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The Effect of Disability on Labour Market Outcomes in Germany: Evidence from Matching

Lechner, Michael; Vazquez-Alvarez, Rosalia - C.E.P.R. Discussion Papers - 2004

improving the identification and estimation strategy. Using the German Socio-Economic Panel (1984-2001) we estimate the impact …

Persistent link: https://www.econbiz.de/10005498136

A Gravity Model of International Lending: Trade, Default and Credit

Rose, Andrew K; Spiegel, Mark - C.E.P.R. Discussion Papers - 2002

One reason why countries service their external debts is the fear that default might lead to shrinkage of international trade. If so, then creditors should systematically lend more to countries with which they share closer trade links. We develop a simple theoretical model to capture this...

Persistent link: https://www.econbiz.de/10005789181

Common Drifting Volatility in Large Bayesian VARs

Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2012

The estimation of large Vector Autoregressions with stochastic volatility using standard methods is computationally very demanding. In this paper we propose to model conditional volatilities as driven by a single common unobserved factor. This is justified by the observation that the pattern of...

Persistent link: https://www.econbiz.de/10011083279

Solving and Estimating Indeterminate DSGE Models

Farmer, Roger E A; Khramov, Vadim - C.E.P.R. Discussion Papers - 2013

We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare and Gensys. Our method redefines a subset of expectational errors as new...

Persistent link: https://www.econbiz.de/10011083357

Factor Analysis with Large Panels of Volatility Proxies

Ghysels, Eric - C.E.P.R. Discussion Papers - 2014

idiosyncratic errors of the panel. A remarkable result emerges. Under suitable regularity conditions the traditional principal …-sectional driven criteria suffice for consistent estimation of the number of factors, which is different from the traditional panel … data results. Finally, we also show that the panel data estimates improve upon the individual volatility estimates. …

Persistent link: https://www.econbiz.de/10011083764

Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections

Banbura, Marta; Giannone, Domenico; Lenza, Michele - C.E.P.R. Discussion Papers - 2014

This paper describes an algorithm to compute the distribution of conditional forecasts, i.e. projections of a set of variables of interest on future paths of some other variables, in dynamic systems. The algorithm is based on Kalman filtering methods and is computationally viable for large...

Persistent link: https://www.econbiz.de/10011084028

Cost Efficiency and Subsidization in German Local Public Bus Transit

Nieswand, Maria; Walter, Matthias - C.E.P.R. Discussion Papers - 2013

companies by using alternative frontier cost models for panel data. Thereby, the multidimensional performance estimation …

Persistent link: https://www.econbiz.de/10011084257

A Monte Carlo procedure for checking identification in DSGE models

Le, Vo Phuong Mai; Minford, Patrick; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2013

We propose a numerical method, based on indirect inference, for checking the identification of a DSGE model. Monte Carlo samples are generated from the model's true structural parameters and a VAR approximation to the reduced form estimated for each sample. We then search for a different set of...

Persistent link: https://www.econbiz.de/10011084568

The Allocation of Time in Sleep: a Social Network Model with Sampled Data

Liu, Xiaodong; Patacchini, Eleonora; Rainone, Edoardo - C.E.P.R. Discussion Papers - 2013

We analyze peer e¤ects in sleeping behavior using a representative sample of U.S. teenagers from the National Longitudinal Survey of Adolescent Health. The sampling design of the survey causes the conventional 2SLS estimator to be inconsistent. We extend the NLS estimator in Wang and Lee...

Persistent link: https://www.econbiz.de/10011084656

Repeat Sales Indexes: Estimation Without Assuming that Errors in Asset Returns Are Independently Distributed

Campbell, Rachel; Graddy, Kathryn; Hamilton, Jonathan - C.E.P.R. Discussion Papers - 2009

This paper proposes an alternative specification for the second stage of the Case-Shiller repeat sales method. This specification is based on serial correlation in the deviations from the mean one-period returns on the underlying individual assets, whereas the original Case-Shiller method...

Persistent link: https://www.econbiz.de/10005034752