Working papers

The authors propose a generalization of the linear quantile regression model to accommodate possibilities afforded by panel data.

School funding per pupil increased substantially between 1999-00 and 2012-13 in England. In this paper, we decompose these increases in funding per pupil into the amount explained by quantities of different types of staff per pupil, their price and changes in non-staffing costs.

This paper presents new approaches to testing for exogeneity in non-parametric models with discrete regressors and instruments.

One of the main objectives of empirical analysis of experiments and quasi-experiments is to inform policy decisions that determine the allocation of treatments to individuals with different observable covariates. The authors propose the Empirical Welfare Maximization (EWM) method, which estimates a treatment assignment policy by maximizing the sample analog of average social welfare over a class of candidate treatment policies. The EWM approach is attractive in terms of both statistical performance and practical implementation in realistic settings of policy design.

The UK has enacted a number of reforms to the structure of disability benefits, including the introduction of Incapacity Benefit in 1995 and the replacement of Incapacity Benefit with Employment and Support Allowance from 2008. The authors bring together administrative and survey data over the period and highlight key differences in receipt of disability benefits by age, sex and health.

The authors propose a two-step estimation method of stochastic volatility models. The estimation strategy is applicable to both parametric and nonparametric stochastic volatility models, and can handle both jumps and market microstructure noise.

We investigate a nonparametric panel model with heterogeneous regression functions. In a variety of applications, it is natural to impose a group structure on the regression curves. Specifically, we may suppose that the observed individuals can be grouped into a number of classes whose members all share the same regression function. We develop a statistical procedure to estimate the unknown group structure from the observed data. Moreover, we derive the asymptotic properties of the procedure and investigate its finite sample performance by means of a simulation study and a real-data example.

Dynamic portfolio choice has been a central and essential objective for institutional investors in active asset management. In this paper, the authors study the dynamic portfolio choice depending on multiple conditioning variables, where the number of the conditioning variables can be either fixed or diverging to infinity at certain polynomial rate in comparison with the sample size.

The authors propose an alternative Ratio Statistic for measuring predictability of stock prices, based on actual returns rather than logarithmic returns and better suited to capturing price predictability.

In this paper the authors examine the distributional and efficiency case for VAT rate differentiation in Mexico, and analyse the effects of the 2010 reforms to Mexico’s tax system, making use of a tax micro-simulation model, MEXTAX.

The authors investigate the impact on social welfare of the UK policy introduced in 1980 by which public housing tenants (council housing in UK parlance) had the right to purchase their houses at heavily discounted prices.

Common high-dimensional methods for prediction rely on having either a sparse signal model, a model in which most parameters are zero and there are a small number of non-zero parameters that are large in magnitude, or a dense signal model, a model with no large parameters and very many small non-zero parameters. The authors consider a generalization of these two basic models, termed here a “sparse+dense” model, in which the signal is given by the sum of a sparse signal and a dense signal.

This paper analyses the key trends in child poverty in Britain, with particular focus on changes since the late 1990s when the issue was promoted towards the top of the policy agenda.

The authors examine the channels through which a randomized early childhood intervention in Colombia led to significant gains in cognitive and socio-emotional skills among a sample of disadvantaged children.

The paper investigates the short run responsiveness of National Health Service (NHS) nurses’ labour supply to changes in wages of NHS nurses relative to wages in outside options available to nurses, utilising the panel data aspect of the Annual Survey of Hours and Earnings.

We propose new concepts of statistical depth, multivariate quantiles, ranks and signs, based on canonical transportation maps between a distribution of interest on IRd and a reference distribution on the d-dimensional unit ball.

This paper documents the heterogeneity in labor market volatility across ages and gender in the United States over 1976-2014.

This paper reviews recent developments in nonparametric identification of measurement error models and their applications in applied microeconomics, in particular, in empirical industrial organization and labor economics.

A model of labour supply is developed in which individuals face restrictions on hours choices. Observed hours reflect both the distribution of preferences and the distribution of offers.

We discuss two alternative approaches to constructing data on complete adult life-cycles using an 18-year panel: a splicing approach (closely related to imputation) and a microsimulation approach. We find the microsimulation approach is to be preferred because it allows us to correct for observable differences across cohorts, and it is more amenable to counterfactual modelling.