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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

The Dynamic Relationship between Low Birthweight and Induced Abortion in New York City : An Aggregate Time-Series Analysis

Joyce, Theodore J.; Grossman, Michael - 2022

We use a vector autoregression to examine the dynamic relationship between the race-specific percentage of pregnancies terminated by induced abortion and the race-specific percentage of low-birthweight births in New York City. With monthly data beginning in 1972, we find that induced abortion...

Persistent link: https://www.econbiz.de/10013324473

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

Regression Discontinuity in Time : Considerations for Empirical Applications

Hausman, Catherine - 2017

Recent empirical work in several economic fields, particularly environmental and energy economics, has adapted the regression discontinuity (RD) framework to applications where time is the running variable and treatment begins at a particular threshold in time. In this guide for practitioners,...

Persistent link: https://www.econbiz.de/10012951355

Tempered Particle Filtering

Herbst, Edward P. - 2017

The accuracy of particle filters for nonlinear state-space models crucially depends on the proposal distribution that mutates time t-1 particle values into time t values. In the widely-used bootstrap particle filter, this distribution is generated by the state-transition equation. While...

Persistent link: https://www.econbiz.de/10012955446

Factors that Fit the Time Series and Cross-Section of Stock Returns

Lettau, Martin - 2018

We propose a new method for estimating latent asset pricing factors that fit the time-series and cross-section of expected returns. Our estimator generalizes Principal Component Analysis (PCA) by including a penalty on the pricing error in expected returns. We show that our estimator strongly...

Persistent link: https://www.econbiz.de/10012913794

Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator

West, Kenneth D. - 2021

A þT consistent estimator of a heteroskedasticity and autocorrelation consistent covariance matrix estimator is proposed and evaluated. The relevant applications are ones in which the regression disturbance follows a moving average process of known order. In a system of þ equations, this...

Persistent link: https://www.econbiz.de/10013220975

Estimating Deterministic Trends in the Presence of Serially Correlated Errors

Canjels, Eugene; Watson, Mark W. - 2021

This paper studies the problems of estimation and inference in the linear trend model: yt=à+þt+ut, where ut follows an autoregressive process with largest root þ, and þ is the parameter of interest. We contrast asymptotic results for the cases þþþ 1 and þ=1, and argue that the most...

Persistent link: https://www.econbiz.de/10013223612

Automatic Lag Selection in Covariance Matrix Estimation

West, Kenneth D.; Newey, Whitney K. - 2021

We propose a nonparametric method for automatically selecting the number of autocovariances to use in computing a heteroskedasticity and autocorrelation consistent covariance matrix. For a given kernel for weighting the autocovariances, we prove that our procedure is asymptotically equivalent to...

Persistent link: https://www.econbiz.de/10013226589

The Econometrics of Ultra-High Frequency Data

Engle, Robert F. - 2021

Ultra-high frequency data are complete transactions data which inherently arrive at random times. Marked point processes provide a theoretical framework for analysis of such data sets. The ACD model developed by Engle and Russell (1995) is then applied to IBM transactions data to develop...

Persistent link: https://www.econbiz.de/10013226922