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Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate T Distribution

Pesaran, Bahram; Pesaran, M. Hashem - 2021

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...

Persistent link: https://www.econbiz.de/10013316934

Two-Way Causation in Life Satisfaction Research : Structural Equation Models with Granger-Causation

Headey, Bruce - 2014

Two-way causation issues are the bete noire of life satisfaction research. As acknowledged in several landmark reviews, many variables routinely reported as causes or determinants of life satisfaction could equally well be consequences, or perhaps both causes and consequences (Diener, 1984; Diener,...

Persistent link: https://www.econbiz.de/10013042982

Interpreting Ols Estimands When Treatment Effects are Heterogeneous : Smaller Groups Get Larger Weights

Słoczyński, Tymon - 2020

Applied work often studies the effect of a binary variable ("treatment") using linear models with additive effects. I study the interpretation of the OLS estimands in such models when treatment effects are heterogeneous. I show that the treatment coefficient is a convex combination of two...

Persistent link: https://www.econbiz.de/10012833234

The Effects of Work-Life Benefits on Employment Outcomes in Canada : A Multivariate Analysis

Fang, Tony - 2019

work-life benefits and various employment outcomes in the Canadian labour market. Whilst the theory of compensating wage … differentials hypothesizes an inevitable trade-off between higher wages and non-wage benefits, the efficiency wage theory suggests … otherwise. The empirical evidence broadly supports the efficiency wage theory, thus rejecting the compensating wage …

Persistent link: https://www.econbiz.de/10012870159

The Last Refuge of a Scoundrel? Patriotism and Tax Compliance

Konrad, Kai A. - 2009

We study the effects of patriotism on tax compliance. In particular, we assume that individuals feel a (random draw of) warm glow from honestly paying their taxes. A higher expected warm glow reduces the government's optimal audit probability and yields higher tax compliance. Second, individuals...

Persistent link: https://www.econbiz.de/10012763928

On the Multivariate Analysis of the Lisbon Process

Tausch, Arno - 2007

Starting from Professor Kornai's assertion about the necessity to focus on the long-term perspectives of the transformation process, we analyze in this paper the Lisbon performance of the countries of the European Union from such a long-term, structural perspective. We present in a simple form...

Persistent link: https://www.econbiz.de/10012775462

Estimating the Technology of Cognitive and Noncognitive Skill Formation

Cunha, Flávio - 2010

This paper formulates and estimates multistage production functions for children's cognitive and noncognitive skills. Skills are determined by parental environments and investments at different stages of childhood. We estimate the elasticity of substitution between investments in one period and...

Persistent link: https://www.econbiz.de/10013148325

Bayesian Exploratory Factor Analysis

Conti, Gabriella - 2014

This paper develops and applies a Bayesian approach to Exploratory Factor Analysis that improves on ad hoc classical approaches. Our framework relies on dedicated factor models and simultaneously determines the number of factors, the allocation of each measurement to a unique factor, and the...

Persistent link: https://www.econbiz.de/10013049750

Wage Dispersion in a Partially Unionized Labor Force

Addison, John T. - 2009

variance. The decomposition permits counterfactual analysis, using concepts and techniques from the theory of factorial …

Persistent link: https://www.econbiz.de/10013158878

Aggregation in Large Dynamic Panels

Pesaran, M. Hashem - 2011

This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following Pesaran (2003), an optimal aggregate function is...

Persistent link: https://www.econbiz.de/10013129942