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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
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Earnings Dispersion, Risk Aversion and Education
Belzil, Christian; Hansen, Jörgen - 2002
We estimate a dynamic programming model of schooling decisions in which the degree of risk aversion can be inferred from schooling decisions. In our model, individuals are heterogeneous with respect to school and market abilities but homogeneous with respect to the degree of risk aversion. We...
Persistent link: https://www.econbiz.de/10010262728
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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
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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram; Pesaran, Mohammad Hashem - 2007
than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by …-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
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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
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Labour Income Uncertainty, Risk Aversion and Home Ownership
Diaz-Serrano, Luis - 2004
In this paper we investigate the effect of labour income uncertainty on the probability of home ownership in Germany and Spain. This study is motivated by two facts. Firstly, theoretical models provide ambiguous results in this issue. Secondly, there is limited previous empirical evidence and...
Persistent link: https://www.econbiz.de/10010261778
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On the Negative Relationship between Labor Income Uncertainty and Homeownership : Risk Aversion vs. Credit Constraints
Diaz-Serrano, Luis - 2004
income volatility and credit constraints have been one of the main focuses in this concern. In this paper we test for the … credit constraints. The former question emerges from the plausible assumption that households facing higher income volatility …
Persistent link: https://www.econbiz.de/10010261962
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Real wages over the business cycle: OECD evidence from the time and frequency domains
Messina, Julián; Strozzi, Chiara; Turunen, Jarkko - 2008
positive correlation between the cyclicality of real wages and employment, suggesting that policy complementarities may …
Persistent link: https://www.econbiz.de/10010275887
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Gender differences in risk aversion and ambiguity aversion
Borghans, Lex; Golsteyn, Bart H. H.; Heckman, James Joseph - 2009
This paper demonstrates gender differences in risk aversion and ambiguity aversion. It also contributes to a growing literature relating economic preference parameters to psychological measures by asking whether variations in preference parameters among persons, and in particular across genders,...
Persistent link: https://www.econbiz.de/10010274253
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Growth, volatility and political instability: non-linear time-series evidence for Argentina, 1896 - 2000
Campos, Nauro F.; Karanasos, Menelaos G. - 2007
What is the relationship between economic growth and its volatility? Does political instability affect growth directly … or indirectly, through volatility? This paper tries to answer such questions using a power-ARCH framework with annual … legislative changes) has an indirect (through volatility) negative impact. We also find preliminary support for the idea that …
Persistent link: https://www.econbiz.de/10010268236