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than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …
Persistent link: https://www.econbiz.de/10013316934
This paper shows nonparametric identification of quantile treatment effects (QTE) in the regression discontinuity design. The distributional impacts of social programs such as welfare, education, training programs and unemployment insurance are of large interest to economists. QTE are an...
Persistent link: https://www.econbiz.de/10013069679
A key assumption in regression discontinuity analysis is that units cannot manipulate the value of their running variable in a way that guarantees or avoids assignment to the treatment. Standard identification arguments break down if this condition is violated. This paper shows that treatment...
Persistent link: https://www.econbiz.de/10013001869
In the canonical regression discontinuity (RD) design for applicants who face an award or admissions cutoff, causal effects are nonparametrically identified for those near the cutoff. The effect of treatment on inframarginal applicants is also of interest, but identification of such effects...
Persistent link: https://www.econbiz.de/10013080150
using matching methods. Because precise estimation of the expected counterfactual is particularly important in regions …
Persistent link: https://www.econbiz.de/10013316785
I perform the joint estimation of a reduced-form dynamic model of the transition from one grade level to the next, and …
Persistent link: https://www.econbiz.de/10013317194
-capita expenditures and ignore the extent of within-household inequality. Recent advances in the estimation of collective models suggest …
Persistent link: https://www.econbiz.de/10014254963
We develop a new approach to the decomposition of income risk within a nonstationary model of intertemporal choice. The … approach allows for changes in income risk over the life-cycle and with the business cycle. It requires only repeated cross … decomposing income risk. The approach is used to investigate the changes in income risk in Britain across the inequality growth …
Persistent link: https://www.econbiz.de/10013118049
We study workers' idiosyncratic earnings risk over the life-cycle using a German administrative data set. Positive and … incomplete markets model. Moreover, age-varying risk implies a linear increase in consumption inequality late in working life …
Persistent link: https://www.econbiz.de/10012948657
We estimate the changes in US male labor market risk over the last three decades in a model of endogenous labor supply … a life-cycle model with search frictions, we show that the estimated changes in risk can account for 85 percent of the … increase in within group wage inequality. The welfare costs of rising risk are small …
Persistent link: https://www.econbiz.de/10012966057