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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

Identifying the Common Component of International Economic Fluctuations: A New Approach

Lumsdaine, Robin L.; Prasad, Eswar S. - Institute for the Study of Labor (IZA) - 2002

In this paper, we develop an aggregation procedure using time-varying weights for constructing the common component of international economic fluctuations. The methodology for deriving time-varying weights is based on some stylized features of the data documented in the paper. The model allows...

Persistent link: https://www.econbiz.de/10005822387

Estimating the Causal Effect of Gun Prevalence on Homicide Rates: A Local Average Treatment Effect Approach

Kovandzic, Tomislav; Schaffer, Mark; Kleck, Gary - Institute for the Study of Labor (IZA) - 2008

This paper uses a “local average treatment effect” (LATE) framework in an attempt to disentangle the separate effects of criminal and noncriminal gun prevalence on violence rates. We first show that a number of previous studies have failed to properly address the problems of endogeneity,...

Persistent link: https://www.econbiz.de/10005822320

Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution

Pesaran, Bahram; Pesaran, M. Hashem - Institute for the Study of Labor (IZA) - 2007

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...

Persistent link: https://www.econbiz.de/10005822787

Evaluating Alternative Representations of the Choice Sets in Models of Labour Supply

Aaberge, Rolf; Colombino, Ugo; Wennemo, Tom - Institute for the Study of Labor (IZA) - 2006

During the last two decades, the discrete-choice modelling of labour supply decisions has become increasingly popular, starting with Aaberge et al. (1995) and van Soest (1995). Within the literature adopting this approach there are however two potentially important issues that are worthwhile...

Persistent link: https://www.econbiz.de/10005763518

Tenure Profiles and Efficient Separation in a Stochastic Productivity Model

Buhai, Sebastian; Teulings, Coen - Institute for the Study of Labor (IZA) - 2006

This paper provides a new way of analyzing tenure profiles in wages, by modelling simultaneously the evolution of wages and the distribution of tenures. We develop a theoretical model based on efficient bargaining, where both log outside wage and log wage in the current job follow a random walk,...

Persistent link: https://www.econbiz.de/10005703073

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

Employer Learning and Schooling-Related Statistical Discrimination in Britain

Galindo-Rueda, Fernando - Institute for the Study of Labor (IZA) - 2003

This paper develops and tests a new model of asymmetric information in the labour market involving employer learning. In the model, I provide theoretical conditions for the identification – based on the experience and tenure profiles of estimated returns to ability and education – of...

Persistent link: https://www.econbiz.de/10005566773

Examining the Impact of Macro-Economic Conditions on Income Inequality

Jäntti, Markus; Jenkins, Stephen P. - Institute for the Study of Labor (IZA) - 2001

and inflation rates. Building on the lessons from recent advances in time-series econometrics, we suggest instead that one …

Persistent link: https://www.econbiz.de/10005703840

Envy, Guilt, and the Phillips Curve

Ahrens, Steffen; Snower, Dennis J. - Institute for the Study of Labor (IZA) - 2012

contracts and positive inflation. Workers with relatively low incomes experience envy, whereas those with relatively high … incomes experience guilt. The former seek to raise their income, and latter seek to reduce it. The greater the inflation rate …, a rise in the inflation rate leads workers to supply more labor over the contract period, generating a significant …

Persistent link: https://www.econbiz.de/10009646332

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