cometadata/datacite-titles-descriptions-related-identifiers huggingface dataset:
DOI: 10.6084/m9.figshare.7063808
title: Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes

description: This article proposes a new double-question survey whereby an individual is presented with two sets of questions; one on beliefs about current asset values and another on price expectations. A theoretical asset pricing model with heterogeneous agents is advanced and the existence of a negative relationship between price expectations and asset valuations is established, and is then tested using survey results on equity, gold, and house prices. Leading indicators of bubbles and crashes are proposed and their potential value is illustrated in the context of a dynamic panel regression of realized house price changes across key Metropolitan Statistical Areas (MSAs) in the U.S. In an out-of-sample forecasting exercise, it is also shown that forecasts of house price changes (pooled across MSAs) that make use of bubble and crash indicators perform significantly better than a benchmark model that only uses lagged and expected house price changes. Supplementary materials for this article are available online.
DOI: 10.6084/m9.figshare.7063808.v3
title: Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes

description: This article proposes a new double-question survey whereby an individual is presented with two sets of questions; one on beliefs about current asset values and another on price expectations. A theoretical asset pricing model with heterogeneous agents is advanced and the existence of a negative relationship between price expectations and asset valuations is established, and is then tested using survey results on equity, gold, and house prices. Leading indicators of bubbles and crashes are proposed and their potential value is illustrated in the context of a dynamic panel regression of realized house price changes across key Metropolitan Statistical Areas (MSAs) in the U.S. In an out-of-sample forecasting exercise, it is also shown that forecasts of house price changes (pooled across MSAs) that make use of bubble and crash indicators perform significantly better than a benchmark model that only uses lagged and expected house price changes. Supplementary materials for this article are available online.
DOI: 10.6084/m9.figshare.7063808.v2
title: Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes

description: This article proposes a new double-question survey whereby an individual is presented with two sets of questions; one on beliefs about current asset values and another on price expectations. A theoretical asset pricing model with heterogeneous agents is advanced and the existence of a negative relationship between price expectations and asset valuations is established, and is then tested using survey results on equity, gold, and house prices. Leading indicators of bubbles and crashes are proposed and their potential value is illustrated in the context of a dynamic panel regression of realized house price changes across key Metropolitan Statistical Areas (MSAs) in the U.S. In an out-of-sample forecasting exercise, it is also shown that forecasts of house price changes (pooled across MSAs) that make use of bubble and crash indicators perform significantly better than a benchmark model that only uses lagged and expected house price changes. Supplementary materials for this article are available online.
DOI: 10.6084/m9.figshare.7182602
title: Implications of Return Predictability for Consumption Dynamics and Asset Pricing

description: Two broad classes of consumption dynamics—long-run risks and rare disasters—have proven successful in explaining the equity premium puzzle when used in conjunction with recursive preferences. We show that bounds a-là Gallant, Hansen, and Tauchen that restrict the volatility of the stochastic discount factor by conditioning on a set of return predictors constitute a useful tool to discriminate between these alternative dynamics. In particular, we document that models that rely on rare disasters meet comfortably the bounds independently of the forecasting horizon and the asset returns used to construct the bounds. However, the specific nature of disasters is a relevant characteristic at the 1-year horizon: disasters that unfold over multiple years are more successful in meeting the predictors-based bounds than one-period disasters. Instead, at the 5-year horizon, the sole presence of disasters—even if one-period and permanent—is sufficient for the model to satisfy the bounds. Finally, the bounds point to multiple volatility components in consumption as a promising dimension for long-run risk models.
DOI: 10.6084/m9.figshare.7017566
title: Somewhere Between Utopia and Dystopia: Choosing From Multiple Incomparable Prospects

description: In many fields of decision making, choices have to be made from multiple alternatives, but stochastic dominance rules do not yield a complete ordering due to incomparability of some or all of the prospects. For ranking incomparable prospects, a “Utopia Index” measuring the proximity to a lower envelope of integrated distribution functions is proposed. Economic interpretations in terms of Expected Utility are provided for the envelope and deviations from it. The analysis generalizes the existing Almost Stochastic Dominance concept from pairwise comparison to a joint analysis of an arbitrary number of prospects. The limit distribution for the empirical counterpart of the index for a general class of dynamic processes is derived together with a consistent and feasible inference procedure based on subsampling techniques. Empirical applications to Chinese household income data and historical investment returns data show that, in every choice set, a single prospect is ranked above all alternatives at conventional significance levels, despite the incomparability problem.
DOI: 10.6084/m9.figshare.7938377
title: Heterogeneity in Expectations, Risk Tolerance, and Household Stock Shares: The Attenuation Puzzle

description: This article jointly estimates the relationship between stock share and expectations and risk preferences. The survey allows individual-level, quantitative estimates of risk tolerance and of the perceived mean, and variance of stock returns. These estimates have economically and statistically significant association for the distribution of stock shares with relative magnitudes in proportion with the predictions of theories. Incorporating survey measurement error in the estimation model increases the estimated associations 2-fold, but they are still substantially attenuated being only about 5% of what benchmark finance theories predict. Because of the careful attention in the estimation to measurement error, the attenuation likely arises from economic behavior rather than errors in variables.
DOI: 10.6084/m9.figshare.7182602.v3
title: Implications of Return Predictability for Consumption Dynamics and Asset Pricing

description: Two broad classes of consumption dynamics—long-run risks and rare disasters—have proven successful in explaining the equity premium puzzle when used in conjunction with recursive preferences. We show that bounds a-là Gallant, Hansen, and Tauchen that restrict the volatility of the stochastic discount factor by conditioning on a set of return predictors constitute a useful tool to discriminate between these alternative dynamics. In particular, we document that models that rely on rare disasters meet comfortably the bounds independently of the forecasting horizon and the asset returns used to construct the bounds. However, the specific nature of disasters is a relevant characteristic at the 1-year horizon: disasters that unfold over multiple years are more successful in meeting the predictors-based bounds than one-period disasters. Instead, at the 5-year horizon, the sole presence of disasters—even if one-period and permanent—is sufficient for the model to satisfy the bounds. Finally, the bounds point to multiple volatility components in consumption as a promising dimension for long-run risk models.
DOI: 10.6084/m9.figshare.7017566.v2
title: Somewhere Between Utopia and Dystopia: Choosing From Multiple Incomparable Prospects

description: In many fields of decision making, choices have to be made from multiple alternatives, but stochastic dominance rules do not yield a complete ordering due to incomparability of some or all of the prospects. For ranking incomparable prospects, a “Utopia Index” measuring the proximity to a lower envelope of integrated distribution functions is proposed. Economic interpretations in terms of Expected Utility are provided for the envelope and deviations from it. The analysis generalizes the existing Almost Stochastic Dominance concept from pairwise comparison to a joint analysis of an arbitrary number of prospects. The limit distribution for the empirical counterpart of the index for a general class of dynamic processes is derived together with a consistent and feasible inference procedure based on subsampling techniques. Empirical applications to Chinese household income data and historical investment returns data show that, in every choice set, a single prospect is ranked above all alternatives at conventional significance levels, despite the incomparability problem.
DOI: 10.6084/m9.figshare.7182602.v2
title: Implications of Return Predictability for Consumption Dynamics and Asset Pricing

description: Two broad classes of consumption dynamics—long-run risks and rare disasters—have proven successful in explaining the equity premium puzzle when used in conjunction with recursive preferences. We show that bounds a-là Gallant, Hansen, and Tauchen that restrict the volatility of the stochastic discount factor by conditioning on a set of return predictors constitute a useful tool to discriminate between these alternative dynamics. In particular, we document that models that rely on rare disasters meet comfortably the bounds independently of the forecasting horizon and the asset returns used to construct the bounds. However, the specific nature of disasters is a relevant characteristic at the 1-year horizon: disasters that unfold over multiple years are more successful in meeting the predictors-based bounds than one-period disasters. Instead, at the 5-year horizon, the sole presence of disasters—even if one-period and permanent—is sufficient for the model to satisfy the bounds. Finally, the bounds point to multiple volatility components in consumption as a promising dimension for long-run risk models.
DOI: 10.6084/m9.figshare.7938377.v3
title: Heterogeneity in Expectations, Risk Tolerance, and Household Stock Shares: The Attenuation Puzzle

description: This article jointly estimates the relationship between stock share and expectations and risk preferences. The survey allows individual-level, quantitative estimates of risk tolerance and of the perceived mean, and variance of stock returns. These estimates have economically and statistically significant association for the distribution of stock shares with relative magnitudes in proportion with the predictions of theories. Incorporating survey measurement error in the estimation model increases the estimated associations 2-fold, but they are still substantially attenuated being only about 5% of what benchmark finance theories predict. Because of the careful attention in the estimation to measurement error, the attenuation likely arises from economic behavior rather than errors in variables.
DOI: 10.6084/m9.figshare.7938377.v2
title: Heterogeneity in Expectations, Risk Tolerance, and Household Stock Shares: The Attenuation Puzzle

description: This article jointly estimates the relationship between stock share and expectations and risk preferences. The survey allows individual-level, quantitative estimates of risk tolerance and of the perceived mean, and variance of stock returns. These estimates have economically and statistically significant association for the distribution of stock shares with relative magnitudes in proportion with the predictions of theories. Incorporating survey measurement error in the estimation model increases the estimated associations 2-fold, but they are still substantially attenuated being only about 5% of what benchmark finance theories predict. Because of the careful attention in the estimation to measurement error, the attenuation likely arises from economic behavior rather than errors in variables.
DOI: 10.6084/m9.figshare.7017566.v1
title: Somewhere Between Utopia and Dystopia: Choosing From Multiple Incomparable Prospects

description: In many fields of decision making, choices have to be made from multiple alternatives, but stochastic dominance rules do not yield a complete ordering due to incomparability of some or all of the prospects. For ranking incomparable prospects, a “Utopia Index” measuring the proximity to a lower envelope of integrated distribution functions is proposed. Economic interpretations in terms of Expected Utility are provided for the envelope and deviations from it. The analysis generalizes the existing Almost Stochastic Dominance concept from pairwise comparison to a joint analysis of an arbitrary number of prospects. The limit distribution for the empirical counterpart of the index for a general class of dynamic processes is derived together with a consistent and feasible inference procedure based on subsampling techniques. Empirical applications to Chinese household income data and historical investment returns data show that, in every choice set, a single prospect is ranked above all alternatives at conventional significance levels, despite the incomparability problem.
DOI: 10.6084/m9.figshare.7663115
title: Dynamic Vector Mode Regression

description: We study the semiparametric estimation of the conditional mode of a random vector that has a continuous conditional joint density with a well-defined global mode. A novel full-system estimator is proposed and its asymptotic properties are studied. We specifically consider the estimation of vector autoregressive conditional mode models and of systems of linear simultaneous equations defined by mode restrictions. The proposed estimator is easy to implement and simulations suggest that it is reasonably behaved in finite samples. An empirical example illustrates the application of the proposed methods, including its use to obtain multistep forecasts and to construct impulse response functions.
DOI: 10.6084/m9.figshare.7663115.v3
title: Dynamic Vector Mode Regression

description: We study the semiparametric estimation of the conditional mode of a random vector that has a continuous conditional joint density with a well-defined global mode. A novel full-system estimator is proposed and its asymptotic properties are studied. We specifically consider the estimation of vector autoregressive conditional mode models and of systems of linear simultaneous equations defined by mode restrictions. The proposed estimator is easy to implement and simulations suggest that it is reasonably behaved in finite samples. An empirical example illustrates the application of the proposed methods, including its use to obtain multistep forecasts and to construct impulse response functions.
DOI: 10.6084/m9.figshare.7663115.v2
title: Dynamic Vector Mode Regression

description: We study the semiparametric estimation of the conditional mode of a random vector that has a continuous conditional joint density with a well-defined global mode. A novel full-system estimator is proposed and its asymptotic properties are studied. We specifically consider the estimation of vector autoregressive conditional mode models and of systems of linear simultaneous equations defined by mode restrictions. The proposed estimator is easy to implement and simulations suggest that it is reasonably behaved in finite samples. An empirical example illustrates the application of the proposed methods, including its use to obtain multistep forecasts and to construct impulse response functions.
DOI: 10.6073/pasta/21b32914a25d532c296f54f3a3513ef4
title: Morphological and life-history traits of birds from the Piedmont and Flooded Savannas of the Colombian Llanos

description: We compiled data for 13 morphological and life-history traits of 364 species reported in Colombian Llanos. The dataset includes morphological and life-history traits that could influence birds’ responses to land-use change based on a literature review. Life-history traits were compiled from scientific literature, while morphological traits were measured on specimens collected in the Colombian Llanos region and preserved in main Colombia’s biological collections.
DOI: 10.6084/m9.figshare.9677687.v1
title: Testing for Changes in Forecasting Performance

description: We consider the issue of forecast failure (or breakdown) and propose methods to assess retrospectively whether a given forecasting model provides forecasts which show evidence of changes with respect to some loss function. We adapt the classical structural change tests to the forecast failure context. First, we recommend that all tests should be carried with a fixed scheme to have best power. This ensures a maximum difference between the fitted in and out-of-sample means of the losses and avoids contamination issues under the rolling and recursive schemes. With a fixed scheme, Giacomini and Rossi’s (GR) test is simply a Wald test for a one-time change in the mean of the total (the in-sample plus out-of-sample) losses at a known break date, say <i>m</i>, the value that separates the in and out-of-sample periods. To alleviate this problem, we consider a variety of tests: maximizing the GR test over values of <i>m</i> within a prespecified range; a Double sup-Wald (DSW) test which for each <i>m</i> performs a sup-Wald test for a change in the mean of the out-of-sample losses and takes the maximum of such tests over some range; we also propose to work directly with the total loss series to define the Total Loss sup-Wald and Total Loss UDmax (TLUD) tests. Using theoretical analyses and simulations, we show that with forecasting models potentially involving lagged dependent variables, the only tests having a monotonic power function for all data-generating processes considered are the DSW and TLUD tests, constructed with a fixed forecasting window scheme. Some explanations are provided and empirical applications illustrate the relevance of our findings in practice. Supplementary materials for this article are available online.
DOI: 10.3886/e100484v1-97600
title: Gender differences in the transmission of risk for antisocial behavior problems across generations

description: Previous studies have shown that children of alcohol use disorder (AUD) parents are more likely to develop alcohol problems as well as antisocial and other behavior problems. The purpose of this study was to examine gender discordance in the effect of early maternal and paternal influences on antisocial behaviors of boys and girls, as well as the environmental factors that moderate the parental effects. Specifically, we examined the effects of childhood and adulthood antisocial behavior of the parents on offspring antisocial behavior as young adults. We also examined whether mothers’ and fathers’ drinking problems when offspring were young children (6-8 years) affected offspring antisocial behavior as young adults (18-21 years). We evaluated 655 children from 339 families in the Michigan Longitudinal Study (MLS), a prospective study of AUD and non-AUD families. Path models were constructed in order to test for the parental contributions to offspring outcomes. We found that both mothers’ and fathers’ antisocial behavior contributed to the children’s young adult antisocial behavior. Only mothers’ drinking problems when their children were little had a significant effect on their sons’ later drinking, but not on their daughters’. These different parental effects suggest that maternal and paternal influences may be mediated by different mechanisms. <br>
DOI: 10.6084/m9.figshare.9677687.v2
title: Testing for Changes in Forecasting Performance

description: We consider the issue of forecast failure (or breakdown) and propose methods to assess retrospectively whether a given forecasting model provides forecasts which show evidence of changes with respect to some loss function. We adapt the classical structural change tests to the forecast failure context. First, we recommend that all tests should be carried with a fixed scheme to have best power. This ensures a maximum difference between the fitted in and out-of-sample means of the losses and avoids contamination issues under the rolling and recursive schemes. With a fixed scheme, Giacomini and Rossi’s (GR) test is simply a Wald test for a one-time change in the mean of the total (the in-sample plus out-of-sample) losses at a known break date, say <i>m</i>, the value that separates the in and out-of-sample periods. To alleviate this problem, we consider a variety of tests: maximizing the GR test over values of <i>m</i> within a prespecified range; a Double sup-Wald (DSW) test which for each <i>m</i> performs a sup-Wald test for a change in the mean of the out-of-sample losses and takes the maximum of such tests over some range; we also propose to work directly with the total loss series to define the Total Loss sup-Wald and Total Loss UDmax (TLUD) tests. Using theoretical analyses and simulations, we show that with forecasting models potentially involving lagged dependent variables, the only tests having a monotonic power function for all data-generating processes considered are the DSW and TLUD tests, constructed with a fixed forecasting window scheme. Some explanations are provided and empirical applications illustrate the relevance of our findings in practice. Supplementary materials for this article are available online.
DOI: 10.6084/m9.figshare.16695118
title: Attraction of Choristoneura rosaceana (Lepidoptera: Tortricidae) to Pheromone Blends in Ratios Produced in Females’ Pheromone Gland or Emitted by the Females in Michigan Apple Orchards

description: Trap captures of obliquebanded leafroller, <i>Choristoneura rosaceana</i> (Harris) to pheromone blends in ratios approximating those reported in pheromone glands and a novel blend based on a volatile headspace collection from live virgin females were evaluated in field experiments in Michigan apple orchards. In an initial field trapping study, pheromone lures composed of either a three- or four-component blend approximation of the blend present in female pheromone glands at doses ranging from 0.1 to 20 mg/lure were compared. The four-component blend was a combination of (<i>Z</i>)-11-tetradecenyl acetate (<i>Z</i>11-14:Ac), (<i>E</i>)-11-tetradecenyl acetate (<i>E</i>11-14:Ac), (<i>Z</i>)-11-tetradecen-1-ol (<i>Z</i>11-14:OH), and (<i>Z</i>)-11-tetradecenal (<i>Z</i>11-14:Al) in a ratio of 96.5:1.8:1.4:0.2, respectively, while the three-component blend lacked <i>Z</i>11-14:Al. Pheromone emissions by groups of virgin females and commercial lures were collected in the laboratory and analyzed by gas chromatography. These data were used to formulate a new pheromone lure that was compared to a commercial lure in a second trapping study. In the first field study, traps baited with 10 mg pheromones or above captured significantly more moths than traps baited with 1 mg or less, regardless of the blend. Surprisingly, groups of virgin females only emitted two detectable pheromone components, <i>Z</i>11-14:Ac and <i>Z</i>11-14:OH in a ratio of 37:63 which was substantially different from the blends detected in pheromone glands in the literature. The newly formulated pheromone lure based on females’ emission was more than twice as attractive as the commercial lure which emitted a 74:5:21 three-component blend of <i>Z</i>11-14:Ac, <i>E</i>11-14:Ac, and <i>Z</i>11-14:OH. Our results suggested that the actual pheromones released by females may not translate directly to the content of pheromone glands.<b></b>