In this paper, we propose a new method to assess the impact of sovereign ratings on sovereign bond yields. We estimate the impulse response of the interest rate, following a change in the rating. Since ratings are ordinal and moreover extremely persistent, it proves difficult to estimate those...

This paper develops and applies a novel estimation procedure for quantile regressions with time-varying coefficients based on a fully parametric, multifactor specification. The algorithm recursively filters the multifactor dynamic coefficients with a Kalman filter and parameters are estimated by...

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...

The consistent underestimation of inequality of opportunity has led some scholars to call into question the usefulness of such estimates. In this paper we argue that neglecting heterogeneity in the influence of circumstances across types as well as neglecting heterogeneity in type-specific...

The bootstrap is a convenient tool for calculating standard errors of the parameters of complicated econometric models. Unfortunately, the fact that these models are complicated often makes the bootstrap extremely slow or even practically infeasible. This paper proposes an alternative to the...

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...

The bootstrap is a convenient tool for calculating standard errors of the parameters of complicated econometric models. Unfortunately, the fact that these models are complicated often makes the bootstrap extremely slow or even practically infeasible. This paper proposes an alternative to the...