Filtered consumption growth, constructed from a broad set of macro variables, improves cross-sectional asset pricing on portfolios formed on size, book-to-market equity, and past performance compared to observed consumption growth. I use two methods to construct measures of filtered consumption...

A new estimator is proposed for linear triangular systems, where identification results from the model errors following a bivariate and diagonal GARCH(1,1) process with potentially time-varying error covariances. This estimator applies when traditional instruments are unavailable. I demonstrate...

Modern systems of official statistics require the timely estimation of area-specific densities of sub-populations. Ideally estimates should be based on precise geo-coded information, which is not available due to confidentiality constraints. One approach for ensuring confidentiality is by...

We use income survey data linked with tax records at the individual level for Estonia to estimate the determinants and extent of income tax compliance in a novel way. Unlike earlier studies attributing income discrepancies between such data sources either to tax evasion or survey measurement...

This paper explores the dynamics of income and poverty of rural Indian households, 1994-2005. The estimation strategy consists of convergence analysis to test whether poor households are catching-up in terms of income, followed by transition analysis to test whether poor households are more...

This paper estimates a structural model of private provision of public goods to provide some new empirical evidence on individuals' strategic contributing behaviors. In the model, individuals' contributing behaviors are allowed to be heterogenous and time-varying. We show that all the main...

GMM estimation of autoregressive panel data equations in error-ridden variables when the noise has memory, is considered. The impact of variation in the memory length in signal and noise spread and in the degree of individual heterogeneity are discussed with respect to finite sample bias, using...

The central vs. local nature of high-school exit exam systems can have important repercussions on the labor market. By increasing the informational content of grades, central exams may improve the sorting of students by productivity. To test this, we exploit the unique German setting where...

The central vs. local nature of high-school exit exam systems can have important repercussions on the labor market. By increasing the informational content of grades, central exams may improve the sorting of students by productivity. To test this, we exploit the unique German setting where...

This paper provides a constructive argument for identification of nonparametric panel data models with measurement error in a continuous explanatory variable. The approach point identifies all structural elements of the model using only observations of the outcome and the mismeasured explanatory...