Jeremy Piger
Biographic Data
| ID | 8879905 |
|---|---|
| NAME | Jeremy Piger |
| GIVEN NAMES | Jeremy |
| FAMILY NAME | Piger |
| SIGNATURE | PIGER J |
| AFFILIATIONS | University of Oregon |
| ORCID | 0000-0001-6592-9986 |
| VERIFIED | Yes |
| TOTAL WORKS | 10 |
| TOTAL CITATIONS | 2 |
| WORKS AS AUTHOR | 10 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2001 |
| LATEST PUBLICATION YEAR | 2025 |
| H-INDEX | 1 |
Differences From Differencing
We show there are large finite‐sample estimation improvements from estimating local projections (LP) in a cumulated differences (long‐differenced) specification vs. a specification in levels when the impulse response of interest is to an externally identified (“observed”) shock. The long‐differenced specification substantially reduces, and in many cases eliminates, estimation bias, as well as significantly improves confidence interval coverage. T…
Contagious switching
We analyze the propagation of recessions across countries using a model with multiple qualitative state variables in a vector autoregression (VAR). The VAR may include country‐level variables to determine whether policy also propagates across countries. We consider versions of the model with observed discrete states or unobserved discrete states, where the latter is inferred from fluctuations in economic data. We apply the model to Canada, Mexico…
Determinants of foreign direct investment
Empirical studies of bilateral foreign direct investment (FDI) activity show substantial differences in specifications with little agreement on the set of included covariates. We use Bayesian statistical techniques that allow one to select from a large set of candidates those variables most likely to be determinants of FDI activity. The variables with consistently high inclusion probabilities include traditional gravity variables, cultural distan…
The Asymmetric Business Cycle
The business cycle is a fundamental yet elusive concept in macroeconomics. In this paper, we consider the problem of measuring the business cycle. First, we argue for the output-gap view that the business cycle corresponds to transitory deviations in economic activity away from a permanent, or trend, level. Then we investigate the extent to which a general model-based approach to estimating trend and cycle for the U.S. economy leads to measures o…
A Comparison of the Real-Time Performance of Business Cycle Dating Methods
We evaluate the ability of formal rules to establish U.S. business cycle turning point dates in real time. We consider two approaches, a nonparametric algorithm and a parametric Markov-switching dynamic-factor model. Using a new “real-time ” dataset of coincident monthly variables, we find that both approaches would have accurately identified the NBER business cycle chronology had they been in use over the past 30 years, with the Markov-switching…
The economic performance of cities
Business Cycle Phases in U.S. States
The U.S. aggregate business cycle is often characterized as a series of distinct recession and expansion phases. We apply a regime-switching model to state-level coincident indices to characterize state business cycles in this way. We find that states differ a great deal in the levels of growth that they experience in the two phases: Recession growth rates are related to industry mix, whereas expansion growth rates are related to education and ag…
The Less-Volatile U.S. Economy
Using a Bayesian model comparison strategy, we search for a volatility reduction in U.S. real gross domestic product (GDP) growth within the postwar sample. We find that aggregate real GDP growth has been less volatile since the early 1980s, and that this volatility reduction is concentrated in the cyclical component of real GDP.Sales and production growth in many of the components of real GDP display similar reductions in volatility, suggesting …
The Use and Abuse of Real-Time Data in Economic Forecasting
We distinguish between three different strategies for estimating forecasting equations with real-time data and argue that the most popular approach should generally be avoided. The point is illustrated with a model that uses current-quarter monthly industrial production, employment, and retail sales data to predict real GDP growth. When the model is estimated using either of our two alternative methods, its out-of-sample forecasting performance i…
Markov Regime Switching and Unit-Root Tests
We investigate the power and size performance of unit-root tests when the data undergo Markov regime switching. All tests, including those robust to a single break in trend growth rate, have low power against a process with a Markov-switching trend. Under the null hypothesis, we find that previously documented size distortions in Dickey–Fuller-type tests caused by a single break in trend growth rate or variance do not generalize to most parameter…
Markov Regime Switching and Unit-Root Tests
We investigate the power and size performance of unit-root tests when the data undergo Markov regime switching. All tests, including those robust to a single break in trend growth rate, have low power against a process with a Markov-switching trend. Under the null hypothesis, we find that previously documented size distortions in Dickey–Fuller-type tests caused by a single break in trend growth rate or variance do not generalize to most parameter…
The Use and Abuse of Real-Time Data in Economic Forecasting
We distinguish between three different strategies for estimating forecasting equations with real-time data and argue that the most popular approach should generally be avoided. The point is illustrated with a model that uses current-quarter monthly industrial production, employment, and retail sales data to predict real GDP growth. When the model is estimated using either of our two alternative methods, its out-of-sample forecasting performance i…
The Less-Volatile U.S. Economy
Using a Bayesian model comparison strategy, we search for a volatility reduction in U.S. real gross domestic product (GDP) growth within the postwar sample. We find that aggregate real GDP growth has been less volatile since the early 1980s, and that this volatility reduction is concentrated in the cyclical component of real GDP.Sales and production growth in many of the components of real GDP display similar reductions in volatility, suggesting …
Business Cycle Phases in U.S. States
The U.S. aggregate business cycle is often characterized as a series of distinct recession and expansion phases. We apply a regime-switching model to state-level coincident indices to characterize state business cycles in this way. We find that states differ a great deal in the levels of growth that they experience in the two phases: Recession growth rates are related to industry mix, whereas expansion growth rates are related to education and ag…
A Comparison of the Real-Time Performance of Business Cycle Dating Methods
We evaluate the ability of formal rules to establish U.S. business cycle turning point dates in real time. We consider two approaches, a nonparametric algorithm and a parametric Markov-switching dynamic-factor model. Using a new “real-time ” dataset of coincident monthly variables, we find that both approaches would have accurately identified the NBER business cycle chronology had they been in use over the past 30 years, with the Markov-switching…
The economic performance of cities
The Asymmetric Business Cycle
The business cycle is a fundamental yet elusive concept in macroeconomics. In this paper, we consider the problem of measuring the business cycle. First, we argue for the output-gap view that the business cycle corresponds to transitory deviations in economic activity away from a permanent, or trend, level. Then we investigate the extent to which a general model-based approach to estimating trend and cycle for the U.S. economy leads to measures o…
Determinants of foreign direct investment
Empirical studies of bilateral foreign direct investment (FDI) activity show substantial differences in specifications with little agreement on the set of included covariates. We use Bayesian statistical techniques that allow one to select from a large set of candidates those variables most likely to be determinants of FDI activity. The variables with consistently high inclusion probabilities include traditional gravity variables, cultural distan…
Contagious switching
We analyze the propagation of recessions across countries using a model with multiple qualitative state variables in a vector autoregression (VAR). The VAR may include country‐level variables to determine whether policy also propagates across countries. We consider versions of the model with observed discrete states or unobserved discrete states, where the latter is inferred from fluctuations in economic data. We apply the model to Canada, Mexico…
Differences From Differencing
We show there are large finite‐sample estimation improvements from estimating local projections (LP) in a cumulated differences (long‐differenced) specification vs. a specification in levels when the impulse response of interest is to an externally identified (“observed”) shock. The long‐differenced specification substantially reduces, and in many cases eliminates, estimation bias, as well as significantly improves confidence interval coverage. T…
Econometrics (10 works) · Economics (10 works) · Monetary Policy and Economic Impact (8 works) · Macroeconomics (7 works) · Mathematics (7 works) · Statistics (6 works) · Business cycle (5 works) · Computer Science (4 works) · Monetary economics (4 works) · Market Dynamics and Volatility (3 works)