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Decomposing Excess Returns in Stochastic Linear Models

Lin, Carl - 2012

We present a theorem helpful in estimating the mean and variance of a linear function with arbitrary multivariate randomness in its coefficients and variables. We derive a generalized decomposition result from two random linear functions in which the result can be applied to most models using...

Persistent link: https://www.econbiz.de/10013113072

Wealth, Portfolios, and Unemployment Duration

Fontaine, François - 2020

We use administrative data on individual balance sheets in Denmark to document how an individual's financial position affects job search behavior. We look at the effect of wealth at the entry into unemployment on the exit rate from unemployment as well as the effect on the subsequent match...

Persistent link: https://www.econbiz.de/10012829227

The Economics of Dual Job Holding : A Job Portfolio Model of Labor Supply

Renna, Francesco - 2006

In this paper we develop a job portfolio model of dual job holding based on a Stone-Geary utility function. We derive the associated Slutsky equation components. Because the job portfolio model applies only to unconstrained dual jobholders, we separate individuals who moonlight because of an...

Persistent link: https://www.econbiz.de/10012783284

Skewness Expectations and Portfolio Choice

Drerup, Tilman H.; Wibral, Matthias; Zimpelmann, Christian - 2022

Many models of investor behavior predict that investors prefer assets that they believe to have positively skewed return distributions. We provide a direct test of this prediction in a representative sample of the Dutch population. Using individual-level data on return expectations for a broad...

Persistent link: https://www.econbiz.de/10013406448

A Job Ladder Model with Stochastic Employment Opportunities

Bradley, Jake - 2018

We set up a model with on-the-job search in which firms infrequently post vacancies for which workers occasionally apply. The model nests the standard job ladder and stock-flow models as special cases while remaining analytically tractable and easy to estimate from standard panel data sets....

Persistent link: https://www.econbiz.de/10012911194

Searching for Rehabilitation in Nonparametric Regression Models with Exogenous Treatment Assignment

Henderson, Daniel J. - 2012

This paper offers some new directions in the analysis of nonparamertric models with exogenous treatment assignment. The nonparametric approach opens the door to the examination of potentially different distributed outcomes. When combined with cross-validation, it also identifies potentially...

Persistent link: https://www.econbiz.de/10013099687

Stochastic Complementarity

Manzini, Paola - 2018

The Hicksian definition of complementarity and substitutability may not apply in contexts in which agents are not utility maximisers or where price or income variations, whether implicit or explicit, are not available. We look for tools to identify complementarity and substitutability satisfying...

Persistent link: https://www.econbiz.de/10012928499

The Identification and Economic Content of Ordered Choice Models with Stochastic Thresholds

Cunha, Flávio - 2008

This paper extends the widely used ordered choice model by introducing stochastic thresholds and interval-specific outcomes. The model can be interpreted as a generalization of the GAFT (MPH) framework for discrete duration data that jointly models durations and outcomes associated with...

Persistent link: https://www.econbiz.de/10012773457

Testing for Restricted Stochastic Dominance

Davidson, Russell; Duclos, Jean-Yves - 2006

Asymptotic and bootstrap tests are studied for testing whether there is a relation of stochastic dominance between two distributions. These tests have a null hypothesis of nondominance, with the advantage that, if this null is rejected, then all that is left is dominance. This also leads us to...

Persistent link: https://www.econbiz.de/10014059083

The Variability and Volatility of Sleep : An Archetypal Approach

Hamermesh, Daniel S.; Pfann, Gerard A. - 2022

individuals' sleep time exhibits both variability and volatility characterized by stationary autoregressive conditional … young children at home. Volatility is greater among parents with young children, slightly greater among men than women, but … independent of other demographics. A theory of economic incentives to minimize the dispersion of sleep predicts that higher …

Persistent link: https://www.econbiz.de/10014083924