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Testing the significance of income distribution changes over the 1980s busine...
Using kernel density estimation we describe the distribution of household size-adjusted real income and how it changed over the business cycle of the 1980s in the United States... -
Estimation in large and disaggregated demand systems: an estimator for condit...
Empirical demand systems that do not impose unreasonable restrictions on preferences are typically non-linear. We show, however, that all popular systems possess the property of... -
The error structure of time series cross-section hedonic models with sporadic...
When estimating hedonic models of housing prices, the use of time series cross-section repeat sales data can provide improvements in estimator efficiency and correct for... -
Stylized facts of daily return series and the hidden Markov model (replicatio...
In two recent papers, Granger and Ding (1995a,b) considered long return series that are first differences of logarithmed price series or price indices. They established a set of... -
Substitution, risk aversion, taste shocks and equity premia (replication data)
This paper gauges the relative contribution of risk aversion, inter-temporal substitution and taste shocks on postwar monthly US equity premia. The time-varying consumption,... -
A threshold error-correction model for intraday futures and index returns (re...
Index-futures arbitragers only enter into the market if the deviation from the arbitrage relation is sufficiently large to compensate for transaction costs and associated... -
Identifying the source of dynamics in disaggregated import data (replication ...
This paper uses Kennan's (1988) model to separately identify supply-side and demand-side dynamics in US import data. Dynamics arise from both autocorrelated shocks to supply-... -
Unemployment persistence: does the size of the shock matter? (replication data)
One of the stylized facts of unemployment is that shifts in its mean rate between decades and half-decades account for most of its variance. In this paper, we use a statistical... -
ENDOGENEITY IN COUNT DATA MODELS: AN APPLICATION TO DEMAND FOR HEALTH CARE (r...
The generalized method of moments (GMM) estimation technique is discussed for count data models with endogenous regressors. Count data models can be specified with additive or... -
HETEROGENEITY, EXCESS ZEROS, AND THE STRUCTURE OF COUNT DATA MODELS (replicat...
This paper demonstrates that the unobserved heterogeneity commonly assumed to be the source of overdispersion in count data models has predictable implications for the... -
SEMI-PARAMETRIC ESTIMATION OF HURDLE REGRESSION MODELS WITH AN APPLICATION TO...
This paper develops a semi-parametric estimation method for hurdle (two-part) count regression models. The approach in each stage is based on Laguerre series expansion for the... -
ECONOMIC INCENTIVES AND HOSPITALIZATION IN GERMANY (replication data)
The dramatically rising health expenditures have become a matter of prime concern. Using a rich panel dataset this paper contributes to this debate by investigating factors... -
DEMAND FOR MEDICAL CARE BY THE ELDERLY: A FINITE MIXTURE APPROACH (replicatio...
In this article we develop a finite mixture negative binomial count model that accommodates unobserved heterogeneity in an intuitive and analytically tractable manner. This... -
ESTIMATING THE INNOVATION FUNCTION FROM PATENT NUMBERS: GMM ON COUNT PANEL DA...
The purpose of this paper is to estimate the patent equation, an empirical counterpart to the knowledge-production function. Innovation output is measured through the number of... -
PATENTS, R&D, AND TECHNOLOGICAL SPILLOVERS AT THE FIRM LEVEL: SOME EVIDEN...
This paper analyses the relationship between the main determinants of technological activity and patent applications. To this end, an original panel of 181 international... -
COUNT DATA REGRESSION USING SERIES EXPANSIONS: WITH APPLICATIONS (replication...
A new class of parametric regression models for both under? and overdispersed count data is proposed. These models are based on squared polynomial expansions around a Poisson... -
Regime switching as a test for exchange rate bubbles (replication data)
This paper develops a new test for speculative bubbles, which is applied to data for the Japanese yen, the German mark and the Canadian dollar exchange rates from 1977 to 1991.... -
Occupational pensions and job mobility in Britain: Estimation of a random-eff...
We analyse transitions between pensionable jobs, non-pensionable jobs, and other labour market states, using the 1988/9 UK Retirement Survey. We focus on the positive... -
On a double-threshold autoregressive heteroscedastic time series model (repli...
Tong's threshold models have been found useful in modelling nonlinearities in the conditional mean of a time series. The threshold model is extended to the so-called... -
Parametric and semi-parametric estimation of the binary response model of lab...
This paper compares the familiar probit model with three semiparametric estimators of binary response models in an application to labour market participation of married women....
