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Income Nonresponse and Inequality Measurement

Paraje, Guillermo - Econometric Society - 2004

The measurement of income inequality plays a pivotal role in the assessment of economic welfare and the design and … people refuse to answer income questions. In countries where the proportion of income non-response is high, inequality … inequality measures? These questions could be of paramount importance in particular countries, such as some Latin American …

Persistent link: https://www.econbiz.de/10005699594

Estimating and Combining National Income Distributions using Limited Data

Rao, D.S. Prasada; Chotikapanich, Duangkamon; … - Econometric Society - 2004

Recently, there has been a resurgence of studies on the distribution of income and inequality at regional and global … the overall effects of globalisation on growth and inequality. A major data problem encountered in these studies is the …-specific distributions and its properties are examined. The techniques are used to analyse national and regional inequality trends for eight …

Persistent link: https://www.econbiz.de/10005063681

Assessing the Impact of Private Sector Balance Sheets Effects on Financial Crises: a comparison of Bayesian and information-theoretic measures of model uncertainty

Weeks, M.; Godsill, S.; Stone, M. - Econometric Society - 2004

This paper examines the intensity of financial crises during the 1990s with a view to informing crisis prevention and mitigation policies. We compare the performance of a full Bayesian and an information-theoretic approach in addressing the econometric problems posed by the lack of a unifying...

Persistent link: https://www.econbiz.de/10005699629

Debt-Constraints or Incomplete Markets? A Decomposition of the Wealth and Consumption Inequality in the U.S

Cordoba, Juan-Carlos - Econometric Society - 2004

The large wealth and consumption inequality in the U.S. is usually attributed to two market frictions: debt constraints … explain U.S. inequality. We introduce full insurance opportunities in a standard model of inequality along the lines of … income process, that of Heaton and Lucas (1996), debt constraints alone can explain none of the observed inequality. The …

Persistent link: https://www.econbiz.de/10005699585

Does Housing Wealth Make Us Less Equal? The Role of Durable Goods in the Distribution of Wealth

Gruber, Robert F. Martin Joseph W. - Econometric Society - 2004

We study the role an illiquid durable consumption good plays in determining the level of precautionary savings and the distribution of wealth in a standard Aiyagari model (i.e. a model with heterogeneous agents, idiosyncratic uncertainty, and borrowing constraints). Transactions costs induce an...

Persistent link: https://www.econbiz.de/10005702669

Indirect Estimation of Long Memory Volatility Models

Wilkins, Nigel - Econometric Society - 2004

An indirect estimator is proposed for two long memory volatility models; the fractionally integrated generalised autoregressive conditional heteroskedasticity (FIGARCH) model and the long memory stochastic volatility (LMSV) model. The small sample properties of the indirect estimator are...

Persistent link: https://www.econbiz.de/10005086438

The Consequences of Systematic Sampling on Granger Causality

Abeysinghe, Tilak; Rajaguru, Gulasekaran - Econometric Society - 2004

In applied econometric literature, the causal inferences are often made based on highly temporally aggregated or systematically sampled data. A number of theoretical studies have pointed out that temporal aggregation has distorting effects on causal inference and systematic sampling preserves...

Persistent link: https://www.econbiz.de/10005063635

Empirical Modelling of Contagion: A Review of Methodologies

Martin, Vance L.; Gonzalez-Hermosillo, Brenda; Dungey, Mardi - Econometric Society - 2004

The existing literature promotes a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods, and shows how they are related in a unified framework. A number of extensions are also suggested which allow for multivarite...

Persistent link: https://www.econbiz.de/10005063666

Structural Error Correction Model: A Bayesian Perspective

Chua, Chew Lian; Summers, Peter - Econometric Society - 2004

This paper proposes a Structural Error Correction Model (SECM) that allows concurrent estimation of the structural parameters and analysis of cointegration. We amalgamate the Bayesian methods of Kleibergen and Paap (2002) for analysis of cointegration in the ECM, and the Bayesian methods of...

Persistent link: https://www.econbiz.de/10005063745

On Leverage in a Stochastic Volatility Model

Yu, Jun - Econometric Society - 2004

This paper is concerned with specification for modelling financial leverage effect in the context of stochastic volatility (SV) models. Two alternative specifications co-exist in the literature. One is the Euler approximation to the well known continuous time SV model with leverage effect and...

Persistent link: https://www.econbiz.de/10005063753