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Historical econometrics : instrumental variables and regression discontinuity designs

Caicedo, Felipe Valencia - 2020

Persistent link: https://www.econbiz.de/10012299251

The evolution of forecast density combinations in economics

Aastveit, Knut Are; Mitchell, James; Ravazzolo, Francesco; … - 2018

Increasingly, professional forecasters and academic researchers present model-based and subjective or judgment-based forecasts in economics which are accompanied by some measure of uncertainty. In its most complete form this measure is a probability density function for future values of the...

Persistent link: https://www.econbiz.de/10011895935

Density forecasting for electricity prices under tail heterogeneity with the t-Riesz distribution

Opschoor, Anne; Peerlings, Dewi; Rossini, Luca; Lucas, … - 2024

We introduce the vector-valued t-Riesz distribution for time series models of electricity prices. The t-Riesz distribution extends the well-known Multivariate Student's t distribution by allowing for tail heterogeneity via a vector of degrees of freedom (DoF) parameters. The closed-form density...

Persistent link: https://www.econbiz.de/10014583243

A score-driven filter for causal regression models with time-varying parameters and endogenous regressors

Blasques, Francisco; Stegehuis, Noah - 2024

This paper proposes a score-driven model for filtering time-varying causal parameters through the use of instrumental variables. In the presence of suitable instruments, we show that we can uncover dynamic causal relations between variables, even in the presence of regressor endogeneity which...

Persistent link: https://www.econbiz.de/10014496538

Housing returns and intertemporal substitution in consumption : estimates for industrial economies

Pozzi, Lorenzo - 2022

.e., equity and bill returns. An estimable regression equation for aggregate consumption growth and returns is obtained from the … aggregation of the consumption Euler equations of heterogeneous agents. As the regression equation includes unobserved omitted … financial factors in the regression equation. We report a baseline elasticity estimate of about 0.21. This is substantially …

Persistent link: https://www.econbiz.de/10013279905

On policy evaluation with aggregate time-series instruments

Arkhangelsky, Dmitry; Korovkin, Vasily - 2024

Persistent link: https://www.econbiz.de/10014507747

Possibly ill-behaved posteriors in econometric models

Hoogerheide, Lennart; Dijk, Herman K. van - 2008

Highly non-elliptical posterior distributions may occur in several econometric models, in particular, when the likelihood information is allowed to dominate and data information is weak. We explain the issue of highly non-elliptical posteriors in a model for the effect of education on income...

Persistent link: https://www.econbiz.de/10011374406

Education and entrepreneurial choice : an instrumental variables analysis

Block, Jörn; Hoogerheide, Lennart; Thurik, Adriaan R. - 2010 - Current version: November 2010

Education is argued to be an important driver of the decision to start a business. The measurement of its influence, however, is difficult since it is considered to be an endogenous variable. This study accounts for this endogeneity by using an instrumental variables approachand a data set of...

Persistent link: https://www.econbiz.de/10011379198

Returns to routine job tasks in the German labour market : an instrumental variables approach

Mihaylov, Emil - 2021 - Revision November 2021

This paper studies the impact of routine job tasks on workers wages in the German labour market. Using nationally representative data from the German Employment Survey, the paper finds that routine job tasks are negatively and significantly associated with workers hourly wages; the negative...

Persistent link: https://www.econbiz.de/10012591251

Dynamic identification using system projections and instrumental variables

Lewis, Daniel J.; Mertens, Karel - 2022

Persistent link: https://www.econbiz.de/10013166921