The Econometrics Journal Newsletter 8: Big Changes
02 Feb 2018
A year ago, The Econometrics Journal adopted a new editorial policy. Our goal is rapid and early dissemination of research in econometrics that is of substantive applied value. We invite submissions of shorter and more focused papers, generally require an empirical illustration, and avoid major revisions, in particular those that ask papers to be extended and generalised. We have been and will be working hard on making this new editorial policy a success, so that the Journal will be the outlet of choice for econometric research that matters. We have just finished reviewing the first year under the new policy, which, among other things, has led us to update the web site and fine-tune the submission guidelines.
We warmly invite you to visit https://www.res.org.uk/journals/the-econometrics-journal/submissions.html and submit your papers.
This rest of this Newsletter reports on some major changes in the Editorial Board, announces the award of the Denis Sargan Econometric Prize 2016 and the Journal's Special Session on Structural Macroeconometrics at the 2018 Annual Conference, looks back at its 2017 Special Session on the Econometrics of Games, and reviews some of its recent and forthcoming papers. It also presents a range of exciting new developments:
- Following a pilot in 2017 that showed this to be feasible and useful, the Editors now systematically check all replication packages of newly accepted papers for completeness, proper documentation, and functionality.
- The Journal will sponsor and publish the proceedings of the 2nd Conference on Structural Dynamic Models, which will focus on the use of machine learning in solving and estimating such models.
- Relatedly, the Editors have commissioned an article on applied machine learning as part of a new programme to annually publish one review of important new developments in econometrics and a guide to their application.
- Finally, from 2019, the Journal will sponsor and publish the Sargan lecture at the Annual Conference of the Royal Economic Society.
Richard Smith, Founder and Serial Innovator of the Journal, Retired as Managing Editor
On May 1, Jaap Abbring replaced Richard Smith as Managing Editor, Tobias Klein started as Deputy Managing Editor (replacing Alexei Onatski), and the Editorial Office moved to Tilburg.
Richard has been key to the development of The Econometrics Journal. He was one of its founders in 1988 and reorganised it twice. Just over a decade ago, he introduced the current editorial structure, which, to this day, allows the Journal to draw on a large number of excellent econometricians for advice and support. Last year, he introduced the new editorial policy, which emphasises the rapid dissemination of original contributions to econometrics with demonstrable value to applied research in economics.
Tobias Klein will continue the good work of Alexei Onatski, but in the elevated role of Deputy Managing Editor. He will generally support the Managing Editor and the Co-Editors in the management of the Journal and its strategy and, more specifically, take the lead in screening new submissions, editing book reviews, checking replication packages, and turning accepted into published papers.
New Co-Editor: John Rust
On June 1, John Rust joined The Econometrics Journal as a Co-Editor. The Co-Editors are now Victor Chernozhukov, Dennis Kristensen, Michael Jansson, and John Rust. John is not only a great researcher, but also a seasoned editor, with a keen interest in ensuring that econometrics is useful in applied research. This makes him a perfect fit to the Journal's current editorial policy.
New Associate Editors: Pedro Carneiro and Alfred Galichon
We are happy to report that Pedro Carneiro (UCL) and Alfred Galichon (NYU) have agreed to join The Econometrics Journal as Associate Editors and that 28 Associate Editors have accepted renewed appointments. Serena Ng resigned; we thank her warmly for her six years of service to the Journal. The current Editors are listed at https://www.res.org.uk/journals/the-econometrics-journal/editorial-board.html.
The Associate Editors provide invaluable services to the Journal as senior referees, consultants on Journal policy, and ambassadors.
New Replication Policy
Following a pilot in 2017 that showed this to be feasible and useful, the Journal now systematically checks all replication packages of newly accepted papers for completeness, proper documentation, and functionality. These checks are carried out by the Deputy Managing Editor, aided by a pool of expert research assistants. They are part of a broader initiative of the Royal Economic Society to promote replicability of economic research by improving the replication standards at its journals: https://www.res.org.uk/journals/the-econometrics-journal/submissions/replication-policy.html
Most Downloaded Papers in 2017
Jianqing Fan, Yuan Liao and Han Liu (Feb 2016): "An overview of the estimation of large covariance and precision matrices" http://onlinelibrary.wiley.com/doi/10.1111/ectj.12061/abstract/
Ivan Canay (Oct 2011): "A simple approach to quantile regression for panel data” http://onlinelibrary.wiley.com/doi/10.1111/j.1368-423X.2011.00349.x/abstract/
Manuel Arellano and Stéphane Bonhomme (Oct 2016): "Nonlinear panel data estimation via quantile regressions" http://onlinelibrary.wiley.com/doi/10.1111/ectj.12062/abstract/
Yu-Chin Hsu (Feb 2017): "Consistent tests for conditional treatment effects" http://onlinelibrary.wiley.com/doi/10.1111/ectj.12077/abstract/
William Greene (Jun 2004): "The behaviour of the maximum likelihood estimator of limited dependent variable models in the presence of fixed effects" http://onlinelibrary.wiley.com/doi/10.1111/j.1368-423X.2004.00123.x/abstract/
Alfred Galichon (Jun 2017): "A survey of some recent applications of optimal transport methods to econometrics" http://onlinelibrary.wiley.com/doi/10.1111/ectj.12083/abstract/
Yannick Hoga (Feb 2017): "Testing for changes in (extreme) VaR" http://onlinelibrary.wiley.com/doi/10.1111/ectj.12080/abstract/
Søren Johansen, Rocco Mosconi and Bent Nielsen (Jul 2000): "Cointegration analysis in the presence of structural breaks in the deterministic trend" http://onlinelibrary.wiley.com/doi/10.1111/1368-423X.00047/abstract/
Giovanni Compiani and Yuichi Kitamura (Oct 2016): “Using mixtures in econometric models: a brief review and some new results" http://onlinelibrary.wiley.com/doi/10.1111/ectj.12068/abstract/
O. E. Barndorff-Nielsen, P. Reinhard Hansen, A. Lunde and N. Shephard (Nov 2009): "Realized kernels in practice: trades and quotes" http://onlinelibrary.wiley.com/doi/10.1111/j.1368-423X.2008.00275.x/abstract/
Special Issue on Econometrics of Matching Published
The Journal has published a Special Issue on Econometrics of Matching (https://www.res.org.uk/resources-page/ectj-special-sessions-econometrics-of-matching.html). The paper in this Special Issue arises out of the invited presentations given in The Econometrics Journal Special Session on this topic at the 2015 Annual Conference of the Royal Economic Society. This Special was organized by Richard Smith, then Managing Editor of The Econometrics Journal, and chaired by Jaap Abbring, then a Co-Editor and now Managing Editor of The Econometrics Journal, with Richard Smith also overseeing the editorial process for the submitted paper arising from the Special Session.
Alfred Galichon (New York University) and Parag Pathak (MIT and NBER) were invited to present research at The Econometrics Journal Special Session on Econometrics of Matching. Parag Pathak was unable to present his paper "The welfare effects of coordinated assignment: Evidence from the NYC HS match", but has kindly made the slides for his presentation available at https://www.res.org.uk/resources-page/ectj-special-sessions-econometrics-of-matching.html. Alfred Galichon presented “Estimating transfer frictions in the marriage market” and Jeremy Lise (UCL and IFS) kindly stepped in and presented “Multidimensional skills, sorting and human dimension calculation”. Both presentations are available at https://www.res.org.uk/resources-page/ectj-special-sessions-econometrics-of-matching.html.
The article by Alfred Galichon provides a short introduction to the use of optimal transport methods in econometrics and a review of recent applications of methods from the theory of optimal transport to econometric problems. Optimal transport in economics, until recently, was only in connection with two-sided models of matching. More recently though, methods from optimal transport theory have been used as a tool in a number of problems in econometrics, microeconomic theory, and finance. This paper initially provides a brief review of Monge-Kantorovich theory and then discusses some cases of particular interest: the discrete optimal assignment problem, the continuous-to-discrete case and scalar product surplus. Finally a number of econometric applications are reviewed including discrete choice models, partial identification and revealed preference.
Special Issue on Econometrics of Networks Published
The Journal has published a Special Issue on Econometrics of Networks (https://www.res.org.uk/resources-page/special-issue-on-econometrics-of-networks-published-.html). The Editorial Board of The Econometrics Journal occasionally commissions Special Issues on subjects of current interest and importance. The Econometrics of Networks is such a subject. Data on networks of, for instance, individuals, firms, or regions are increasingly available and allow for detailed analysis of the economic and social interactions that shape our world. The careful analysis of networks and the interactions that they facilitate requires advanced and often new econometric models and methods. This Special Issue contains seven papers that offer such advances in the economic analysis of networks. They cover methods for the empirical analysis of both network formation and the effects intermediated by networks, with applications to peer effects, regional growth spillovers, international trade and market microstructure in finance. They were selected for the Special Issue in an editorial process overseen by Jaap Abbring, then Co-Editor and now Managing Editor, and Áureo de Paula, Associate Editor of The Econometrics Journal.
Special Issue on Model Selection and Inference Forthcoming
The paper in the forthcoming Special Issue on Model Selection and Inference arises out of the invited presentations given in The Econometrics Journal Special Session on this topic at the 2016 Annual Conference of the Royal Economic Society. This Special Session was organized by Richard Smith, then Managing Editor of The Econometrics Journal, and chaired by Andrew Chesher, then President of the Royal Economic Society, with Richard Smith also overseeing the editorial process for the submitted paper arising from the Special Session. Chris Hansen (University of Chicago) presented "Model selection and post-model selection inference in economic applications”. Bruce Hansen (University of Wisconsin, Madison) presented ”Shrinkage estimation in vector autoregressions”. Both presentations are available at https://www.res.org.uk/resources-page/ectj-special-sessions-model-selection-and-inference.html.
The paper ”Double/debiased machine learning for treatment and structural parameters” by Victor Chernozhukov (MIT), Denis Chetverikov (UCLA), Mert Demirer (MIT), Esther Duflo (MIT), Christian Hansen (University of Chicago), Whitney Newey (MIT) and James Robins (Harvard University) is currently among the Journal''s most downloaded unpublished articles (http://www.onlinelibrary.wiley.com/doi/10.1111/ectj.12097/abstract). Its main contribution is the provision of general and simple valid procedures for root-N consistent estimation and inference on a low dimensional parameter of interest, typically a causal or treatment effect parameter, in the presence of a high-dimensional or highly complex nuisance parameter. It discusses applications to learning the main regression parameter in a partially linear regression model, the average treatment effect and treatment effect on the treated under unconfoundedness, and the local average treatment effect in an instrumental variables setting.
Forthcoming Papers Available on Early View
Visit https://www.res.org.uk/journals/the-econometrics-journal/journal-content.html to read forthcoming papers that have been copyedited and are awaiting final publication:
Cinzia Daraio, Léopold Simar, Paul W. Wilson: "Central limit theorems for conditional efficiency measures and tests of the ''separability'' condition in non‐parametric, two‐stage models of production”. Published Online on 18 January 2018
Victor Chernozhukov, Denis Chetverikov, Mert Demirer, Esther Duflo, Christian Hansen, Whitney Newey, James Robins: "Double/debiased machine learning for treatment and structural parameters”. Published Online on 16 January 2018
H. Peter Boswijk, Yang Zu: "Adaptive wild bootstrap tests for a unit root with non‐stationary volatility”. Published Online on 16 January 2018
Bo E. Honoré, Luojia Hu: "Simpler bootstrap estimation of the asymptotic variance of U‐statistic‐based estimators”. Published Online on 23 December 2017
Jiaying Gu, Shu Shen: "Oracle and adaptive false discovery rate controlling methods for one‐sided testing: theory and application in treatment effect evaluation”. Published Online on 25 August 2017
Yingyao Hu, Ji‐Liang Shiu: "Identification and estimation of semi‐parametric censored dynamic panel data models of short time periods”. Published Online on 21 August 2017
Juan Carlos Escanciano: "A simple and robust estimator for linear regression models with strictly exogenous instruments”. Published Online on 21 August 2017
Other Forthcoming Papers
Visit https://www.res.org.uk/journals/the-econometrics-journal/journal-content.html to read accepted papers that are not yet available on Early View:
Beili Mu, Zhengyu Zhang: "Identification and Estimation of Heteroskedastic Binary Choice Models with Endogenous Dummy Regressors”. Accepted manuscript online: 01 Decemb 2017
James G. MacKinnon, Matthew D. Webb: "The wild bootstrap for few (treated) clusters”. Accepted manuscript online: 17 November 2017
Jilin Wu, Zhijie Xiao: "Testing for changing volatility”. Accepted manuscript online: 15 November 2017
Khai X. Chiong, Hyungsik Roger Moon: "Estimation of Graphical Lasso using the L1,2 Norm”. Accepted manuscript online: 17 October 2017
Matt Goldman, David M. Kaplan: "Nonparametric inference on (conditional) quantile differences and interquantile ranges, using L‐statistics”. Accepted manuscript online: 16 June 2017
Newly Commissioned Article on Applied Machine Learning
The Editors have decided to each year commission one larger article that reviews important new developments in econometrics and guides empirical researchers in their application. The articles will be written and reviewed over the course of each calendar year and published in the next. Sanjog Misra (Chicago Booth) has agreed to write an article in 2018, for publication in 2019, on the use of structural models and machine learning for firm policy making, which will nicely fit in with or complement the Special Issue on the 2nd Conference on Structural Dynamic Models. John Rust is the Co-Editor in charge.
Special Session on Econometrics of Games at RES 2017
Each year, the Editors of The Econometrics Journal organize a Special Session on a subject of current interest and importance at the Annual Conference of the Royal Economic Society (see https://www.res.org.uk/journals/the-econometrics-journal/events.html). With these Special Sessions, The Econometrics Journal intends to promote econometric theory and methods of substantive direct or potential value in applications and their actual empirical application. It publishes the proceedings of the Special Sessions in Special Issues of The Econometrics Journal (https://www.res.org.uk/journals/the-econometrics-journal/events.html).
At the 2017 Annual Conference in Bristol, the Editors organized a Special Session on the Econometrics of Games. Elie Tamer (Harvard) shared his thoughts on causal inference in games, with special attention for the role of simultaneity. He provided a range of interesting results, positive and negative, on the possible application of empirical methods from the treatment effects literature to games. Phil Haile (Yale) presented joint work with Yuichi Kitamura on the empirical analysis of auctions with unobserved heterogeneity. He discussed various ways to identify auction models from data on auctions that differ in ways that the agents know and can act on, but the econometrician does not observe. Slides for both talks and a video are available from https://www.res.org.uk/resources-page/ectj-special-sessions-econometrics-of-games.html. The Journal expects to report further on this event in a future Special Issue on Econometrics of Games.
Invitation to Special Session on Structural Macroeconometrics at RES 2018
The Econometrics Journal warmly invites all to attend its Special Session on Structural Macroeconometrics at the 2018 Annual Conference of the Royal Economic Society, on Wednesday 28 March from 1:15-2:45pm, with presentations by
Barbara Rossi (UPF/BGSE) on "The effects of conventional and unconventional monetary policy: A New identification procedure” and
Marco del Negro (NY Fed) on "Recent developments in forecasting with DSGE models”.
Presentation of Denis Sargan Econometrics Prize 2016 at RES 2018
The Editors of The Econometrics Journal are happy to announce that the 2016 Denis Sargan Econometrics Prize will be shared equally between Ulrich Hounyo (SUNY Albany) and Bezirgen Veliyev (Aarhus) for their article “Validity of Edgeworth expansions for realized volatility estimators” in the February 2016 issue of The Econometrics Journal (http://onlinelibrary.wiley.com/doi/10.1111/ectj.12058/abstract).
Ulrich and Bezirgen''s Prize winning article contributes to the literature on bootstrapping realised volatility measures, i.e. estimators of volatility over a longer horizon based on high frequency data. It rigorously establishes the validity of the Edgeworth expansions in the key paper by Gonçalves and Meddahi (2009, "Bootstrapping realized volatility", Econometrica 77, 283–306) and extends that paper by considering realised measures that are robust to microstructure noise, which is an important feature of the data, and one that was often left aside in the early work in this literature.
The Prize will be presented to Ulrich and Bezirgen by Andrew Chesher at 10:00am on Monday 26 March, just before the Sargan lecture at the 2018 Annual Conference of the Royal Economic Society.
The Denis Sargan Econometrics Prize is awarded for the best (unsolicited) article published in The Econometrics Journal in a given year by anyone who is within five years of being granted their doctorate. For more information about this Prize, including videos of an interview with and the award to its 2015 winner, Igor Kheifets, visit https://www.res.org.uk/journals/the-econometrics-journal/events.html.
Call for Papers: 2nd Conference on Structural Dynamic Models
The Conferences on Structural Dynamic Models aim to promote and disseminate structural econometric work on dynamic decision processes in microeconomics. On 31 May and 1 June 2018, the Centre for Computational Economics at the University of Copenhagen will host the second of these conferences, with a special focus on the use of machine learning and artificial intelligence to facilitate solution and estimation of dynamic structural models. The Econometrics Journal supports this conference and intends to publish a Special Issue to disseminate its findings.
Prospective contributors are invited to submit papers by 9 March 2018. For all details, visit the conference website at http://www.econ.ku.dk/cce/events/Dynamics2018/.
Sargan Lecture Sponsored and Published by The Econometrics Journal from 2019
From 2019, The Econometrics Journal will sponsor and publish the Sargan Lecture at the Annual Conference of the Royal Economic Society. The Sargan Lecture commemorates the fundamental contributions to and profound influence on econometrics by (John) Denis Sargan. It does so by promoting econometric theory and methods with substantive direct or potential value in applications and their actual empirical application.
We are very pleased and honoured that James Heckman (Chicago) has agreed to give the first Sargan lecture under this new remit. James Heckman has deep knowledge of and affinity with the history of econometrics and has been putting state-of-the-art econometrics at the service of empirical economics for over four decades. He will both speak to the legacy of Denis Sargan and demonstrate the power of econometrics in advancing knowledge.
For many years, the Sargan Lecture has brought leading economists to the Annual Conference, often to discuss topics in econometrics. For example, in 2017, James Stock (Harvard) gave an excellent talk on the “Identification of dynamic causal effects in macroeconomics”, which can be viewed at https://youtu.be/Nh4VyHYZLL4. A list of all past Sargan lecturers and some of their presentations can be found at https://www.res.org.uk/journals/the-econometrics-journal/events.html.
We wish you a happy and productive year!
The Econometrics Journal has set up a mailing list for the distribution of this Newsletter (at most twice per year) and to announce special Journal activities (rarely). You can subscribe and unsubscribe from this list at https://lists.uvt.nl/mailman/listinfo/ectj. Note that only the list administrator (Tobias Klein) can see the list of subscribers and only the Editorial Office can send emails to the list.