The paper investigates maternity leave behavior in West Germany for females being employed between 1995 and 2006 using data from the German Socio Economic Panel. The observational study focuses on the investigation of individual and family-related covariate effects on the duration of maternity...

The paper investigates maternity leave behavior in West Germany for females being employed between 1995 and 2006 using data from the German Socio Economic Panel. The observational study focuses on the investigation of individual and family-related covariate effects on the duration of maternity...

We consider the problem of detecting unobserved heterogeneity, that is, the problem of testing the absence of random individual effects in an n×T panel. We establish a local asymptotic normality property–with respect to intercept, regression coefficient, the scale parameter σ of the error,...

This paper shows that there are severe measurement errors regarding the occupational affiliations in the German Socio-Economic Panel. These errors are traced back to the survey structure: in years where occupational information is gathered from the entire employed population instead of only from...

This paper shows that there are severe measurement errors regarding the occupational affiliations in the German Socio-Economic Panel. These errors are traced back to the survey structure: in years where occupational information is gathered from the entire employed population instead of only from...

We model credit rating histories as continuous-time discrete-state Markov processes. Infrequent monitoring of the debtors’ solvency will result in erroneous observations of the rating transition times, and consequently in biased parameter estimates. We develop a score test against such...

We propose a consistent test for a linear functional form against a nonparametric alternative in a fixed effects panel data model. We show that the test has a limiting standard normal distribution under the null hypothesis, and show that the test is a consistent test. We also establish the...

This paper investigates the effect that covariate measurement error has on a treatment effect analysis built on an unconfoundedness restriction in which there is conditioning on error free covariates. The approach uses small parameter asymptotic methods to obtain the approximate effects of...

This paper considers the estimation of panel data models by first differences in the presence of endogenous variables and under an instrumental variables condition. This framework leads to the resolution of linear inverse problems solved using a Tikhonov regularization with L2 or Sobolev...

A semiparametric fixed effects model is introduced to describe the nonlinear trending phenomenon in panel data analysis and it allows for the cross-sectional dependence in both the regressors and the residuals. A pooled semiparametric profile likelihood dummy variable approach based on the...