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Heterogenous Life-Cycle Profiles, Income Risk and Consumption Inequality
Primiceri, Giorgio E; van Rens, Thijs - C.E.P.R. Discussion Papers - 2006
Was the increase in income inequality in the US due to permanent shocks or merely to an increase in the variance of transitory shocks? The implications for consumption and welfare depend crucially on the answer to this question. We use CEX repeated cross-section data on consumption and income to...
Persistent link: https://www.econbiz.de/10005661588
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Heterogeneous Responses and Aggregate Impact of the 2001 Income Tax Rebates
Misra, Kanishka; Surico, Paolo - C.E.P.R. Discussion Papers - 2011
% of households, with higher income or liquid wealth. The estimated heterogeneity implies that the tax rebates added a 3 …
Persistent link: https://www.econbiz.de/10008925717
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Consumption, Income Changes and Heterogeneity: Evidence from Two Fiscal Stimulus Programmes
Misra, Kanishka; Surico, Paolo - C.E.P.R. Discussion Papers - 2013
propensity held high mortgage debt. The heterogeneity is concentrated in a few non-durable categories and a handful of `new …
Persistent link: https://www.econbiz.de/10011083341
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Heterogeneous Consumers and Fiscal Policy Shocks
Anderson, Emily; Inoue, Atsushi; Rossi, Barbara - C.E.P.R. Discussion Papers - 2013
This paper studies stylized empirical facts regarding the effects of unexpected changes in aggregate macroeconomic fiscal policies on consumers that are allowed to differ depending on their individual characteristics. We use data from the Consumption Expenditure Survey (CEX) to estimate...
Persistent link: https://www.econbiz.de/10011083875
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Estimating the Aggregate Consumption Euler Equation with State-Dependent Parameters
Mumtaz, Haroon; Surico, Paolo - C.E.P.R. Discussion Papers - 2011
state-dependence or heterogeneity in the discount factor and the elasticity of intertemporal substitution. …
Persistent link: https://www.econbiz.de/10008854511
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Commuters' Preferences for Fast and Reliable Travel
Koster, Paul; Koster, Hans - Tinbergen Instituut - 2013
We employ a semi-parametric estimation approach to analyse observed and unobserved heterogeneity in the value of … heterogeneity in preferences in a flexible way, meaning that we do not put any structure on how individual characteristics (such as …, we illustrate the estimation approach and find that there is substantial heterogeneity in the value of savings in travel …
Persistent link: https://www.econbiz.de/10011271951
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A K-sample Homogeneity Test based on the Quantification of the p-p Plot
Hinloopen, Jeroen; Wagenvoort, Rien; Marrewijk, Charles van - Tinbergen Instituut - 2008
We propose a quantification of the p-p plot that assigns equal weight to all distances between the respective distributions: the surface between the p-p plot and the diagonal. This surface is labelled the Harmonic Weighted Mass (HWM) index. We introduce the diagonal-deviation (d-d) plot that...
Persistent link: https://www.econbiz.de/10011255562
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Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts
Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Instituut - 2008
This discussion paper resulted in a publication in the <I>Journal of Economic Dynamics & Control</I>, 34(9), 1596-1609.<P> We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information...</p></i>
Persistent link: https://www.econbiz.de/10011256012
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Maximum score estimation of preference parameters for a binary choice model under uncertainty
Chen, Le-Yu; Sokbae 'Simon' Lee; Sung, Myung Jae - Centre for Microdata Methods and Practice (CEMMAP) - 2013
This paper develops maximum score estimation of preference parameters in the binary choice model under uncertainty in which the decision rule is affected by conditional expectations. The preference parameters are estimated in two stages: we estimate conditional expectations nonparametrically in...
Persistent link: https://www.econbiz.de/10010640964
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Efficient information theoretic inference for conditional moment restrictions
Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2005
The generalized method of moments estimator may be substantially biased in finite samples, especially so when there are large numbers of unconditional moment conditions. This paper develops a class of first order equivalent semi-parametric efficient estimators and tests for conditional moment...
Persistent link: https://www.econbiz.de/10005811463