We develop a class of Poisson autoregressive models with additional covariates (PARX) that can be used to model and forecast time series of counts. We establish the time series properties of the models, including conditions for stationarity and existence of moments. These results are in turn...

Based on unique register data of male immigrants in Denmark, we investigate whether self- employment is used as a last resort. To identify self-employment as a last resort, we define different types of immigrants as a function of transition probabilities between wage-employment, non-employment...

This study examines the extent state dependence among unemployed Danish immigrants in a dynamic discrete choice framework. Three alternative methodologies are employed to control for the problem of the initial condition. The empirical findings show that there is a considerable correlation...

This paper considers estimation of a dynamic discrete choice model with second order state dependence in the presence of strictly exogenous time-varying explanatory variables. We propose new method for estimating such models, and a small Monte Carlo study suggests that the method erforms well in...

This paper is concerned with high-dimensional panel data models where the number of regressors can be much larger than the sample size. Under the assumption that the true parameter vector is sparse we establish finite sample upper bounds on the estimation error of the Lasso under two different...

We establish oracle inequalities for a version of the Lasso in high-dimensional fixed effects dynamic panel data models. The inequalities are valid for the coefficients of the dynamic and exogenous regressors. Separate oracle inequalities are derived for the fixed effects. Next, we show how one...

We propose a new estimator, the thresholded scaled Lasso, in high dimensional threshold regressions. First, we establish an upper bound on the sup-norm estimation error of the scaled Lasso estimator of Lee et al. (2012). This is a non-trivial task as the literature on highdimensional models has...

This paper explores estimation of a class of non-linear dynamic panel data models with additive unobserved individual-specific effects. The models are specified by moment restrictions. The class includes the panel data AR(p) model and panel smooth transition models. We derive an efficient set of...

Low birthweight outcomes are associated with large social and economic costs, and therefore the possible determinants of low birthweight are of great interest. One such determinant which has received considerable attention is maternal smoking. From an economic perspective this is in part due to...

Severe simultaneous recessions are de?ned to occur when at least half of the countries under investigation (Australia, Canada, Germany, Japan, United Kingdom, and United States) are in recession simultaneously. I pose two new research questions that extend upon stylized facts for US recessions....