Showing 1 - 10 of 69
This paper considers empirical work relating to models of firm dynamics. We show that a hazard regression model for firm exits, with a modification to accommodate age-varying covariate effects, provides an empirical framework accommodating many of the features of interest in studies on firm...
Persistent link: https://www.econbiz.de/10005407957
We propose an Instrumental Variable method for Generalised Accelerated Failure Time (GAFT) models that adjust for possible endogeneity of the intervention of interest, without suffering the problems of the intention-to-treat method. We develop an estimatiom procedure that collapses to the linear...
Persistent link: https://www.econbiz.de/10005062568
Persistent link: https://www.econbiz.de/10005407997
We propose a new method to implement the Business Time Sampling (BTS) scheme for high-frequency financial data. We compute a time-transformation (TT) function using the intraday integrated volatility estimated by a jump-robust method. The BTS transactions are obtained using the inverse of the TT...
Persistent link: https://www.econbiz.de/10011995199
We estimate a semiparametric single-risk discrete-time duration model to assess the effect of vocational training on the duration of unemployment spells. The data basis used in this study is the German Socio-Economic- Panel (GSOEP) for West Germany for the period from 1986 to 1994. To take into...
Persistent link: https://www.econbiz.de/10005407961
Persistent link: https://www.econbiz.de/10005062541
This paper compares two approaches to analyzing longitudinal discrete-time binary outcomes. Dynamic binary response models focus on state occupancy and typically specify low-order Markovian state dependence. Multi-spell duration models focus on transitions between states and typically allow for...
Persistent link: https://www.econbiz.de/10012696217
This paper offers a general and comprehensive definition of the day-of-the-week effect. Using symbolic dynamics, we develop a unique test based on ordinal patterns in order to detect it. This test uncovers the fact that the so-called 'day-of-the-week' effect is partly an artifact of the hidden...
Persistent link: https://www.econbiz.de/10011995204
Nonlinear estimation of the gravity model with Poisson-type regression methods has become popular for modelling international trade flows, because it permits a better accounting for zero flows and extreme values in the distribution tail. Nevertheless, as trade flows are not independent from each...
Persistent link: https://www.econbiz.de/10011995210
In economics, rank-size regressions provide popular estimators of tail exponents of heavy-tailed distributions. We discuss the properties of this approach when the tail of the distribution is regularly varying rather than strictly Pareto. The estimator then over-estimates the true value in the...
Persistent link: https://www.econbiz.de/10011995211