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Separating the impact of macroeconomic variables and global frailty in event data

Wolter, James - Department of Economics, Oxford University - 2013

Global frailty is an unobserved macroeconomic variable. In event data contexts, this unobserved variable is assumed to … impact the hazard rate of event arrivals. Attempts to identify and estimate the path of frailty are complicated when … global frailty can be confused and identification can fail. In this paper I show that, under appropriate assumptions, the …

Persistent link: https://www.econbiz.de/10011004346

How Housing Slumps End

O'Rourke, Kevin Hjortshøj; Benetrix, Augustin S.; … - Department of Economics, Oxford University - 2011

We construct a simple probit model of the determinants of real house price slump endings. We find that the probability of a house price slump ending is higher, the smaller was the pre-slump house price run-up; the greater has been the cumualtive house price decline; the lower are real mortgage...

Persistent link: https://www.econbiz.de/10009318136

Unemployment duration, job search and labour market segmentation. Evidence from urban Ethiopia

Serneels, Pieter - Department of Economics, Oxford University - 2008

Although it is a common theoretical assumption that the chances to find a job fall with time in unmeployment, this is not systematically confirmed by empirical evidence, and there is no evidence for developing countries. We develop a farmework that allows us to test the four major explanations...

Persistent link: https://www.econbiz.de/10011004427

Explaining Non-Negative Duration Dependence Among the Unemployed

Serneels, Pieter - Department of Economics, Oxford University - 2002

We investigate why we observe non-negative duration dependence among young unemployed men in urban Ethiopia. Assuming that genuine duration dependence is negative, there are five explanations for a non-decreasing hazard: the presence of unemployment benefits, the existence of Active Labour...

Persistent link: https://www.econbiz.de/10010604938

Semiparametric autoregressive conditional proportional hazard models

Gerhard, Frank; Hautsch, Nikolaus - Department of Economics, Oxford University - 2001

A new semiparametric proportional hazard rate model is proposed which extends standard models to include a dynamic specification. Two main problems are resolved in the course of this paper. First, the partial likelihood approach to estimate the components of a standard proportional hazard model...

Persistent link: https://www.econbiz.de/10010604975

Estimating Fertility Responses to Expectations: Evidence From the 1958 British Cohort

Bono, Emilia Del - Department of Economics, Oxford University - 2001

The aim of this work is to explore the relationship between unemployment and fertility. The hypothesis we investigate is that unemployment affects fertility decisions by influencing individual`s expectations of future job opportunities and wage levels. A spell of unemployment may induce women to...

Persistent link: https://www.econbiz.de/10010605033

Pre-Marital Fertility and Labour Market Opportunities: Evidence from the 1970 British Cohort Study

Bono, Emilia Del - Department of Economics, Oxford University - 2004

This paper investigates the effect of earnings and employment opportunities on pre-marital fertility. Using data from a sample of British women born in 1970, we estimate an independent competing risk harzard model of fertility and cohabitation decisions. Our results show that individual earnings...

Persistent link: https://www.econbiz.de/10005090681

Credit shocks and cycles: a Bayesian calibration approach

Meeks, Roland - Department of Economics, Oxford University - 2006

This paper asks how well a general equilibrium agency cost model describes the dynamic relationship between credit variables and the business cycle. A Bayesian VAR is used to obtain probability intervals for empirical correlations. The agency cost model is found to predict the leading,...

Persistent link: https://www.econbiz.de/10010820335

Robust inference on parameters via particle filters and sandwich covariance matrices

Shephard, Neil; Doucet, Arnaud - Department of Economics, Oxford University - 2012

Likelihood based estimation of the parameters of state space models can be carried out via a particle filter. In this paper we show how to make valid inference on such parameters when the model is incorrect. In particular we develop a simulation strategy for computing sandwich covariance...

Persistent link: https://www.econbiz.de/10011004407

Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models

Shephard, Neil; Flury, Thomas - Department of Economics, Oxford University - 2008

Suppose we wish to carry out likelihood based inference but we solely have an unbiased simulation based estimator of the likelihood. We note that unbiasedness is enough when the estimated likelihood is used inside a Metropolis-Hastings algorithm. This result has recently been introduced in...

Persistent link: https://www.econbiz.de/10005047860