Despite numerous studies on labor supply, the size of elasticities is rarely comparable acrosscountries. In this paper, we suggest the first large-scale international comparison ofelasticities, while netting out possible differences due to methods, data selection and theperiod of investigation....

Integrated choice and latent variable (ICLV) models represent a promising newclass of models which merge classic choice models with the structural equation approach (SEM) for latent variables. Despite their conceptual appeal, to date applications of ICLV models in marketing are still rare. The...

We develop an econometric methodology to infer the path of risk premia from large unbalancedpanel of individual stock returns. We estimate the time-varying risk premia implied by conditional linearasset pricing models where the conditioning includes instruments common to all assets and asset...

This paper shows how a simple modi…fication of estimators based on the RandomEffects principle can preserve the consistency and asymptotic efficiency of the methodin panel data despite non-ignorable persistent heterogeneity driven by correlationsbetween the heterogeneity and the regressors. The...

The paper discusses the major identi…fication issue of coherency conditions in LDVmodels with endogeneity and flexible temporal and contemporaneous correlations inthe unobservables. Conditions for coherency as discussed in the existing literatureare reviewed and shown to be rather esoteric. Two...

In this paper we develop a structural equation model with latent variables in an ordinal setting which allows us to test broker-dealer predictive ability of financial market movements. We use a multivariate logit model in a latent factor framework, develop a tractable estimator based on a...

We propose an affine term structure model which accommodates non-linearities in the drift and volatility function of the short-term interest rate. Such non-linearities are a consequence of discrete beta-distributed regime shifts constructed on multiple thresholds. We derive iterative closed form...

Many researchers seem to be unsure about how to specify formative measurement models in software programs like LISREL or AMOS and to establish identification of the corresponding structural equation model. In order to make identification easier, a new, mainly graphicallyoriented approach is...

Dieser Beitrag setzt sich mit der Leistungsfähigkeit von Strukturgleichungsmodellen bei derValiditätsprüfung von Messmodellen für hypothetische Konstrukte auseinander und geht aufausgewählte Problembereiche bei der gängigen Anwendung dieser Methodik für dieSkalenkonstruktion ein....