Search Results - isPartOf:"Journal of Applied Econometrics"

MULTIPLE EVENT INCIDENCE AND DURATION ANALYSIS FOR CREDIT DATA INCORPORATING NON‐STOCHASTIC LOAN MATURITY

Watkins, John G. T.; Vasnev, Andrey L.; Gerlach, Richard - In: Journal of Applied Econometrics 29 (2014) 4, pp. 627-648

SUMMARY Applications of duration analysis in economics and finance exclusively employ methods for events of stochastic duration. In application to credit data, previous research incorrectly treats the time to predetermined maturity events as censored stochastic event times. The medical...

Persistent link: https://www.econbiz.de/10011006416

APPLYING BETA‐TYPE SIZE DISTRIBUTIONS TO HEALTHCARE COST REGRESSIONS

Jones, Andrew M.; Lomas, James; Rice, Nigel - In: Journal of Applied Econometrics 29 (2014) 4, pp. 649-670

SUMMARY This paper extends the literature on modelling healthcare cost data by applying the generalised beta of the second kind (GB2) distribution to English hospital inpatient cost data. A quasi‐experimental design, estimating models on a sub‐population of the data and evaluating...

Persistent link: https://www.econbiz.de/10011006419

THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION

Kaufmann, Hendrik; Heinen, Florian; Sibbertsen, Philipp - In: Journal of Applied Econometrics 29 (2014) 5, pp. 758-773

SUMMARY In this paper we offer a bootstrap‐based version of the Cox specification test for non‐nested hypothesis to discriminate between ESTAR and MSAR models. Both models are commonly used for modeling real exchange rates dynamics. We show that the test has good size and power properties in...

Persistent link: https://www.econbiz.de/10011006426

MODEL PRIORS REVISITED: INTERACTION TERMS IN BMA GROWTH APPLICATIONS

Moser, Mathias; Hofmarcher, Paul - In: Journal of Applied Econometrics 29 (2014) 2, pp. 344-347

Masanjala and Papageorgiou (Rough and lonely road to prosperity. Journal of Applied Econometrics 2008; <b>23</b>: 671 … of Applied Econometrics 2011; <b>26</b>: 1041–1047). We find that the discussed priors have similar predictive power and …–682), which has been criticized for its implementation of interaction terms by Crespo Cuaresma (How different is Africa? Journal …

Persistent link: https://www.econbiz.de/10011006428

Forecasting interest rates with shifting endpoints

Dijk, Dick; Koopman, Siem Jan; Wel, Michel; Wright, … - In: Journal of Applied Econometrics 29 (2014) 5, pp. 693-712

SUMMARY We consider forecasting the term structure of interest rates with the assumption that factors driving the yield curve are stationary around a slowly time‐varying mean or ‘shifting endpoint’. The shifting endpoints are captured using either (i) time series methods (exponential...

Persistent link: https://www.econbiz.de/10011006429

WHO BENEFITS FROM JOB CORPS? A DISTRIBUTIONAL ANALYSIS OF AN ACTIVE LABOR MARKET PROGRAM

Eren, Ozkan; Ozbeklik, Serkan - In: Journal of Applied Econometrics 29 (2014) 4, pp. 586-611

SUMMARY Using recently developed econometric techniques to estimate quantile treatment effects (QTE) and experimental data, we examine the impact of Job Corps on earnings distribution. Our results indicate a great deal of heterogeneity in the effects of Job Corps. The QTEs show an increasing...

Persistent link: https://www.econbiz.de/10011006431

IS ECONOMIC RECOVERY A MYTH? ROBUST ESTIMATION OF IMPULSE RESPONSES

Teulings, Coen N.; Zubanov, Nikolay - In: Journal of Applied Econometrics 29 (2014) 3, pp. 497-514

SUMMARY We estimate the impulse response function (IRF) of GDP to a banking crisis using an extension of the local projections method. We demonstrate that, though robust to misspecifications of the data‐generating process, this method suffers from a hitherto unnoticed bias which increases with...

Persistent link: https://www.econbiz.de/10011006434

THE EFFECTS OF EXPANDING THE GENEROSITY OF THE STATUTORY SICKNESS INSURANCE SYSTEM

Ziebarth, Nicolas R.; Karlsson, Martin - In: Journal of Applied Econometrics 29 (2014) 2, pp. 208-230

SUMMARY This article evaluates an expansion of employer‐mandated sick leave from 80% to 100% of forgone gross wages in Germany. We employ and compare parametric difference‐in‐difference (DID), matching DID and mixed approaches. Overall workplace absences increased by at least 10% or 1 day...

Persistent link: https://www.econbiz.de/10011006436

DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS

Lütkepohl, Helmut; NetŠunajev, Aleksei - In: Journal of Applied Econometrics 29 (2014) 3, pp. 479-496

SUMMARY Sign restrictions have become increasingly popular for identifying shocks in structural vector autoregressive (SVAR) models. So far there are no techniques for validating the shocks identified via such restrictions. Although in an ideal setting the sign restrictions specify shocks of...

Persistent link: https://www.econbiz.de/10011006437

ROUNDING, FOCAL POINT ANSWERS AND NONRESPONSE TO SUBJECTIVE PROBABILITY QUESTIONS

Kleinjans, Kristin J.; Soest, Arthur Van - In: Journal of Applied Econometrics 29 (2014) 4, pp. 567-585

SUMMARY We develop a panel data model explaining answers to subjective probabilities about binary events and estimate it using data from the Health and Retirement Study on six such probabilities. The model explicitly accounts for several forms of ‘reporting behavior’: rounding, focal point...

Persistent link: https://www.econbiz.de/10011006440