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Panel Data and Structural Labour Market Models
Type: Book
ISBN: 978-0-44450-319-0

Book part
Publication date: 19 December 2012

Matthew Harding and Carlos Lamarche

This paper studies the estimation of quantile regression panel duration models. We allow for the possibility of endogenous covariates and correlated individual effects in the…

Abstract

This paper studies the estimation of quantile regression panel duration models. We allow for the possibility of endogenous covariates and correlated individual effects in the quantile regression models. We propose a quantile regression approach for panel duration models under conditionally independent censoring. The procedure involves minimizing ℓ1 convex objective functions and is motivated by a martingale property associated with survival data in models with endogenous covariates. We carry out a series of Monte Carlo simulations to investigate the small sample performance of the proposed approach in comparison with other existing methods. An empirical application of the method to the analysis of the effect of unemployment insurance on unemployment duration illustrates the approach.

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Essays in Honor of Jerry Hausman
Type: Book
ISBN: 978-1-78190-308-7

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Book part
Publication date: 15 April 2020

Timothy Dombrowski, R. Kelley Pace and Rajesh P. Narayanan

Portfolios of mortgage loans played an important role in the Great Recession and continue to compose a material part of bank assets. This chapter investigates how cross-sectional…

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Portfolios of mortgage loans played an important role in the Great Recession and continue to compose a material part of bank assets. This chapter investigates how cross-sectional dependence in the underlying properties flows through to the loan returns, and thus, the risk of the portfolio. At one extreme, a portfolio of foreclosed mortgage loans becomes a portfolio of real estate whose returns exhibit substantial cross-sectional and spatial dependence. Near the other extreme, almost all loans perform and yield constant returns, which do not correlate with other performing loan returns. This suggests that loan performance effectively censors the random returns of the underlying properties. Following the statistical properties of the correlations among censored variables, the authors build off this foundation and show how the loan return correlations will rise as economic conditions deteriorate and the defaulting loans reveal the underlying housing correlations. In this chapter, the authors (1) adapt tools from spatial statistics to document substantial cross-sectional dependence across house price returns and examine the spatial structure of this dependence, (2) investigate the nonlinear nature of correlations among loan returns as a function of the default rate and the underlying house price correlations, and (3) conduct a simulation exercise using parameters from the empirical data to show the implications for holding a portfolio of mortgages.

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Handbook of Transport Modelling
Type: Book
ISBN: 978-0-08-045376-7

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Panel Data and Structural Labour Market Models
Type: Book
ISBN: 978-0-44450-319-0

Book part
Publication date: 21 February 2008

Jaap H. Abbring

This paper studies the event-history approach to microeconometric program evaluation. We present a mixed semi-Markov event-history model, discuss its application to program…

Abstract

This paper studies the event-history approach to microeconometric program evaluation. We present a mixed semi-Markov event-history model, discuss its application to program evaluation, and analyze its empirical content. The results of this paper provide fundamental insights into what can be learned from longitudinal microdata about, for example, the effects of training programs for the unemployed on their unemployment durations and subsequent job stability. They can guide the choice of particular models and methods for the empirical analysis of such effects.

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Modelling and Evaluating Treatment Effects in Econometrics
Type: Book
ISBN: 978-0-7623-1380-8

Book part
Publication date: 23 November 2011

Francesco Bravo, Kim P. Huynh and David T. Jacho-Chávez

This chapter proposes a simple procedure to estimate average derivatives in nonparametric regression models with incomplete responses. The method consists of replacing the…

Abstract

This chapter proposes a simple procedure to estimate average derivatives in nonparametric regression models with incomplete responses. The method consists of replacing the responses with an appropriately weighted version and then use local polynomial estimation for the average derivatives. The resulting estimator is shown to be asymptotically normal, and an estimator of its asymptotic variance–covariance matrix is also shown to be consistent. Monte Carlo experiments show that the proposed estimator has desirable finite sample properties.

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Missing Data Methods: Cross-sectional Methods and Applications
Type: Book
ISBN: 978-1-78052-525-9

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Book part
Publication date: 21 December 2010

Chandra R. Bhat, Cristiano Varin and Nazneen Ferdous

This chapter compares the performance of the maximum simulated likelihood (MSL) approach with the composite marginal likelihood (CML) approach in multivariate ordered-response…

Abstract

This chapter compares the performance of the maximum simulated likelihood (MSL) approach with the composite marginal likelihood (CML) approach in multivariate ordered-response situations. The ability of the two approaches to recover model parameters in simulated data sets is examined, as is the efficiency of estimated parameters and computational cost. Overall, the simulation results demonstrate the ability of the CML approach to recover the parameters very well in a 5–6 dimensional ordered-response choice model context. In addition, the CML recovers parameters as well as the MSL estimation approach in the simulation contexts used in this study, while also doing so at a substantially reduced computational cost. Further, any reduction in the efficiency of the CML approach relative to the MSL approach is in the range of nonexistent to small. When taken together with its conceptual and implementation simplicity, the CML approach appears to be a promising approach for the estimation of not only the multivariate ordered-response model considered here, but also for other analytically intractable econometric models.

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Maximum Simulated Likelihood Methods and Applications
Type: Book
ISBN: 978-0-85724-150-4

Book part
Publication date: 13 October 2017

Anne Lafarre

In this chapter, we are among the first to investigate the actual course of affairs in AGMs with respect to shareholder forum rights. In the first part of the chapter, we provide…

Abstract

In this chapter, we are among the first to investigate the actual course of affairs in AGMs with respect to shareholder forum rights. In the first part of the chapter, we provide descriptive statistics on the use of the right to ask questions and speak in AGMs in the Netherlands. We find that in an average meeting there are around 42 questions and remarks made by around 8 shareholders. Most of these questions and remarks seem to be relevant; with a categorization framework of 14 topics, we could already identify over 50% of these questions and remarks. However, we also find that the average number of shareholders that physically ask questions is only 8. Next, we consider the determinants of the use of these forum rights. In several panel data analyses with a Poisson distribution and a negative binomial distribution, we, inter alia, found that the ‘importance of the meeting’ generally contributes to the amount of questions and remarks and the number of shareholders that actively engage in discussions. We have also found that the number of speakers – and the number of private investors – that actively attend the AGM depends on previous attendance numbers. This may imply that there is a small base of very active (private) investors in the Netherlands. We conclude that the forum function of AGMs is definitely relevant, but given the low number of shareholders that make use of these rights, amendments may be considered.

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Book part
Publication date: 13 May 2017

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Regression Discontinuity Designs
Type: Book
ISBN: 978-1-78714-390-6

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