I use Swedish establishment-level panel data to test Bertola and Rogerson's (1997) hypothesis of a positive relation between the degree of wage compression and job reallocation. Results indicate that the effect of wage compression on job turnover is positive and significant in the manufacturing...

This paper reports analysis of minimum wage on Brazilian labor market combining micro longitudinal data and aggregated time-series data. After the analysis of the minimum wage effects on Brazilian wage distribution based on micro data, the effects on employment level and composition (formal X...

This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic relationships within a longitudinal data setting. The discussion surveys approaches for characterizing the micro dynamics of continuous dependent variables both over time and across...

In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of specific financial trading events, such as transactions, quote updates, limit orders or price...

In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of specific financial trading events, such as transactions, quote updates, limit orders or price...

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

This paper generalizes the ACD models of Engle and Russell (1998) using the so-called q-Weibull distribution as the conditional distribution. The new specification allows the hazard function to be non-monotonic. We document that the q-Weibull distribution recently suggested in physics as a...

We propose and illustrate a Markov-switching multi-fractal duration (MSMD) model for analysis of inter-trade durations in financial markets. We establish several of its key properties with emphasis on high persistence (indeed long memory). Empirical exploration suggests MSMD's superiority...

A common practice in modeling intertrade durations is to use various hazard functions for data fitting. This paper calls into question this practice and suggests mixing the hazard function as exponential. An underlying hypothesis of the suggestion is that duration data have a mixture of...