Threshold regression methods are developed for non-dynamic panels with individual-specific fixed effects. Least squares estimation of the threshold and regression slopes is proposed using fixed-effects transformations. A non-standard asymptotic theory of inference is developed which allows...

The method of indirect least squares (ILS) using a proxy for a discrete instrument is shown to identify a weighted average of local treatment effects. The weights are nonnegative if and only if the proxy is intensity preserving for the instrument. A similar result holds for instrumental...

Economic theory predicts that earnings uncertainty increases precautionary saving and causes households to include relatively liquid assets in their portfolios. Risk avoidance and the demand for liquidity cause these portfolio choices. Studies investigating United States evidence of...

This paper estimates a dynamic model of durable and non-durable consumption choice and default behavior in an economy where risky borrowing is allowed and bankruptcy protection is regulated by law. I exploit the substantial difference in the generosity of bankruptcy exemptions across the U.S....

The paper examines the evolution of consumption patterns in Organization for Economic Co-operation and Development (OECD) countries from 1985 to 1999. Estimation of demand function parameters uncovered consistent evidence that differences in consumption patterns have recently diminished between...

Significant departures from log normality are observed in income data, in violation of Gibrat's law. We identify a new empirical regularity, which is that the distribution of consumption expenditures across households is, within cohorts, closer to log normal than the distribution of income. We...

Consumption is partly a social activity, yet most studies of consumer behavior treat households in isolation. We investigate familial relationships in consumption patterns using a sample of parents and their children from the Panel Study of Income Dynamics. We find a positive and statistically...

Distortions in the elicitation of economic variables arise frequently. A common problem in household surveys is that reported values exhibit a significant degree of rounding. We interpret rounding as a filter that allows limited information about the relationship of interest to pass. We argue...

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...

This chapter provides background for understanding and applying special regressor methods. This chapter is intended for inclusion in the "Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics," Co-edited by Aman Ullah, Jeffrey Racine, and Liangjun Su, to be published...