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Identification and Inference in Nonlinear Difference-in-Differences Models

Athey, Susan; Imbens, Guido - 2021

This paper develops an alternative approach to the widely used Difference-In-Difference (DID) method for evaluating the effects of policy changes. In contrast to the standard approach, we introduce a nonlinear model that permits changes over time in the effect of unobservables (e.g., there may...

Persistent link: https://www.econbiz.de/10013234399

The Pruned State-Space System for Non-Linear DSGE Models : Theory and Empirical Applications

Andreasen, Martin M. - 2013

This paper studies the pruned state-space system for higher-order approximations to the solutions of DSGE models. For second- and third-order approximations, we derive the statistical properties of this system and provide closed-form expressions for first and second unconditional moments and...

Persistent link: https://www.econbiz.de/10013083081

Assessing DSGE Model Nonlinearities

Aruoba, S. Borağan - 2013

We develop a new class of nonlinear time-series models to identify nonlinearities in the data and to evaluate nonlinear DSGE models. U.S. output growth and the federal funds rate display nonlinear conditional mean dynamics, while inflation and nominal wage growth feature conditional...

Persistent link: https://www.econbiz.de/10013071908

Forecasting with Dynamic Panel Data Models

Liu, Laura - 2018

panel data. We construct point predictors using Tweedie's formula for the posterior mean of heterogeneous coefficients under … Carlo study. In an empirical application we use the predictor to forecast revenues for a large panel of bank holding …

Persistent link: https://www.econbiz.de/10012910300

Panel Data

Chamberlain, Gary - 2021

We consider linear predictor definitions of noncausality or strict exogeneity and show that it is restrictive to assert that there exists a time-invariant latent variable c such that x is strictly exogenous conditional on c. A restriction of this sort is necessary to justify standard techniques...

Persistent link: https://www.econbiz.de/10013221115

Multiple Time-Serie3 Models Applied to Panel Data

MaCurdy, Thomas E. - 2021

This study presents a general methodology for fitting multiple time series models to panel data. The basic statistical … panel data, and it identifies those instances in which procedures found in the time series literature cannot be directly … applied to analyze longitudinal data. Data analysis techniques in the tine series literature are adapted for panel data …

Persistent link: https://www.econbiz.de/10013234388

Attrition Bias in Economic Relationships Estimated with Matched CPS Files

Neumark, David; Kawaguchi, Daiji - 2021

Short panel data sets constructed by matching individuals across monthly files of the Current Population Survey (CPS …

Persistent link: https://www.econbiz.de/10013243925

Multivariate Fractional Regression Estimation of Econometric Share Models

Mullahy, John - 2010

proposed by Papke and Wooldridge, 1996, 2008, in univariate cross-sectional and panel contexts. The paper discusses the …

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

Comparing Micro-Evidence on Rent Sharing from Three Different Approaches

Dobbelaere, Sabien - 2010

Empirical labor economists have resorted to estimating the responsiveness of workersʼ wages on firmsʼ ability to pay to assess the extent to which employers share rents with their employees. This paper compares this labor economics approach with two other approaches that rely on standard micro...

Persistent link: https://www.econbiz.de/10013139892

Estimating Ricardian Models with Panel Data

Massetti, Emanuele - 2011

suggest the results are not stable. We argue that repeated cross sections do not properly specify the model. Panel methods … including hedonic studies and travel cost studies could be enhanced using panel data …

Persistent link: https://www.econbiz.de/10013124237