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In case of herding, investors follow each other, prices move together more than they normally do, and the cross-sectional dispersion of returns decreases. Chang, Cheng, and Khorana (2000) suggest to test for herding by regressing the cross-sectional absolute deviation on the absolute and squared...
Persistent link: https://www.econbiz.de/10011127576
This paper develops a technique for estimating age- profiles of earnings mobility using conditional kernel density estimation and establishes their statistical inference. Both pointwise and simultaneous confidence intervals are derived. The paper then examines the age- profile of earnings...
Persistent link: https://www.econbiz.de/10009021673
This paper reviews various mobility measures and establishes their asymptotic sampling distribution. The paper then examines the development of earnings mobility for both sexes in Germany between 1983 and 1991 using the Socio-Economic Panel. --
Persistent link: https://www.econbiz.de/10009021674
This paper develops a technique for estimating age-profiles of earnings mobility using conditional kernel density estimation and establishes their statistical properties. Both pointwise and simultaneous confidence intervals are derived. The paper then examines the age-profile of short-run...
Persistent link: https://www.econbiz.de/10005252059
Many developing countries are characterized by a large share of home production. Households allocate their time on both market and non-market activities. The introduction of a tax on labor or capital income induces people to divert from market production to home production. Furthermore, children...
Persistent link: https://www.econbiz.de/10005742810
Persistent link: https://www.econbiz.de/10005758358
The effects of option trading at the DTB on the variance of the underlying stocks are examined. We use a new distribution free test being based on the empirical distribution functions. The evidence indicates that stock return variance increased after the introduction of the DTB. This effect can...
Persistent link: https://www.econbiz.de/10005758373
Based on a derivation of the asymptotic sampling distribution of the generalized entropy mobility measures, this paper provides a statistically rigorous analysis of income mobility in Germany and the United States using the panel data set PSID-SOEP equivalent data file. Several alternative...
Persistent link: https://www.econbiz.de/10005692553
Persistent link: https://www.econbiz.de/10005397342
We compare projection methods with the standard value function grid algorithm in order to solve overlapping generations models. We apply the methods to a particular 60-period OLG model with elastic labor supply in order to study the effects of unfunded public pensions on aggregate savings and...
Persistent link: https://www.econbiz.de/10005027166