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Value-at-risk for long and short trading positions (replication data)
In this paper we model Value-at-Risk (VaR) for daily asset returns using a collection of parametric univariate and multivariate models of the ARCH class based on the skewed... -
Bayesian inference for the mover-stayer model in continuous time with an appl...
This paper presents Bayesian inference procedures for the continuous time mover-stayer model applied to labour market transition data collected in discrete time. These methods... -
Structural estimates of the intergenerational education correlation (replicat...
Using a structural dynamic programming model, we investigate the relative importance of family background variables and individual specific abilities in explaining... -
Poverty in America 1970-1990: who did gain ground? An application of stochast...
Atkinson (1987) proposed stochastic dominance criteria for analysing poverty which, under certain conditions, establish orderings of states for any poverty line and any poverty... -
A practical log-linear aggregation method with examples: heterogeneous income...
A practical aggregation method for heterogeneous log-linear functions is presented. Inequality measures are employed in the construction of a simple but exact aggregate... -
Interdependence in worker productivity (replication data)
This paper investigates interactions between co-worker productivity levels in a rich empirical context. Workers have unambiguous output measures, compensation that depends on... -
Correlations between sisters and neighbouring girls in their subsequent incom...
This study uses data on sisters and neighbouring girls in the Panel Study of Income Dynamics to estimate sister and neighbour correlations in adult income. Our results suggest... -
Neighbourhood effects and housing demand (replication data)
In this paper, we estimate a model of housing demand with neighbourhood effects. We exploit special features of the national sample of the American Housing Survey and properties... -
Does peer ability affect student achievement? (replication data)
Empirical analysis of peer effects on student achievement has been open to question because of the difficulties of separating peer effects from other confounding influences.... -
Peer effects, financial aid and selection of students into colleges and unive...
This paper develops a model in which colleges seek to maximize the quality of the educational experience provided to their students. We deduce predictions about the hierarchy of... -
Incentive effects in the demand for health care: a bivariate panel count data...
This paper contributes in three dimensions to the literature on health care demand. First, it features the first application of a bivariate random effects estimator in a count... -
Inferring the private information content of trades: a regime-switching appro...
This paper presents an empirical model for inferring the private information content of trades at the transaction level. The trade-indicator model of Glosten and Harris (1988)... -
A new coincident index of business cycles based on monthly and quarterly seri...
Popular monthly coincident indices of business cycles, e.g. the composite index and the Stock-Watson coincident index, have two shortcomings. First, they ignore information... -
Quasi-rational andex ante price expectations in commodity supply models: an e...
A statistically optimal inference about agents' ex ante price expectations within the US broiler market is derived using futures prices of related commodities along with a... -
Testing long-run PPP with infinite-variance returns (replication data)
This paper investigates the long-run purchasing power parity hypothesis when exchange rate returns and inflation rates are assumed to be heavy-tailed stochastic processes. More... -
Evaluating interval forecasts of high-frequency financial data (replication d...
A number of methods of evaluating the validity of interval forecasts of financial data are analysed, and illustrated using intraday FTSE100 index futures returns. Some existing... -
A finite-sample hierarchical analysis of wage variation across public high sc...
Using data from both the National Longitudinal Survey of Youth (NLSY) and High School and Beyond (HSB), we investigate if public high schools differ in the production of... -
Party loyalty as habit formation (replication data)
In most democracies, at least two out of any three individuals vote for the same party in sequential elections. This paper presents a model in which vote-persistence is partly... -
On detrending and cyclical asymmetry (replication data)
This paper considers the issue of testing for symmetry of the business cycle. It is demonstrated that findings of symmetry should be interpreted with caution since tests tend to... -
Estimation of sons' intergenerational earnings mobility in the presence of ce...
Based on intergenerational data from the Panel Study of Income Dynamics, I provide estimates of income mobility across generations for men. Special attention is paid to issues...
