We study identification and estimation of the average treatment effect in a correlated random coefficients model that …

A correlation curve is introduced as a tool to study the degree of intergenerational income mobility, i.e. how income … correlation coefficient (i.e. its inability to capture nonlinearities). The method is particularly suitable for comparative … studies and in this study labour earnings are compared to disposable income. The correlation between the parental income and …

A correlation curve is introduced as a tool to study the degree of intergenerational income mobility, i.e. how income … correlation coefficient (i.e. its inability to capture nonlinearities). The method is particularly suitable for comparative … studies and in this study labour earnings are compared to disposable income. The correlation between the parental income and …

We introduce econometric methods to perform estimation and inference on the permanent and transitory components of the …

estimation properties of the method and test its predictive power on S&P 500 option data, comparing it as well with other recent …

covariance matrix eigenvalues, while for the Box-Cox dynamic correlation (BC-DC) specification the variances are transformed …

This paper studies the estimation of dynamic covariance matrices with multiple conditioning variables, where the matrix … shrinkage technique to obtain the large dynamic covariance matrix estimation. Under some regularity conditions, we derive the …

investment opportunity set for risk-averse investors. We formulate a new estimation procedure for sparse second-order stochastic …