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Examining the impact of macro-economic conditions on income inequality
Jäntti, Markus; Jenkins, Stephen - 2001
This paper proposes a new approach for analyzing the relationship between macroeconomic factors and the income distribution. The conventional method of analysis is regression of summary inequality indices on variables such as the unemployment and inflation rates. Building on the lessons from...
Persistent link: https://www.econbiz.de/10001635474
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Examining the impact of macro-economic conditions on income inequality
Jäntti, Markus; Jenkins, Stephen - 2001
This paper proposes a new approach for analyzing the relationship between macroeconomic factors and the income distribution. The conventional method of analysis is regression of summary inequality indices on variables such as the unemployment and inflation rates. Building on the lessons from...
Persistent link: https://www.econbiz.de/10011403817
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The construction and interpretation of combined cross-section and time-series inequality datasets
Francois, Joseph F.; Rojas-Romagosa, Hugo - 2005
data allowus to perform parametric non-1inear estimation of Lorenz curves from grouped data.This in turn al1ows us to …
Persistent link: https://www.econbiz.de/10011346482
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Distributional dynamics
Bayer, Christian; Calderon, Luis; Kuhn, Moritz - 2025
We develop a new method for deriving high-frequency synthetic distributions of consumption, income, and wealth. Modern theories of macroeconomic dynamics identify the joint distribution of consumption, income, and wealth as a key determinant of aggregate dynamics. Our novel method allows us to...
Persistent link: https://www.econbiz.de/10015185197
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Modeling Wage Inequality in the U.S. As Conditional Variation : A Time Series Approach
Stevans, Lonnie K. - 2001
In this paper, we argue that wage volatility is a good proxy for wage inequality because of the strong and lagged correlation between the two. For seven industry categories, inequality is modeled as a conditional variance process over the period 1964-1988. It is modified to allow for explanatory...
Persistent link: https://www.econbiz.de/10014052120
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A Bayesian analysis of unobserved component models using Ox
Bos, Charles S. - 2011
Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation.In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …
Persistent link: https://www.econbiz.de/10011386121
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Relating stochastic volatility estimation methods
Bos, Charles S. - 2011
Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …
Persistent link: https://www.econbiz.de/10011386124
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Parameter Estimation With Out-of-Sample Objective
Hansen, Peter Reinhard - 2018
We study parameter estimation from the sample X, when the objective is to maximize the expected value of a criterion … describing other data than those used for estimation. The motivated for much estimation has this form, with forecasting problems …
Persistent link: https://www.econbiz.de/10012919208
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Estimation of the Long-Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends
McCloskey, Adam - 2012
I provide conditions under which the trimmed FDQML estimator, advanced by McCloskey (2010) in the context of fully parametric short-memory models, can be used to estimate the long-memory stochastic volatility model parameters in the presence of additive low-frequency contamination in log-squared...
Persistent link: https://www.econbiz.de/10013098304
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Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends
McCloskey, Adam - 2012 - This version: October 2012
-memory. -- stochastic volatility ; frequency domain estimation ; robust estimation ; spurious persistence ; long-memory ; level shifts …
Persistent link: https://www.econbiz.de/10009660446