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  1. Local Projections vs. VARs
    Lessons From Thousands of DGPs
    Author: Li, Dake; Plagborg-Møller, Mikkel; Wolf, Christian
    Published: July 2022
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    We conduct a simulation study of Local Projection (LP) and Vector Autoregression (VAR) estimators of structural impulse responses across thousands of data generating processes, designed to mimic the properties of the universe of U.S. macroeconomic... more

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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    We conduct a simulation study of Local Projection (LP) and Vector Autoregression (VAR) estimators of structural impulse responses across thousands of data generating processes, designed to mimic the properties of the universe of U.S. macroeconomic data. Our analysis considers various identification schemes and several variants of LP and VAR estimators. A clear bias-variance trade-off emerges: LP estimators have lower bias than VAR estimators but substantially higher variance at intermediate and long horizons. Consequently, unless researchers are overwhelmingly concerned with bias, shrinkage via Bayesian VARs or penalized LPs is attractive

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w30207
    Subjects: Zeitreihenanalyse; IV-Schätzung; VAR-Modell; Big Data; Data Analytics; Schätztheorie; Local Projection Method; Data Generation Process; Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models; Instrumental Variables (IV) Estimation
    Scope: 1 Online-Ressource, illustrations (black and white)
    Notes:

    Hardcopy version available to institutional subscribers
  2. Simple Tests for Selection
    Learning More from Instrumental Variables
    Author: Black, Dan A.; Joo, Joonhwi; LaLonde, Robert John; Smith, Jeffrey A.; Taylor, Evan J.
    Published: July 2022
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    We provide simple tests for selection on unobserved variables in the Vytlacil-Imbens-Angrist framework for Local Average Treatment Effects (LATEs). Our setup allows researchers not only to test for selection on either or both of the treated and... more

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    We provide simple tests for selection on unobserved variables in the Vytlacil-Imbens-Angrist framework for Local Average Treatment Effects (LATEs). Our setup allows researchers not only to test for selection on either or both of the treated and untreated outcomes, but also to assess the magnitude of the selection effect. We show that it applies to the standard binary instrument case, as well as to experiments with imperfect compliance and fuzzy regression discontinuity designs, and we link it to broader discussions regarding instrumental variables. We illustrate the substantive value added by our framework with three empirical applications drawn from the literature

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w30291
    Subjects: IV-Schätzung; Feldforschung; Schätztheorie; Instrumental Variables (IV) Estimation; Model Evaluation, Validation, and Selection; Field Experiments
    Scope: 1 Online-Ressource, illustrations (black and white)
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    Hardcopy version available to institutional subscribers
  3. ESG Confusion and Stock Returns
    Tackling the Problem of Noise
    Author: Berg, Florian; Koelbel, Julian F.; Pavlova, Anna; Rigobón, Roberto
    Published: October 2022
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    How does ESG (environmental, social, and governance) performance affect stock returns? Answering this question is difficult because existing measures of ESG perfor- mance -- ESG ratings -- are noisy and, therefore, standard regression estimates... more

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    How does ESG (environmental, social, and governance) performance affect stock returns? Answering this question is difficult because existing measures of ESG perfor- mance -- ESG ratings -- are noisy and, therefore, standard regression estimates suffer from attenuation bias. To address the bias, we propose two noise-correction procedures, in which we instrument ESG ratings with ratings of other ESG rating agencies, as in the classical errors-in-variables problem. The corrected estimates demonstrate that the effect of ESG performance on stock returns is stronger than previously estimated: after correcting for attenuation bias, the coefficients increase on average by a factor of 2.6, implying an average noise-to-signal ratio of 61.7%. The attenuation bias is stable across horizons at which stock returns are measured. In simulations, our noise-correction pro- cedures outperform the standard approaches followed by practitioners such as averages or principal component analysis

     
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  4. Methods for Measuring School Effectiveness
    Author: Angrist, Joshua D.; Hull, Peter; Walters, Christopher R.
    Published: December 2022
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    Many personal and policy decisions turn on perceptions of school effectiveness, defined here as the causal effect of attendance at a particular school or set of schools on student test scores and other outcomes. Widely-disseminated school ratings... more

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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Many personal and policy decisions turn on perceptions of school effectiveness, defined here as the causal effect of attendance at a particular school or set of schools on student test scores and other outcomes. Widely-disseminated school ratings frameworks compare average student achievement across schools, but uncontrolled differences in means may owe more to selection bias than to causal effects. Such selection problems have motivated a wave of econometric innovation that uses elements of random and quasi-experimental variation to measure school effectiveness. This chapter reviews these empirical strategies, highlighting solved problems and open questions. Empirical examples are used throughout

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w30803
    Subjects: Schule; Bildungsertrag; Messung; IV-Schätzung; Bayes-Statistik; Bayesian Analysis: General; Instrumental Variables (IV) Estimation; General; Analysis of Education; Education and Inequality
    Scope: 1 Online-Ressource, illustrations (black and white)
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    Hardcopy version available to institutional subscribers