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Education and Entrepreneurial Choice: An Instrumental Variables Analysis

Block, Joern H.; Hoogerheide, Lennart; Thurik, Roy - Tinbergen Instituut - 2009

endogeneity by using an instrumental variables approachand a data set of more than ten thousand individuals from 27 European …

Persistent link: https://www.econbiz.de/10011257474

Are Education and Entrepreneurial Income Endogenous and do Family Background Variables make Sense as Instruments? A Bayesian Analysis

Block, Joern H.; Hoogerheide, Lennart; Thurik, Roy - Tinbergen Instituut - 2010

, suffers from endogeneity suspicion. For instance, ability and occupational choice are mentioned as driving both the level of … endogeneity is really present, whether it matters and whether the selected instruments make sense. Using Bayesian methods, we find … that the relationship between education and entrepreneurial income is indeed endogenous and that the impact of endogeneity …

Persistent link: https://www.econbiz.de/10011257490

The Maximum Number of Parameters for the Hausman Test When the Estimators are from Different Sets of Equations

Nawata, Kazumitsu; McAleer, Michael - Tinbergen Instituut - 2013

This discussion paper led to a publication in Economics Letters (2014). Vol. 123(3), pages 291-294. Hausman (1978) developed a widely-used model specification test that has passed the test of time. The test is based on two estimators, one being consistent under the null hypothesis but...

Persistent link: https://www.econbiz.de/10011256925

A General Framework for Observation Driven Time-Varying Parameter Models

Creal, Drew; Koopman, Siem Jan; Lucas, André - Tinbergen Instituut - 2008

We propose a new class of observation driven time series models referred to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled score of the likelihood function. This approach provides a unified and consistent framework for introducing...

Persistent link: https://www.econbiz.de/10011255643

Testing for Parameter Instability in Competing Modeling Frameworks

Calvori, Francesco; Creal, Drew; Koopman, Siem Jan; … - Tinbergen Instituut - 2014

We develop a new parameter stability test against the alternative of observation driven generalized autoregressive score dynamics. The new test generalizes the ARCH-LM test of Engle (1982) to settings beyond time-varying volatility and exploits any autocorrelation in the likelihood scores under...

Persistent link: https://www.econbiz.de/10011255854

Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes

Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre - Tinbergen Instituut - 2012

This discussion paper led to a publication in the Electronic Journal of Statistics (2014). Vol. 8, pages 1088-1112. We characterize the dynamic properties of Generalized Autoregressive Score (GAS) processes by identifying regions of the parameter space that imply stationarity and ergodicity. We...

Persistent link: https://www.econbiz.de/10011256295

Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk

Zhang, Xin; Schwaab, Bernd; Lucas, Andre - Tinbergen Instituut - 2011

We propose a novel empirical framework to assess the likelihood of joint and conditional failure for Euro area sovereigns. Our model is based on a dynamic skewed-t copulawhich captures all the salient features of the data, including skewed and heavy-tailed changes in the price of CDS protection...

Persistent link: https://www.econbiz.de/10011256560

Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series

Koopman, Siem Jan; Wong, Soon Yip - Tinbergen Instituut - 2006

model specifications for the parameters are therefore not required. Parameter estimation is carried out in the frequency …

Persistent link: https://www.econbiz.de/10011256642

Stock Selection, Style Rotation, and Risk

Lucas, André; Dijk, Ronald van; Kloek, Teun - Tinbergen Instituut - 2001

Using US data from June 1984 to July 1999, we show that the impact of firm-specificcharacteristics like size and book-to-price on future excess stock returns varies considerably overtime. The impact can be either positive or negative at different times. This time variation ispartially...

Persistent link: https://www.econbiz.de/10011257058

Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models

Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre; … - Tinbergen Instituut - 2014

We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the...

Persistent link: https://www.econbiz.de/10011257308