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Pesaran, Mohammad Hashem; Chudik, Alexander - 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/10010285520

Aggregation in Large Dynamic Panels

Pesaran, Hashem; Chudik, Alexander - Institute for the Study of Labor (IZA) - 2011

Persistent link: https://www.econbiz.de/10008839293

Education, Health and Wages

Heckman, James J.; Humphries, John Eric; Veramendi, Gregory - 2014

This paper develops and estimates a model with multiple schooling choices that identifies the causal effect of different levels of schooling on health, health-related behaviors, and labor market outcomes. We develop an approach that is a halfway house between a reduced form treatment effect...

Persistent link: https://www.econbiz.de/10010352284

Education, Health and Wages

Heckman, James J.; Humphries, John Eric; Veramendi, Gregory - Institute for the Study of Labor (IZA) - 2014

Persistent link: https://www.econbiz.de/10010752228

Infinite dimensional VARs and factor models

Chudik, Alexander; Pesaran, Mohammad Hashem - 2007

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 shown that under such restrictions, an infinite-dimensional VAR (or … IVAR) can be arbitrarily well characterized by a large number of finite-dimensional models in the spirit of the global VAR …

Persistent link: https://www.econbiz.de/10010276258

Infinite Dimensional VARs and Factor Models

Chudik, Alexander; Pesaran, M. Hashem - Institute for the Study of Labor (IZA) - 2007

Persistent link: https://www.econbiz.de/10005763451

Health care expenditure and income in the OECD reconsidered: Evidence from panel data

Baltagi, Badi H.; Moscone, Francesco - 2010

This paper reconsiders the long-run economic relationship between health care expenditure and income using a panel of 20 OECD countries observed over the period 1971-2004. In particular, the paper studies the non-stationarity and cointegration properties between health care spending and income....

Persistent link: https://www.econbiz.de/10010269764

Estimating Distributions of Treatment Effects with an Application to the Returns to Schooling and Measurement of the Effects of Uncertainty on College Choice

Carneiro, Pedro; Hansen, Karsten T.; Heckman, James Joseph - 2003

This paper uses factor models to identify and estimate distributions of counterfactuals. We extend LISREL frameworks to a dynamic treatment effect setting, extending matching to account for unobserved conditioning variables. Using these models, we can identify all pairwise and joint treatment...

Persistent link: https://www.econbiz.de/10010274215

Quantiles of the Gain Distribution of an Early Childhood Intervention

Battistin, Erich; Lamarche, Carlos; Rettore, Enrico - 2020

We offer a new strategy to identify the distribution of treatment effects using data from the Infant Health and Development Program (IHDP), a relatively understudied early-childhood intervention for low birth-weight infants. We introduce a new policy parameter, QCD, which denotes quantiles of...

Persistent link: https://www.econbiz.de/10012207782

Quantile Factor Models

Chen, Liang; Dolado, Juan J.; Gonzalo, Jesús - 2020

Quantile factor models (QFM) represent a new class of factor models for high-dimensional panel data. Unlike approximate factor models (AFM), which only extract mean factors, QFM also allow unobserved factors to shift other relevant parts of the distributions of observables. We propose a quantile...

Persistent link: https://www.econbiz.de/10012497771