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Wendin, Jonathan; McNeil, Alexander J. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2005

investigates the issues of rating-speciﬁc factor loadingsand heterogeneity among industry sectors, with emphasis on their …

Persistent link: https://www.econbiz.de/10005857974

The effect of schooling and ability on achievement test scores

Hansen, Karsten T; Heckman, James J; Mullen, Kathleen J - 2003

This paper develops two methods for estimating the effect of schooling on achievement test scores that control for endogeneity of schooling by postulating that both schooling and test scores are generated by a common unobserved latent ability. These methods are applied to data on schooling and...

Persistent link: https://www.econbiz.de/10010321070

Migration Correlation: Definition and Efficient Estimation

Gagliardini, Patrick; Gourieroux, Christian - Institut für Schweizerisches Bankwesen <Zürich> - 2004

The aim of this paper is to explain why cross-sectional estimated migration correlations displayed in the academic and professional literature can be either not consistent, or inefficient, and to discuss alternative approaches. The analysis relies on a model with stochastic migration in which...

Persistent link: https://www.econbiz.de/10005858516

Stochastic Migration Models with Application to Corporate Risk

Gagliardini, Patrick; Gourieroux, Christian - Institut für Schweizerisches Bankwesen <Zürich> - 2006

In this paper we explain how to use rating histories provided by the internal scoring systems of banks and by rating agencies in order to predict the future risk of a set of borrowers. The method is developed following the steps suggested by the Basle Committee. To introduce both migration...

Persistent link: https://www.econbiz.de/10005858518

Uniform Theory for CCE under Heterogeneous Slopes and General Unknown Factors

Stauskas, Ovidijus - 2021

A recent study proposed by Westerlund (CCE in Panels with General Unknown Factors, Econometrics Journal, 21, 264-276, 2018) showed that a very popular Common Correlated Effects (CCE) estimator is significantly more applicable than it was thought before. Contrary to the usual stationarity...

Persistent link: https://www.econbiz.de/10013208900

Changing Supply Elasticities and Regional Housing Booms

Aastveit, Knut Are; Albuquerque, Bruno; Anundsen, André - 2019

Recent developments in US house prices mirror those of the 1996-2006 boom, but the recovery in construction activity has been weak. Using data for 254 US metropolitan areas, we show hat housing supply elasticities have fallen markedly in recent years. Housing supply elasticities have declined...

Persistent link: https://www.econbiz.de/10012143945

A distributional framework for matched employer employee data

Bonhomme, Stéphane; Lamadon, Thibaut; Manresa, Elena - 2017

, allowing for two-sided worker-firm unobserved heterogeneity. We introduce two models: a static model that allows for nonlinear …-earnings are approximately additive in worker and firm heterogeneity, with a strong association between workers and firms, and a … small relative contribution of firm heterogeneity to earnings dispersion. In addition, we document that wages have a direct …

Persistent link: https://www.econbiz.de/10012039277

How much should we trust estimates of firm effects and worker sorting?

Bonhomme, Stéphane; Holzheu, Kerstin; Lamadon, Thibaut; … - 2021

Many studies use matched employer-employee data to estimate a statistical model of earnings determination where log-earnings are expressed as the sum of worker effects, firm effects, covariates, and idiosyncratic error terms. Estimates based on this model have produced two influential yet...

Persistent link: https://www.econbiz.de/10013394334

Getting PPP right: Identifying mean-reverting real exchange rates in panels

Chortareas, Georgios; Kapetanios, George - 2008

Recent advances in testing for the validity of Purchasing Power Parity (PPP) focus on the time series properties of real exchange rates in panel frameworks. One weakness of such tests, however, is that they fail to inform the researcher as to which cross-section units are stationary. As a...

Persistent link: https://www.econbiz.de/10010280777

Cluster analysis of panel datasets using non-standard optimisation of information criteria

Kapetanios, George - 2005

Panel datasets have been increasingly used in economics to analyse complex economic phenomena. One of the attractions of panel datasets is the ability to use an extended dataset to obtain information about parameters of interest which are assumed to have common values across panel units....

Persistent link: https://www.econbiz.de/10010284104

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