Using data from the first 11 waves of the BHPS, this paper measures the extent of the selection bias induced by standard coresidence conditions-bias that is expected to be severe in short panels-on measures of intergenerational mobility in occupational prestige. We try to limit the impact of...

This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications and inference methods, and identifies likely directions of future research. Copyright © 2006 John Wiley & Sons, Ltd.

In this paper, I provide new evidence from High School and Beyond (HSB) on the effects of compulsory attendance on high school completion and future youth unemployment. I develop Bayesian estimation approaches to the simultaneous equation model with ordered probit and two-limit censored...

This paper proposes a model to predict recessions that accounts for non-linearity and a structural break when the spread between long- and short-term interest rates is the leading indicator. Estimation and model selection procedures allow us to estimate and identify time-varying non-linearity in...

This paper examines the intertemporal relation between risk and return for the aggregate stock market using high-frequency data. We use daily realized, GARCH, implied, and range-based volatility estimators to determine the existence and significance of a risk-return trade-off for several stock...

This paper analyses the distribution of purchasing power standardized per capita income across EU-12 regions between 1977 and 1996. Dispersion of incomes between regions is measured taking into account their population sizes. The cross-sectional distributions are initially described by weighted...

Any non-stationary series can be decomposed into permanent (or 'trend') and transitory (or 'cycle') components. Typically some atheoretic pre-filtering procedure is applied to extract the permanent component. This paper argues that analysis of the fundamental underlying stationary economic...

This note tries to look at the responsiveness of employment to the changes in Output during pre and post economic reform periods by estimating a derived demand function for employment with an interaction variable. The empirical results of the present note based on the time series data from...

This paper compares two methods of analyzing aggregate data that is classified by period and age. Because there is a linear relationship among age, period, and cohort, it is not possible to distinguish the separate effects without employing an identifying assumption. The first method, which is...

We perform an extensive series of Monte Carlo experiments to compare the performance of two variants of the 'jackknife instrumental variables estimator', or JIVE, with that of the more familiar 2SLS and LIML estimators. We find no evidence to suggest that JIVE should ever be used. It is always...