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Exponent of cross-sectional dependence: Estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, Hashem - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Persistent link: https://www.econbiz.de/10010282124

Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Pesaran, Bahram; Pesaran, Mohammad Hashem - 2007

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by … 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/10010276254

Efficient probit estimation with partially missing covariates

Conniffe, Denis; O'Neill, Donal - 2009

A common approach to dealing with missing data is to estimate the model on the common subset of data, by necessity throwing away potentially useful data. We derive a new probit type estimator for models with missing covariate data where the dependent variable is binary. For the benchmark case of...

Persistent link: https://www.econbiz.de/10010269313

Testing the correlated random coefficient model

Heckman, James Joseph; Schmierer, Daniel; Urzúa, Sergio - 2009

The recent literature on instrumental variables (IV) features models in which agents sort into treatment status on the basis of gains from treatment as well as on baseline-pretreatment levels. Components of the gains known to the agents and acted on by them may not be known by the observing...

Persistent link: https://www.econbiz.de/10010276910

Search Intensity, Cost of Living and Local Labor Markets in Britain

Patacchini, Eleonora; Zenou, Yves - 2003

effect on the (county) search intensity. We also find positive spatial correlation between counties (i.e. clustering of …

Persistent link: https://www.econbiz.de/10010262762

Social Interactions in Unemployment

Lalive, Rafael - 2003

This paper studies the relevance of social interactions among the unemployed. Identification is based on a salient and selective extension of the potential duration of unemployment benefits. If social interactions are important, this policy change affects entitled individuals not only directly,...

Persistent link: https://www.econbiz.de/10010261540

Examining the Impact of Macro-Economic Conditions on Income Inequality

Jäntti, Markus; Jenkins, Stephen P. - 2001

This paper proposes a new approach for analyzing the relationship between macroeconomic factors and the income distribution. The conventional method of analysis is regression of summary inequality indices on variables such as the unemployment and inflation rates. Building on the lessons from...

Persistent link: https://www.econbiz.de/10010262571

Expected inflation, sunspots equilibria and persistent unemployment fluctuations

Dufourt, Frédéric; Lloyd-Braga, Teresa; Modesto, Leonor - 2009

We propose and estimate a model where unemployment fluctuations result from self-fulfilling changes in expected inflation (sunspot shocks) affecting nominal wage bargaining. Since the estimated parameters fall near the locus of Hopf bifurcations, country-specific expected inflation shocks can...

Persistent link: https://www.econbiz.de/10010271258

Unemployment Benefits, Risk Aversion, and Migration Incentives

Heitmüller, Axel - 2002

With reference to the EU enlargement, a framework is derived which allows the study of the effect of unemployment benefits on the migration decision. While benefits simply increase the expected gain for risk neutral individuals, they work as an insurance device for risk averse migrants; the...

Persistent link: https://www.econbiz.de/10010274213

Commuting, wages and bargaining power

Rupert, Peter; Stancanelli, Elena G. F.; Wasmer, Etienne - 2009

A search model of the labor market is augmented to include commuting time to work. The theory posits that wages are …. The correlation between the residuals of the selectivity equation and the distance equation is -0.70, showing the large … impact of commute time on job acceptance decisions. We also use the theory to calculate the bargaining power of workers which …

Persistent link: https://www.econbiz.de/10010276782

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