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Robust estimation of linear fixed effects panel data models with an application to the exporter productivity premium
Verardi, Vincenzo; Wagner, Joachim - 2010
the sample. These extreme observations, or outliers, often have a large impact on the results of statistical analyses … this, the detection of outliers and their appropriate treatment is often dealt with in a rather sloppy manner. One reason … the presence of outliers. Our paper intents to improve on this situation by presenting a highly robust method for …
Persistent link: https://www.econbiz.de/10010269751
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The labour market integration of refugee and family reunion immigrants: A comparison of outcomes in Canada and Sweden
Bevelander, Pieter; Pendakur, Ravi - 2012
This paper assesses the employment and earnings trajectories of refugee and family reunion category immigrants in Canada and Sweden using two national level sources of data. The Canadian Immigration Database (IMDB) is a file that links the intake record of post 1979 immigrants with annual...
Persistent link: https://www.econbiz.de/10010289873
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Nonparametric IV Estimation of Local Average Treatment Effects with Covariates
Frölich, Markus - 2002
In this paper nonparametric instrumental variable estimation of local average treatment effects (LATE) is extended to incorporate confounding covariates. Estimation of local average treatment effects is appealing since their identification relies on much weaker assumptions than the...
Persistent link: https://www.econbiz.de/10010262665
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A new continuous distribution and two new families of distributions based on the exponential
Jasso, Guillermina; Kotz, Samuel - 2007
Recent work on social status led to derivation of a new continuous distribution based on the exponential. The new variate, termed the ring(2)-exponential, in turn leads to derivation of two closely-related new families of continuous distributions, which we call the mirror-exponential and the...
Persistent link: https://www.econbiz.de/10010267847
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Moving the goalposts: addressing limited overlap in estimation of average treatment effects by changing the estimand
Crump, Richard K.; Hotz, V. Joseph; Imbens, Guido W.; … - 2006
Estimation of average treatment effects under unconfoundedness or exogenous treatment assignment is often hampered by lack of overlap in the covariate distributions. This lack of overlap can lead to imprecise estimates and can make commonly used estimators sensitive to the choice of...
Persistent link: https://www.econbiz.de/10010267984
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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 Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...
Persistent link: https://www.econbiz.de/10010276254
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Decomposing the composition effect
Rothe, Christoph - 2012
This paper proposes a decomposition of the composition effect, i.e. the part of the observed between-group difference in the distribution of some economic outcome that can be explained by differences in the distribution of covariates. Our decomposition contains three types of components: (i) the...
Persistent link: https://www.econbiz.de/10010282410
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Misspecification testing in a class of conditional distributional models
Rothe, Christoph; Wied, Dominik - 2012
We propose a specification test for a wide range of parametric models for the conditional distribution function of an outcome variable given a vector of covariates. The test is based on the Cramer-von Mises distance between an unrestricted estimate of the joint distribution function of the data,...
Persistent link: https://www.econbiz.de/10010282420
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Partial distributional policy effects
Rothe, Christoph - 2011
In this paper, we propose a method to evaluate the effect of a counterfactual change in the unconditional distribution of a single covariate on the unconditional distribution of an outcome variable of interest. Both fixed and infinitesimal changes are considered. We show that such effects are...
Persistent link: https://www.econbiz.de/10010282458
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A flexible sample selection model: A GTL-copula approach
Hasebe, Takuya; Vijverberg, Wim P. M. - 2012
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...
Persistent link: https://www.econbiz.de/10010289969