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The Cyclical Volatility of Labor Markets Under Frictional Financial Markets

Petrosky-Nadeau, Nicolas - 2010

Financial frictions are known to raise the volatility of economies to shocks (e.g. Bernanke andGertler 1989). We follow … this line of research to the labor literature concerned by the volatility of labor market outcomes to productivity shocks … are a good candidate to solve the volatility puzzle and rejoin Pissarides (2009) in arguing that hiring costs must be …

Persistent link: https://www.econbiz.de/10013139045

Trading While Sleepy? Circadian Mismatch and Excess Volatility in a Global Experimental Asset Market

Dickinson, David L. - 2017

Traders in global markets operate at different local times-of-day. Suboptimal times-of-day may produce sleepiness due to daily variations in sleep/wake patterns and possibly also increased accumulation of hours awake. Global asset markets imply significantly increased heterogeneity in circadian...

Persistent link: https://www.econbiz.de/10012947730

Aggregation in Large Dynamic Panels

Pesaran, M. Hashem - 2011

This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following Pesaran (2003), an optimal aggregate function is...

Persistent link: https://www.econbiz.de/10013129942

Bayesian Exploratory Factor Analysis

Conti, Gabriella - 2014

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...

Persistent link: https://www.econbiz.de/10013049750

Estimating the Technology of Cognitive and Noncognitive Skill Formation

Cunha, Flavio - 2010

This paper formulates and estimates multistage production functions for children's cognitive and noncognitive skills. Skills are determined by parental environments and investments at different stages of childhood. We estimate the elasticity of substitution between investments in one period and...

Persistent link: https://www.econbiz.de/10013148325

Regional Policy Evaluation : Interactive Fixed Effects and Synthetic Controls

Gobillon, Laurent - 2013

In this paper, we investigate the use of interactive effect or linear factor models in regional policy evaluation. We contrast treatment effect estimates obtained by Bai (2009)'s least squares method with the popular difference in difference estimates as well as with estimates obtained using...

Persistent link: https://www.econbiz.de/10013078823

Infinite Dimensional VARs and Factor Models

Chudik, Alexander; Pesaran, M. Hashem - 2021

This paper introduces a novel approach for dealing with the 'curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is...

Persistent link: https://www.econbiz.de/10013316638

The Identification and Economic Content of Ordered Choice Models with Stochastic Thresholds

Cunha, Flavio - 2008

This paper extends the widely used ordered choice model by introducing stochastic thresholds and interval-specific outcomes. The model can be interpreted as a generalization of the GAFT (MPH) framework for discrete duration data that jointly models durations and outcomes associated with...

Persistent link: https://www.econbiz.de/10012773457

A Job Ladder Model with Stochastic Employment Opportunities

Bradley, Jake - 2018

We set up a model with on-the-job search in which firms infrequently post vacancies for which workers occasionally apply. The model nests the standard job ladder and stock-flow models as special cases while remaining analytically tractable and easy to estimate from standard panel data sets....

Persistent link: https://www.econbiz.de/10012911194

Stochastic Complementarity

Manzini, Paola - 2018

The Hicksian definition of complementarity and substitutability may not apply in contexts in which agents are not utility maximisers or where price or income variations, whether implicit or explicit, are not available. We look for tools to identify complementarity and substitutability satisfying...

Persistent link: https://www.econbiz.de/10012928499

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