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Enhanced routines for instrumental variables/GMM estimation and testing

Baum, Christopher; Schaffer, Mark; Stillman, Steven - Department of Economics, Boston College - 2007

We extend our 2003 paper on instrumental variables (IV) and GMM estimation and testing and describe enhanced routines that address HAC standard errors, weak instruments, LIML and k-class estimation, tests for endogeneity and RESET and autocorrelation tests for IV estimates.

Persistent link: https://www.econbiz.de/10005027835

Instrumental variables and GMM: Estimation and testing

Baum, Christopher; Schaffer, Mark E.; Stillman, Steven - Department of Economics, Boston College - 2002

We discuss instrumental variables (IV) estimation in the broader context of the generalized method of moments (GMM), and describe an extended IV estimation routine that provides GMM estimates as well as additional diagnostic tests. Stand-alone test procedures for heteroskedasticity,...

Persistent link: https://www.econbiz.de/10005074035

The second moments matter: The impact of macroeconomic uncertainty on the allocation of loanable funds

Baum, Christopher; Caglayan, Mustafa; Ozkan, Neslihan - Department of Economics, Boston College - 2002

This paper investigates how variations in macroeconomic uncer- tainty distort commercial banks' allocation of loanable funds by ana- lyzing the dispersion of banks' total loan-to-asset ratios over a quarter- century period.

Persistent link: https://www.econbiz.de/10005074089

A re-evaluation of empirical tests of the Fisher hypothesis

Baum, Christopher; Bekdache, Basma - Department of Economics, Boston College - 2000

This paper shows that the recent literature that tests for a long-run Fisher relationship using cointegration analysis … is seriously flawed. Cointegration analysis assumes that the variables in question are I(1) or I(d) with the same d …

Persistent link: https://www.econbiz.de/10004968859

Quantile Cointegrating Regression

Xiao, Zhijie - Department of Economics, Boston College - 2009

. In addition, a new cointegration model with varying coefficients is proposed. In the proposed model, the value of … viewed as a stochastic cointegration model which includes the conventional cointegration model as a special case. It also … provides a useful complement to cointegration models with (G)ARCH effects. Asymptotic properties of the proposed model and …

Persistent link: https://www.econbiz.de/10004995333

Nonlinear Adjustment to Purchasing Power Parity in the post-Bretton Woods Era

Baum, Christopher; Caglayan, Mustafa; Barkoulas, John - Department of Economics, Boston College - 1998

This paper models the dynamics of adjustment to long-run purchasing power parity (PPP) over the post-Bretton Woods period in a nonlinear framework consistent with the presence of frictions in international trade. We estimate exponential smooth transition autoregressive (ESTAR) models of...

Persistent link: https://www.econbiz.de/10005102709

Deadbeat Dads

Beauchamp, Andrew; Sanzenbacher, Geoffrey T.; Seitz, Shannon - Department of Economics, Boston College - 2014

Why do some men father children outside of marriage but not provide support? Why are some single women willing to have children outside of marriage when they receive little or no support from unmarried fathers? Why is this behavior especially common among blacks? To shed light on these...

Persistent link: https://www.econbiz.de/10010892206

Dynamic Wage and Employment Effects of Elder Parent Care

Skira, Meghan - Department of Economics, Boston College - 2012

This paper formulates and estimates a dynamic discrete choice model of elder parent care and work to analyze how caregiving affects a woman’s current and future labor force participation and wages. Intertemporal tradeoffs, such as decreased future earning capacity due to a current reduction in...

Persistent link: https://www.econbiz.de/10010897943

Attitudes, Policies and Work

Schiantarelli, Fabio; Giavazzi, Francesco; Serafinelli, … - Department of Economics, Boston College - 2009

We study whether cultural attitudes towards gender, the young, and leisure are significant determinants of the employment rates of women and of the young, and of hours worked. We do this controlling for policies, institutions and other structural characteristics of the economy which may...

Persistent link: https://www.econbiz.de/10008494407

Implementing Pro-Work Policies for Older Americans in the Twenty-First Century

Burkhauser, Richard V.; Quinn, Joseph F. - Department of Economics, Boston College - 1997

Persistent link: https://www.econbiz.de/10005102643