Working papers

This paper presents estimates of key preference parameters of the Epstein and Zin (1989, 1991) and Weil (1989) (EZW) recursive utility model, evaluates the model’s ability to …to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for the unobservable aggregate wealth return.

This paper analyses raw data in the UK to show that the income loss on separation for women who were cohabiting is less than the loss for those who were married.

This article reviews the recent literature on the econometric analysis of games where multiple solutions are possible.

We establish the consistency and asymptotic normality for a class of estimators that are linear combinations of a set of √ n− consistent estimators whose cardinality increases with sample size.

This paper proposes efficient estimators of risk measures in a semiparametric GARCH model defined through moment constraints.

This paper proposes a new statistical test of the stochastic dominance efficiency of a given portfolio over a class of portfolios.

We consider approximating a multivariate regression function by an affine combination of one-dimensional conditional component regression functions.

This paper analyses the impact of informality on growth and wages in developing countries.

Sharp nonparametric bounds are derived for Hicksian compensating and equivalent variations. These 'i-bounds' generalize earlier results of Blundell, Browning and Crawford (2008). We show that their e-bounds are sharp under the Weak Axiom of Revealed Preference (WARP). They do not require transitivity. The new i-bounds are sharp under the Strong Axiom of Revealed Preference (SARP). By requiring transitivity they can be used to bound welfare measures. The new bounds on welfare measures are shown to be operationalized through algorithms that are easy to implement.

We use an RCT to analyze the impact of microcredit on poverty reduction, child and teenage labour supply, and education in Bosnia and Herzegovina.

This paper proposes an alternative way to test the leverage hypothesis, using realised volatility as an alternative direct nonparametric measure.

This paper studies a nonparametric regression model including a periodic component, a smooth trend function, and a stochastic error term.

This paper studies nonparametric models for locally stationary regressors and a regression function that changes smootly over time.

This paper investigates life cycle patterns of demand for services from household durables using UK panel data.

This paper studies simultaneous equations models for two or more discrete outcomes.

A Cemmap working paper.

This paper develops asymptotic theory for estimated parameters in differentiated product demand systems with a fixed number of products, as the number of markets T increases, taking into account that the market shares are approximated by Monte Carlo integration.

This paper compares consumption and income as measures of households’ living standards using UK data.

This paper examines three distinct hypothesis testing problems that arise in the context of identification of some nonparametric models with endogeneity.