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Robust estimation of wage dispersion with censored data: An application to occupational earnings risk and risk attitudes

Pollmann, Daniel; Dohmen, Thomas; Palm, Franz C. - 2012

We present a semiparametric method to estimate group-level dispersion, which is particularly effective in the presence of censored data. We apply this procedure to obtain measures of occupation-specific wage dispersion using top-coded administrative wage data from the German IAB Employment...

Persistent link: https://www.econbiz.de/10010282144

Exponent of cross-sectional dependence: Estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, Hashem - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Persistent link: https://www.econbiz.de/10010282124

Matching Methods in Practice: Three Examples

Imbens, Guido W. - 2014

There is a large theoretical literature on methods for estimating causal effects under unconfoundedness, exogeneity, or selection-on-observables type assumptions using matching or propensity score methods. Much of this literature is highly technical and has not made inroads into empirical...

Persistent link: https://www.econbiz.de/10010352224

Matching Methods in Practice: Three Examples

Imbens, Guido W. - Institute for the Study of Labor (IZA) - 2014

Persistent link: https://www.econbiz.de/10010884265

Dynamic Treatment Assignment : The Consequences for Evaluations Using Observational Data

Fredriksson, Peter; Johansson, Per - 2004

This paper discusses the evaluation problem using observational data when the timing of treatment is an outcome of a stochastic process. We show that the duration framework in discrete time provides a fertile ground for effect evaluations. We suggest easy-to-use nonparametric survival function...

Persistent link: https://www.econbiz.de/10010261825

Estimation of Generalized Entropy and Atkinson Inequality Indices from Complex Survey Data

Biewen, Martin; Jenkins, Stephen P. - 2003

Applying a method suggested by Woodruff (1971), we derive the sampling variances of Generalized Entropy and Atkinson inequality indices when estimated from complex survey data. It turns out that this method also greatly simplifies the calculations for the i.i.d. case when compared to previous...

Persistent link: https://www.econbiz.de/10010262721

How much should we trust linear instrumental variables estimators? An application to family size and children's education

Mogstad, Magne; Wiswall, Matthew - 2009

variable (IV) estimation. We show that tests for treatment effects, selection bias, and treatment effect heterogeneity are …

Persistent link: https://www.econbiz.de/10010269608

When, where and how to perform efficiency estimation

Badunenko, Oleg; Henderson, Daniel J.; Kumbhakar, Subal C. - 2011

In this paper we compare two flexible estimators of technical efficiency in a cross-sectional setting: the nonparametric kernel SFA estimator of Fan, Li and Weersink (1996) to the nonparametric bias corrected DEA estimator of Kneip, Simar and Wilson (2008). We assess the finite sample...

Persistent link: https://www.econbiz.de/10010280699

Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Pesaran, Bahram; Pesaran, Mohammad Hashem - 2007

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by … than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …

Persistent link: https://www.econbiz.de/10010276254

Robust Estimation of Wage Dispersion with Censored Data: An Application to Occupational Earnings Risk and Risk Attitudes

Pollmann, Daniel; Dohmen, Thomas; Palm, Franz C. - Institute for the Study of Labor (IZA) - 2012

Persistent link: https://www.econbiz.de/10011279338