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Zero-diagonality as a linear structure
Magnus, Jan R.; Sentana, Enrique - 2020
A linear structure is a family of matrices that satisfy a given set of linear restrictions, such as symmetry or diagonality. We add to the literature on linear structures by studying the family of matrices where all diagonal elements are zero, and discuss two econometric examples where these...
Persistent link: https://www.econbiz.de/10012237111
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Detecting shocks : outliers and breaks in time series
Atkinson, A. C.; Kooiman, Siem J.; Shephard, Neil - 1993
Persistent link: https://www.econbiz.de/10000122498
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The pace of structural change, cyclical shocks and unemployment dynamics : simulations using an empirical flow model
Butter, Frank A. G. den; Dijk, Mark van - 1997
Persistent link: https://www.econbiz.de/10000961553
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Interaction between supply and demand shocks in production and employment
Butter, Frank A. G. den; Koopman, Siem Jan - 1997
Persistent link: https://www.econbiz.de/10000961559
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Interaction between supply and demand shocks in production and employment
Butter, F. A. G. den; Koopman, S. J. - 1997
Persistent link: https://www.econbiz.de/10000675026
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A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises
Guo, Xu; McAleer, Michael; Wong, Wing Keung; Zhu, Lixing - 2016
subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to … incorporate the impact of financial crises. We further assume the earning shock follows an exponential family distribution to take … expected earnings shock and its volatility, and establish properties of investor behavior on the stock price and its volatility …
Persistent link: https://www.econbiz.de/10011441491
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Disability and work : the role of health shocks and childhood circumstances
Lindeboom, Maarten; Llena-Nozal, Ana; Klaauw, Bas van der - 2006
outcomes. Using the health shock as an instrumental variable shows that the onset of a disability at age 25 causally reduces …
Persistent link: https://www.econbiz.de/10011349212
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Idiosyncratic labour income risk and aggregate consumption : an unobserved component approach
Pozzi, Lorenzo - 2007
We investigate the importance of aggregate and consumer-specific or idiosyncratic labour income risk for aggregate consumption changes in the US over the period 1952-2001. Theoretically, the effect of labour income risk on consumption changes is decomposed into an aggregate and into an...
Persistent link: https://www.econbiz.de/10011372981
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The own and social effects of an unexpected income shock
Kuhn, Peter Joseph; Kooreman, Peter; Soetevent, Adriaan R. - 2010 - Rev. May 5, 2010
Each week, the Dutch Postcode Lottery (PCL) randomly selects a postal code, and distributes cash and a new BMWto lottery participants in that code. We study the effects of these shocks on lottery winners and their neighbors.Consistent with the life-cycle hypothesis, the effects on winners’...
Persistent link: https://www.econbiz.de/10011374379
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Volatility spillover and multivariate volatility impulse response analysis of GFC news events
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2016
). The third shock is 9 May 2010. Our modelling includes leverage and asymmetric effects undertaken in the context of a …
Persistent link: https://www.econbiz.de/10011556166