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Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations

Mencía, Javier; Sentana, Enrique - C.E.P.R. Discussion Papers - 2005

We analyse the Generalised Hyperbolic distribution adequacy to model kurtosis and asymmetries in multivariate conditionally heteroskedastic dynamic regression models. We standardise this distribution, obtain analytical expressions for the log-likelihood score, and explain how to evaluate the...

Persistent link: https://www.econbiz.de/10005124228

On the importance of sectoral and regional shocks for price-setting

Beck, Günter; Hubrich, Kirstin; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2011

We use a novel disaggregate sectoral euro area data set with a regional breakdown to investigate price changes and suggest a new method to extract factors from over-lapping data blocks. This allows us to separately estimate aggregate, sectoral, country-specific and regional components of price...

Persistent link: https://www.econbiz.de/10009001069

Betting the House

Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2014

Is there a link between loose monetary conditions, credit growth, house price booms, and financial instability? This paper analyzes the role of interest rates and credit in driving house price booms and busts with data spanning 140 years of modern economic history in the advanced economies. We...

Persistent link: https://www.econbiz.de/10011145419

A spectral EM algorithm for dynamic factor models

Fiorentini, Gabriele; Galesi, Alessandro; Sentana, Enrique - C.E.P.R. Discussion Papers - 2015

We introduce a frequency domain version of the EM algorithm for general dynamic factor models. We consider both AR and ARMA processes, for which we develop iterative indirect inference procedures analogous to the algorithms in Hannan (1969). Although our proposed procedure allows researchers to...

Persistent link: https://www.econbiz.de/10011168903

Fast ML estimation of dynamic bifactor models: an application to European inflation

Fiorentini, Gabriele; Galesi, Alessandro; Sentana, Enrique - C.E.P.R. Discussion Papers - 2015

We generalise the spectral EM algorithm for dynamic factor models in Fiorentini, Galesi and Sentana (2014) to bifactor models with pervasive global factors complemented by regional ones. We exploit the sparsity of the loading matrices so that researchers can estimate those models by maximum...

Persistent link: https://www.econbiz.de/10011186627

The Great Mortgaging: Housing Finance, Crises, and Business Cycles

Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2014

This paper unveils a new resource for macroeconomic research: a long-run dataset covering disaggregated bank credit for 17 advanced economies since 1870. The new data show that the share of mortgages on banks’ balance sheets doubled in the course of the 20th century, driven by a sharp rise of...

Persistent link: https://www.econbiz.de/10011083232

Do Financial Incentives for Firms Promote Employment of Disabled Workers? A Regression Discontinuity Approach

Lalive, Rafael; Wuellrich, Jean-Philippe; Zweimüller, Josef - C.E.P.R. Discussion Papers - 2009

We study the impact of employment quota on firms' demand for disabled workers. The Austrian Disabled Persons Employment Act (DPEA) requires firms to provide at least one job to a disabled worker per 25 non-disabled workers, a rule which is strictly enforced by non-compliance taxation. We find...

Persistent link: https://www.econbiz.de/10004973967

Disability Testing and Retirement

Cremer, Helmuth; Lozachmeur, Jean-Marie; Pestieau, Pierre - C.E.P.R. Discussion Papers - 2006

This paper studies the design of retirement and disability policies. It illustrates the often observed exit from the … labour force of healthy workers through disability insurance schemes. Two types of individuals, disabled and leisure …

Persistent link: https://www.econbiz.de/10005123923

Disability and Work: The Role of Health Shocks and Childhood Circumstances

Lindeboom, Maarten; Llena-Nozal, Ana; van der Klaauw, Bas - C.E.P.R. Discussion Papers - 2006

This paper focuses on the relation between the onset of disability and employment outcomes. We develop an event history … onset of a disability by around 138%. However, health shocks are relatively rare events and therefore the larger part of … observed disability rates result from gradual deteriorations in health. We find no direct effect of health shocks on employment …

Persistent link: https://www.econbiz.de/10005661885

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models

Peñaranda, Francisco; Sentana, Enrique - C.E.P.R. Discussion Papers - 2010

Two main approaches are commonly used to empirically evaluate linear factor pricing models: regression and SDF methods, with centred and uncentred versions of the latter. We show that unlike standard two-step or iterated GMM procedures, single-step estimators such as continuously updated GMM...

Persistent link: https://www.econbiz.de/10008466351