We study the transmission of risk attititudes in a unique survey of mothers and children in which both participated in an incentivised risk preference elicitation task.
We develop uniformly valid confidence regions for a regression coefficient in a high-dimensional sparse LAD (least absolute deviation or median) regression model.
This paper establishes that so-called instrumental variables enable the identification and the estimation of a fully nonparametric regression model with Berkson-type measurement error in the regressors.
A well-documented empirical result is that market expectations extracted from futures contracts on the federal funds rate are among the best predictors for the future course of monetary policy. The authors show how this information can be exploited to produce accurate forecasts of bond excess returns and to construct profitable investment strategies in bond markets.
This chapter reviews the literature on the econometric relationship between DSGE and VAR models from the point of view of estimation and model validation.
This paper examines the inference question on the proportions (mixing probability) in a simply mixture model in the presence of nuisance parameters when sample size is large.
This paper investigates the asymptotic properties of the Gaussian quasi-maximum-likelihood estimators (QMLE's) of the GARCH model augmented by including an additional explanatory variable- the so-called GARCH-X model.
We consider the impact of tax credits and income support programs on female education choice, employment, hours and human capital accumulation over the life-cycle.
This paper uses data from a rich UK birth cohort to estimate the differences in cognitive and non-cognitive skills between children born at the start and end of the academic year.
We provide the first evidence on whether differences in childhood outcomes translate into differences in the probability of employment, occupation and earnings for adults in the UK.
This paper considers the class of p-dimensional elliptic distributions (p ≥ 1) satisfying the consistency property (Kano, 1994) and within this general framework presents a two-stage semiparametric estimator for the Lebesgue density based on Gaussian mixture sieves.
This paper develops maximum score estimation of preference parameters in the binary choice model under uncertainty in which the decision rule is affected by conditional expectations.
The authors examine a kernel regression smoother for time series that takes account of the error correlation structure as proposed by Xiao et al. (2008).
This paper identifies an entirely different mechanism for long memmory generation by showing that it can naturally arise when a large number of simply linear homogenous economic subsystems with a short memory are interconnected to form a network such that the outputs of each of the subsystem are fed into the inputs of others.
