The Hamilton method for estimating CPI bias is simple, intuitive, and has been widely adopted. We show that the method conflates CPI bias with variation in cost-of-living across income levels.
Firm-level investment paths are commonly characterised by periods of low or zero investment punctuated by large investment ‘spikes’. We document that such spikes are important for understanding firm and aggregate level investment in the UK.
Despite some convergence, the gender pay gap remains large. In this study, we use BHPS-USoc data to document the evolution of the gender pay gap in the UK over the past 25 years and its association with fertility. We also investigate the potential role of various differences in career patterns between men and women and how they change with the arrival of the rst child.
Moment restriction semiparametric models, where both the dimension of parameter and the number of restrictions are divergent and an unknown function is involved, are studied using the generalized method of moments (GMM) and sieve method dealing with the nonparametric parameter.
High frequency trading (HFT) has grown substantially in recent years, due to fast-paced technological developments and their rapid uptake, particularly in equity markets.
We study the behaviour of the Betfair betting market and the sterling/dollar exchange rate (futures price) during 24 June 2016, the night of the EU referendum.
This paper develops the identification and estimation of nonlinear semi-parametric panel data models with mismeasured variables and their corresponding average partial effects using only three periods of data.
In this paper, we propose three new predictive models: the multi-step nonparametric predictive regression model and the multi-step additive predictive regression model, in which the predictive variables are locally stationary time series; and the multi-step time-varying coefficient predictive regression model, in which the predictive variables are stochastically nonstationary.
In France, in 2014, women’s hourly wages were on average 14.4 % lower than men’s. Beyond differentials in observed characteristics, is this gap explained by segregation of women in low-wage firms, or by gender inequality within a given firm?
New nonparametric methods that identify and estimate counterfactuals for individuals, when each is characterized by a vector of unobserved characteristics, are developed and applied to estimate systems of individual consumer demand and welfare measures.
Extremal quantile regression, i.e. quantile regression applied to the tails of the conditional distribution, counts with an increasing number of economic and financial applications such as value-at-risk, production frontiers, determinants of low infant birth weights, and auction models.
