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Regression Kink Design : Theory and Practice

Card, David E. - 2016

A regression kink design (RKD or RK design) can be used to identify casual effects in settings where the regressor of interest is a kinked function of an assignment variable. In this paper, we apply an RKD approach to study the effect of unemployment benefits on the duration of joblessness in...

Persistent link: https://www.econbiz.de/10012980189

Quasi-Experimental Shift-Share Research Designs

Borusyak, Kirill - 2018

Many studies use shift-share (or “Bartik”) instruments, which average a set of shocks with exposure share weights. We provide a new econometric framework for shift-share instrumental variable (SSIV) regressions in which identification follows from the quasi-random assignment of shocks, while...

Persistent link: https://www.econbiz.de/10012911479

Machine Learning for Regularized Survey Forecast Combination : Partially-Egalitarian Lasso and its Derivatives

Diebold, Francis X. - 2018

Despite the clear success of forecast combination in many economic environments, several important issues remain incompletely resolved. The issues relate to selection of the set of forecasts to combine, and whether some form of additional regularization (e.g., shrinkage) is desirable. Against...

Persistent link: https://www.econbiz.de/10012911728

Caviar : Conditional Value at Risk by Quantile Regression

Manganelli, Simone; Engle, Robert F. - 2021

Value at Risk has become the standard measure of market risk employed by financial institutions for both internal and regulatory purposes. Despite its conceptual simplicity, its measurement is a very challenging statistical problem and none of the methodologies developed so far give satisfactory...

Persistent link: https://www.econbiz.de/10013218406

Imposing Moment Restrictions from Auxiliary Data by Weighting

Imbens, Guido; Hellerstein, Judith K. - 2021

In this paper we analyze estimation of coefficients in regression models under moment restrictions where the moment restrictions are derived from auxiliary data. Our approach is similar to those that have been used in statistics for analyzing contingency tables with known marginals. These...

Persistent link: https://www.econbiz.de/10013218741

Quantile Regression Under Misspecification, with an Application to the U.S. Wage Structure

Angrist, Joshua D.; Chernozhukov, Victor; … - 2021

Quantile regression(QR) fits a linear model for conditional quantiles, just as ordinary least squares (OLS) fits a linear model for conditional means. An attractive feature of OLS is that it gives the minimum mean square error linear approximation to the conditional expectation function even...

Persistent link: https://www.econbiz.de/10013221315

Growth Economics and Reality

Brock, William A.; Durlauf, Steven N. - 2021

the perspective of economic theory as well as from the perspective of the historical experiences of the countries under … model specification. Model uncertainty consists of two types: theory uncertainty, which relates to which growth determinants … draws from the same statistical model. We propose ways to account for both theory and heterogeneity uncertainty. Finally …

Persistent link: https://www.econbiz.de/10013222634

The Distribution of Public Sector Wage Premia : New Evidence Using Quantile Regression Methods

Poterba, James M.; Rueben, Kim S. - 2021

This paper documents the changing pattern of wage differentials between state and local government employees and their private sector counterparts during the 1979-1992 period. While the relative wages of women employed in the two sectors changed very little during this period, the relative wages...

Persistent link: https://www.econbiz.de/10013224191

Determinants of Long-Term Growth : A Bayesian Averaging of Classical Estimates (Bace) Approach

Doppelhofer, Gernot; Miller, Ronald I.; Sala-i-Martin, … - 2021

This paper examines the robustness of explanatory variables in cross-country economic growth regressions. It employs a novel approach, Bayesian Averaging of Classical Estimates (BACE), which constructs estimates as a weighted average of OLS estimates for every possible combination of included...

Persistent link: https://www.econbiz.de/10013243423

Multivariate Fractional Regression Estimation of Econometric Share Models

Mullahy, John - 2010

This paper describes and applies econometric strategies for estimating regression models of economic share data outcomes where the shares may take boundary values (zero and one) with nontrivial probability. The main focus of the paper is on the conditional mean structures of such data. The paper...

Persistent link: https://www.econbiz.de/10013138354