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Variance Estimation in a Random Coefficients Model

Schlicht, Ekkehart; Ludsteck, Johannes - Institute for the Study of Labor (IZA) - 2006

This papers describes an estimator for a standard state-space model with coefficients generated by a random walk that is statistically superior to the Kalman filter as applied to this particular class of models. Two closely related estimators for the variances are introduced: A maximum...

Persistent link: https://www.econbiz.de/10005566384

Real Time Econometrics

Pesaran, M. Hashem; Timmermann, Allan - Institute for the Study of Labor (IZA) - 2004

This paper considers the problems facing decision makers using econometric models in real time. It identifies the key stages involved and highlights the role of automated systems in reducing the effect of data snooping. It sets out many choices that researchers face in construction of automated...

Persistent link: https://www.econbiz.de/10005763536

On the Estimation and Forecasting of International Migration: How Relevant Is Heterogeneity Across Countries?

Brücker, Herbert; Siliverstovs, Boriss - Institute for the Study of Labor (IZA) - 2005

This paper performs a comparative analysis of estimation as well as of out-of-sample forecasting results of more than … estimates of the migration function. Out-of-sample forecasting results indicate the following: (i) the standard fixed effects … variables estimators, (iv) forecasting performance of heterogenous estimators is mediocre in our data set. …

Persistent link: https://www.econbiz.de/10005703752

Forecasting Time Series Subject to Multiple Structural Breaks

Pesaran, M. Hashem; Pettenuzzo, Davide; Timmermann, Allan - Institute for the Study of Labor (IZA) - 2004

This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a …

Persistent link: https://www.econbiz.de/10005763710

Measurement Error in Subjective Expectations and the Empirical Content of Economic Models

Drerup, Tilman; Enke, Benjamin; Gaudecker, Hans-Martin von - Institute for the Study of Labor (IZA) - 2014

While stock market expectations are among the most important primitives of portfolio choice models, their measurement has proved challenging for some respondents. We argue that the magnitude of measurement error in subjective expectations can be used as an indicator of the degree to which...

Persistent link: https://www.econbiz.de/10010959574

Nash Bargaining and the Wage Consequences of Educational Mismatches

Hartog, Joop; Sattinger, Michael - Institute for the Study of Labor (IZA) - 2012

The paper provides a theoretical foundation for the empirical regularities observed in estimations of wage consequences of overeducation and undereducation. Workers with more education than required for their jobs are observed to suffer wage penalties relative to workers with the same education...

Persistent link: https://www.econbiz.de/10010959628

Dependence Measures in Bivariate Gamma Frailty Models

den Berg, Gerard J. van; Effraimidis, Georgios - Institute for the Study of Labor (IZA) - 2014

Bivariate duration data frequently arise in economics, biostatistics and other areas. In "bivariate frailty models", dependence between the frailties (i.e., unobserved determinants) induces dependence between the durations. Using notions of quadrant dependence, we study restrictions that this...

Persistent link: https://www.econbiz.de/10010757340

A General Double Robustness Result for Estimating Average Treatment Effects

Sloczynski, Tymon; Wooldridge, Jeffrey M. - Institute for the Study of Labor (IZA) - 2014

In this paper we study doubly robust estimators of various average treatment effects under unconfoundedness. We unify and extend much of the recent literature by providing a very general identification result which covers binary and multi-valued treatments; unnormalized and normalized weighting;...

Persistent link: https://www.econbiz.de/10010757772

Dynamic Panel Data Models with Irregular Spacing: With Applications to Early Childhood Development

Millimet, Daniel L.; McDonough, Ian K. - Institute for the Study of Labor (IZA) - 2013

With the increased availability of longitudinal data, dynamic panel data models have become commonplace. Moreover, the properties of various estimators of such models are well known. However, we show that these estimators breakdown when the data are irregularly spaced along the time dimension....

Persistent link: https://www.econbiz.de/10010643100

Simplified Implementation of the Heckman Estimator of the Dynamic Probit Model and a Comparison with Alternative Estimators

Arulampalam, Wiji; Stewart, Mark - Institute for the Study of Labor (IZA) - 2007

This paper presents a convenient shortcut method for implementing the Heckman estimator of the dynamic random effects probit model using standard software. It then compares the three estimators proposed by Heckman, Orme and Wooldridge based on three alternative approximations, first in an...

Persistent link: https://www.econbiz.de/10005703243

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