Many promising efforts in the social sciences aim to measure future outcomes (such as wages or health outcomes) given some base level of human capital or ability. They typically fail to recognize the proxies for human capital are all measured with error, creating bias in regression analysis....

The Nelson–Olsen covariance estimator of the simultaneous least squares-probit model is adjusted to accommodate probability based stratified surveys. A simultaneous model of body mass and the propensity to exercise provides an empirical example using stratified survey data.

The paper studies the interaction between aggregation and persistence pertaining to skip sampling of stock variables as well as temporal aggregation of flow variables for the generalized fractional processes. We show that, for skip sampling, the long memory feature at the zero frequency can...

In this paper we propose a new methodology in improving the Diffusion Index forecasting model (Stock and Watson, 2002a, 2002b) using hard thresholding with robust KVB statistic for regression hypothesis tests (Kiefer et al., 2000). The new method yields promising results in the context of long...

We proposed a method to estimate extreme conditional quantiles by combining quantile GARCH model of Xiao and Koenker (2009) and extreme value theory (EVT) approach. We first estimate the latent volatility process using the information of intermediate quantiles. We then apply EVT to the tail...

This paper employs panel methods that address/mitigate heterogeneity and cross-sectional dependence to determine the direction and sign of long-run causality between transport energy consumption per capita and real GDP per capita. Granger-causality was determined to run from GDP to energy.

In this paper we consider the problem of interpreting the signs of the estimated coefficients in multivariate time series regressions where the regressors are correlated. Using a continuous time model, we argue that focusing on the signs of individual coefficients in such regressions could be...

Two-step estimation with large panel data sets generally involves estimating vectors of individual-specific coefficients in a first-stage. In a second-stage estimation a vector of estimated coefficients is used as the dependent variable. Potential problems of heteroskedasticity in the second...

This note examines a common explanation why participants of panel surveys may report declining life satisfaction over time. In line with the argument of developing trust relationships between interviewers and interviewees, the analysis reveals positive effects in reported life satisfaction when...

Existing hedonic methods cannot be easily adapted to estimate willingness to pay for product characteristics when willingness to pay depends on a very large basket of goods. We show how to marry these methods with revealed preference arguments to estimate bounds on willingness to pay using data...