This paper investigates secular changes in the distribution of personal expen-diture in Italy over the period 1881-1961. To do so, the authors constructed a new dataset, the Italian Household Budgets Database (IHBD), consisting of 4,370 family-level budgets. Methodologically, this paper improves...

This paper is concerned with the Bayesian estimation of non-linear stochastic differential equations when only discrete observations are available. The estimation is carried out using a tuned MCMC method, in particular a blocked Metropolis-Hastings algorithm, by introducing auxiliary points and...

This paper studies in some detail a class of high frequency based volatility (HEAVY) models.  These models are direct models of daily asset return volatility based on realized measures constructed from high frequency data.  Our analysis identifies that the models have momentum and mean...

This paper provides methods for carrying out likelihood based inference for diffusion driven models, for example discretely observed multivariate diffusions, continuous time stochastic volatility models and counting process models. The diffusions can potentially be non-stationary. Although our...

We analyze peer e¤ects in sleeping behavior using a representative sample of U.S. teenagers from the National Longitudinal Survey of Adolescent Health. The sampling design of the survey causes the conventional 2SLS estimator to be inconsistent. We extend the NLS estimator in Wang and Lee...

Empirical studies of the role of non-cognitive skills in driving economic behavior often rely heavily on the assumption that these skills are stable over the relevant time frame. We analyze the change in a specific non-cognitive skill, i.e. locus of control, in order to directly assess the...