We present a semiparametric method to estimate group-level dispersion, which is particularly effective in the presence of censored data. We apply this procedure to obtain measures of occupation-specific wage dispersion using top-coded administrative wage data from the German IAB Employment...

This article presents the eqregsel command for implementing the estimation and bootstrap inference of sample selection models via extremal quantile regression. The command estimates a semiparametric sample selection model without instrument or large support regressor, and outputs the point...

This paper describes a moments estimator for a standard state-space model with coefficients generated by a random walk. A penalized least squares estimation is linked to the GLS (Aitken) estimates of the corresponding linear model with time-invariant parameters. The VC estimates are moments...

Macroeconomists have long been concerned with the causal effects of monetary policy. When the identification of causal effects is based on a selection-on-observables assumption, non-causality amounts to the conditional independence of outcomes and policy changes. This paper develops a...

We analyze a long-term contracting problem involving common uncertainty about a parameter capturing the productivity of the relationship, and featuring a hidden action for the agent. We develop an approach that works for any utility function when the parameter and noise are normally distributed...

We explore the relationship between household finances and personality traits from an empirical perspective. Specifically, using individual level data drawn from the British Household Panel Survey, we analyse the influence of personality traits on financial decision-making at the individual...

In this paper, we propose a new approach to estimating sample selection models that combines Generalized Tukey Lambda (GTL) distributions with copulas. The GTL distribution is a versatile univariate distribution that permits a wide range of skewness and thick- or thin-tailed behavior in the data...

This paper investigates the association between personality traits and charitable behaviour, namely donations of time and money, using data from Understanding Society, the most recent large scale UK household longitudinal survey. Due to the censored nature of the outcome variables, i.e. some...

Time-use surveys collect very detailed information about individuals' activities over a short period of time, typically one day. As a result, a large fraction of observations have values of zero for the time spent in many activities, even for individuals who do the activity on a regular basis....

Our study proposes an econometric decomposition of the wage gap and of the difference in employment probabilities between French workers whose both parents had French citizenship at birth and French workers whose at least one parent had the citizenship of an African country at birth. For that...