To compare distributions of ordinal data such as individuals' responses on Likert-type scale variables summarizing subjective well-being, we should not apply the toolbox of methods developed for cardinal variables such as income. Instead we should use an analogous toolbox which takes account of...

We use a rich new body of data on the experiences of unemployed job-seekers to determine the sources of wage dispersion and to create a search model consistent with the acceptance decisions the job-seekers made. From the data and the model, we identify the distributions of four key variables:...

Bivariate duration data frequently arise in economics, biostatistics and other areas. In "bivariate frailty models", dependence between the frailties (i.e., unobserved determinants) induces dependence between the durations. Using notions of quadrant dependence, we study restrictions that this...

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...

This paper analyzes the stability and distribution of ambiguity attitudes using a broad population sample. Using high-powered incentives, we collected six waves of data on ambiguity attitudes about financial markets – our main application – and climate change. Estimating a structural...

We develop a regression decomposition technique for hazard rate models, where the difference in observed rates is decomposed into components attributable to group differences in characteristics and group differences in effects. The baseline hazard is specified using a piecewise constant...

This paper develops and applies a Bayesian approach to Exploratory Factor Analysis that improves on ad hoc classical approaches. Our framework relies on dedicated factor models and simultaneously determines the number of factors, the allocation of each measurement to a unique factor, and the...

In this paper, we propose a method to evaluate the effect of a counterfactual change in the unconditional distribution of a single covariate on the unconditional distribution of an outcome variable of interest. Both fixed and infinitesimal changes are considered. We show that such effects are...