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Real wages over the business cycle : OECD evidence from the time and frequency domains

Messina, Julian (contributor); Strozzi, Chiara (contributor) - 2008

positive correlation between the cyclicality of real wages and employment, suggesting that policy complementarities may … correlation ; labour market institutions …

Persistent link: https://www.econbiz.de/10003784405

Testing the correlated random coefficient model

Heckman, James J.; Schmierer, Daniel; Urzua, Sergio - 2009

The recent literature on instrumental variables (IV) features models in which agents sort into treatment status on the basis of gains from treatment as well as on baseline-pretreatment levels. Components of the gains known to the agents and acted on by them may not be known by the observing...

Persistent link: https://www.econbiz.de/10003907131

Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Pesaran, Bahram (contributor); … - 2007

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by … than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …

Persistent link: https://www.econbiz.de/10003586562

Exponent of cross-sectional dependence : estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Persistent link: https://www.econbiz.de/10009530816

Dependence measures in bivariate gamma frailty models

Berg, Gerard J. van den; Effraimidis, Georgios - 2014

distributions. For such cases we calculate general bounds for two association measures, Pearson's correlation coefficient and …

Persistent link: https://www.econbiz.de/10010339585

Efficient probit estimation with partially missing covariates

Conniffe, Denis; O'Neill, Donal - 2009

A common approach to dealing with missing data is to estimate the model on the common subset of data, by necessity throwing away potentially useful data. We derive a new probit type estimator for models with missing covariate data where the dependent variable is binary. For the benchmark case of...

Persistent link: https://www.econbiz.de/10003829113

Correlations of brothers' earnings and intergenerational transmission

Bingley, Paul; Cappellari, Lorenzo - 2017

Correlations between parent and child earnings reflect intergenerational mobility and, more broadly, correlations between siblings' earnings reflect shared community and family background. These earnings relationships capture important aspects of relations in socioeconomic status more generally....

Persistent link: https://www.econbiz.de/10011647671

Educational homogamy and assortative mating have not increased

Gihleb, Rania; Lang, Kevin - 2016

sensitive to how educational categories are chosen. We also find no evidence that the correlation between spouses' potential …

Persistent link: https://www.econbiz.de/10011594659

Bayesian panel quantile regression for binary outcomes with correlated random effects : an application on crime recidivism in Canada

Bresson, Georges; Lacroix, Guy; Rahman, Mohammad Arshad - 2020

This article develops a Bayesian approach for estimating panel quantile regression with binary outcomes in the presence of correlated random effects. We construct a working likelihood using an asymmetric Laplace (AL) error distribution and combine it with suitable prior distributions to obtain...

Persistent link: https://www.econbiz.de/10012163022

An analysis of sibling correlations in health using latent variable models

Halliday, Timothy; Mazumder, Bhashkar - 2014

principal component across all outcomes, we obtain a sibling correlation of about 53%. These estimates, which are larger than …

Persistent link: https://www.econbiz.de/10010441719

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