This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...

In RD designs with multiple cutoffs, the identification of an average causal effect across cutoffs may be problematic if a marginally exposed subject is located exactly at each cutoff. This occurs whenever a fixed number of treatment slots is allocated starting from the subject with the highest...

Quantile regression and quantile treatment effect methods are powerful econometric tools for considering economic impacts of events or variables of interest beyond the mean. The use of quantile methods allows for an examination of impacts of some independent variable over the entire distribution...

We analyze the impact of (over-)confidence on gender differences in expected starting salaries using elicited beliefs of prospective university students in Germany. According to our results, female students have lower wage expectations and are less overconfident than their male counterparts....

This paper evaluates the effects of the newly introduced German minimum wage on the distribution of hourly wages and hours worked. The study is based on the German Structure of Earnings Survey (GSES), the only large scale data set for Germany that includes information on hourly wages and hours...

This paper proposes a method to analyze interval-censored data, using multiple imputation based on a heteroskedastic interval regression approach. The proposed model aims to obtain a synthetic data set that can be used for standard analysis, including standard linear regression, quantile...

In this paper we describe an alternative iterative approach for the estimation of linear regression models with high-dimensional fixed-effects such as large employer-employee data sets. This approach is computationally intensive but imposes minimum memory requirements. We also show that the...

Economic conditions such as convexity, homogeneity, homotheticity, and monotonicity are all important assumptions or consequences of assumptions of economic functionals to be estimated. Recent research has seen a renewed interest in imposing constraints in nonparametric regression. We survey the...

This paper addresses the selection of smoothing parameters for estimating the average treatment effect on the treated using matching methods. Because precise estimation of the expected counterfactual is particularly important in regions containing the mass of the treated units, we define and...