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Simulation estimation of two-tiered dynamic panel Tobit models with an applic...
In this paper a computationally practical simulation estimator is proposed for the two-tiered dynamic panel Tobit model originally developed by Cragg (1971). The log-likelihood... -
Forecasting large datasets with Bayesian reduced rank multivariate models (re...
The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and... -
Conditional Markov chain and its application in economic time series analysis...
Motivated by the great moderation in major US macroeconomic time series, we formulate the regime switching problem through a conditional Markov chain. We model the long-run... -
Biases in approximating log production (replication data)
Most empirical work in economic growth assumes either a Cobb-Douglas production function expressed in logs or a log-approximated constant elasticity of substitution... -
Fertility and female employment dynamics in Europe: the effect of using alter...
We investigate the direct and long-run effects of fertility on employment in Europe, estimating dynamic models of labor supply under different assumptions regarding the... -
How does heterogeneity shape the socioeconomic gradient in health satisfactio...
Individual heterogeneity plays a key role in explaining variation in self-reported health and its socioeconomic gradient. It is hypothesised that the influence of this... -
Job and wage mobility with minimum wages and imperfect compliance (replicatio...
We propose a job search model with minimum wage regulations and imperfect compliance to explain the doubling of the mean and variance of hourly earnings of white males during... -
Estimating the returns to schooling: a likelihood approach based on normal mi...
In this paper we develop likelihood-based methods for statistical inference in a joint system of equations for the choice of length of schooling and earnings. The model for... -
An inflated multivariate integer count hurdle model: an application to bid an...
In this paper we develop a model for the conditional inflated multivariate density of integer count variables with domain n, n. Our modelling framework is based on a copula... -
Can subjective expectations data be used in choice models? evidence on cognit...
A pervasive concern with the use of subjective data in choice models is that they are biased and endogenous. This paper examines the extent to which cognitive biases plague... -
Stock market expectations of Dutch households (replication data)
Despite its importance for the analysis of life-cycle behavior and, in particular, retirement planning, stock ownership by private households is poorly understood. Among other... -
Stock Market Crash and Expectations of American Households (replication data)
This paper utilizes data on subjective probabilities to study the impact of the stock market crash of 2008 on households' expectations about the returns on the stock market... -
When Kahneman meets Manski: Using dual systems of reasoning to interpret subj...
To understand how decisions to invest in stocks are taken, economists need to elicit expectations regarding risk-return tradeoff. One of the few surveys which has elicited such... -
Measuring and interpreting expectations of equity returns (replication data)
We analyze probabilistic expectations of equity returns elicited in the Survey of Economic Expectations in 1999-2001 and in the Michigan Survey of Consumers in 2002-2004. Our... -
Individuals' uncertainty about future social security benefits and portfolio ...
Little is known about the degree to which individuals are uncertain about their future Social Security benefits, how this varies within the U.S. population, and whether this... -
Eliciting probabilistic expectations with visual aids in developing countries...
Eliciting subjective probability distributions in developing countries is often based on visual aids such as beans to represent probabilities and intervals on a sheet of paper... -
Measuring consumer uncertainty about future inflation (replication data)
We introduce a survey-based measure of uncertainty about future inflation, asking consumers for density forecasts across inflation outcomes. Consumers are willing and able to... -
Measuring the willingness to pay to avoid guilt: estimation using equilibrium...
We estimate structural models of guilt aversion to measure the population level of willingness to pay (WTP) to avoid feeling guilt by letting down another player. We compare... -
Assessing and valuing the nonlinear structure of hedge fund returns (replicat...
Several studies have put forward that hedge fund returns exhibit a nonlinear relationship with equity market returns, captured either through constructed portfolios of traded... -
Stochastic error specification in primal and dual production systems (replica...
In this paper we derive both primal and dual-cost systems in which the stochastic specifications arise from the model (random environment or measurement errors and optimization...
