Weidner, Martin;Honoré, Bo E.; Muris, Chris; Weidner, Martin;This paper studies a dynamic ordered logit model for panel data with fixed effects. The main contribution of the paper is to construct a set of valid moment conditions that are free of the fixed effects. The moment functions can be computed using four or more periods of data, and the paper presents sufficient conditions for the moment conditions to identify the common parameters of the model, namely the regression coefficients, the autoregressive parameters, and the threshold parameters. The availability of moment conditions suggests that these common parameters can be estimated using the generalized method of moments, and the paper documents the performance of this estimator using Monte Carlo simulations and an empirical illustration to self-reported health status using the British Household Panel Survey.
arXiv.org e-Print Ar... arrow_drop_down https://doi.org/10.48550/arxiv...Other literature type . Article . 2021License: arXiv Non-Exclusive Distributionadd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.48550/arxiv.2107.03253&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eu0 citations 0 popularity Average influence Average impulse Average Powered by BIP!more_vert arXiv.org e-Print Ar... arrow_drop_down https://doi.org/10.48550/arxiv...Other literature type . Article . 2021License: arXiv Non-Exclusive Distributionadd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.48550/arxiv.2107.03253&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eu