Mankiw [1982] explores the Permanent Income Hypothesis implication that durable expenditures follow an ARMA(1,1) representation. He finds that durable expenditures are represented by an AR(1) process which implies that the rate of depreciation of durables, under the PIH model, is 100%. This...

A long literature has developed econometric methods for estimating individual-consumer-level demand systems that accommodate corner solutions. The increasing access to transaction-level customer purchase histories across a wide array of markets and industries vastly expands the prospect for...

We describe two methods for correcting an omitted variables problem in discrete choice models: a fixed effects approach and a control function approach. The control function approach is easier to implement and applicable in situations for which the fixed effects approach is not. We apply both...

The relative popularity of adjustable-rate mortgages (ARMs) and fixed-rate mort- gages (FRMs) varies considerably both across countries and over time. We ask how movements in current and expected future interest rates affect the share of ARMs in total mortgage issuance. Using a nine-country...

In the Dutch Postcode Lottery a postal code (19 households on average) is randomly selected weekly, and prizes - consisting of cash and a new BMW - are awarded to lottery participants living in that postal code. On average, this generates a temporary, unexpected income shock equal to about eight...

Matching estimators are widely used for the evaluation of programs or treatments. Often researchers use bootstrapping methods for inference. However, no formal justification for the use of the bootstrap has been provided. Here we show that the bootstrap is in general not valid, even in the...

Previous theoretical analyses of the capital gains tax have suggested that investors have considerable opportunity to avoid the tax. Yet, past empirical work has found relatively little evidence of such activity. Using a previously unavailable panel data set with a very large sample of...

This paper shows that standard empirical methods for estimating log-linearized consumption Euler equations cannot successfully uncover structural parameters like the coefficient of relative risk aversion from the dataset of simulated consumers behaving exactly according to the standard model....

This paper presents a meta-analysis of recent microeconometric evaluations of active labor market policies. Our sample contains 199 separate "program estimates" - estimates of the impact of a particular program on a specific subgroup of participants - drawn from 97 studies conducted between 1995...