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Spatial Errors in Count Data Regressions
Bertanha, Marinho - 2014
Count data regressions are an important tool for empirical analyses ranging from analyses of patent counts to measures of health and unemployment. Along with negative binomial, Poisson panel regressions are a preferred method of analysis because the Poisson conditional fixed effects maximum...
Persistent link: https://www.econbiz.de/10013049006
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A Time-Series Analysis of Unemployment and Health : the Case of Birth Outcomes in New York City
Joyce, Theodore - 2021
Lifetime income is less variable than annual household income, since the latter reflects transitory shocks to wages, family status, and employment. The paper presents an aggregate time-series analysis of unemployment and infant health that improves on previous work in several ways. First, the...
Persistent link: https://www.econbiz.de/10013210583
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Forecasting Aggregate Period Specific Birth Rates : the Time Series Properties of a Microdynamic Neoclassical Model of Fertility
Heckman, James J.; Walker, James R. - 2022
This article demonstrates the value of microdata for understanding the effect of wages on life cycle fertility dynamics …. Conventional estimates of neoclassical economic fertility models obtained from linear aggregate time series regressions are widely …. This article demonstrates, that when neoclassical models of fertility are estimated on microdata using methods that …
Persistent link: https://www.econbiz.de/10014080654
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Instrumental Variables Estimation of Quantile Treatment Effects
Abadie, Alberto; Angrist, Joshua D.; Imbens, Guido W. - 2021
This paper introduces an instrumental variables estimator for the effect of a binary treatment on the quantiles of potential outcomes. The quantile treatment effects (QTE) estimator accommodates exogenous covariates and reduces to quantile regression as a special case when treatment status is...
Persistent link: https://www.econbiz.de/10013215680
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Estimation of a Stochastic Model of Reproduction : An Econometric Approach
Heckman, James J.; Willis, Robert J. - 2021
decision making to human fertility behavior. Theoretical emphasis has been given to the effects of the costs of parental tine … time, especially the value of the wife's time. One important objection to static theories of fertility is their failure to … theoretical and econometric model of fertility behavior within a sequential stochastic framework. The principal contribution of …
Persistent link: https://www.econbiz.de/10013248571
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Macroeconomics and Volatility : Data, Models, and Estimation
Fernández-Villaverde, Jesús - 2010
One basic feature of aggregate data is the presence of time-varying variance in real and nominal variables. Periods of high volatility are followed by periods of low volatility. For instance, the turbulent 1970s were followed by the much more tranquil times of the great moderation from 1984 to...
Persistent link: https://www.econbiz.de/10013135053
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Low-Frequency Econometrics
Müller, Ulrich K. - 2015
Many questions in economics involve long-run or trend variation and covariation in time series. Yet, time series of typical lengths contain only limited information about this long-run variation. This paper suggests that long-run sample information can be isolated using a small number of...
Persistent link: https://www.econbiz.de/10013015106
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Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation
Andersen, Torben G. - 2009
We propose two new jump-robust estimators of integrated variance based on high-frequency return observations. These MinRV and MedRV estimators provide an attractive alternative to the prevailing bipower and multipower variation measures. Specifically, the MedRV estimator has better theoretical...
Persistent link: https://www.econbiz.de/10013153975
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Low-Frequency Robust Cointegration Testing
Müller, Ulrich K. - 2009
Standard inference in cointegrating models is fragile because it relies on an assumption of an I(1) model for the common stochastic trends, which may not accurately describe the data's persistence. This paper discusses efficient low-frequency inference about cointegrating vectors that is robust...
Persistent link: https://www.econbiz.de/10013156688
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Asymptotic Filtering Theory for Multivariate Arch Models
Nelson, Daniel B. - 2008
ARCH models are widely used to estimate conditional variances and covariances in financial time series models. How successfully can ARCH models carry out this estimation when they are misspecified? How can ARCH models be optimally constructed? Nelson and Foster (1994) employed continuous record...
Persistent link: https://www.econbiz.de/10012775003