Now showing items 1-10 of 240
Aggregate Employment,Job PolarizationAnd Inequalities
A Transatlantic Perspective
This paper develops a multi-sectorial search and matching model with endogenous occupational choice in a context of structural change. Our objective is to shed light on the way labor market institutions affect aggregate ...
Functional stable limit theorems for efficient spectral covolatility estimators
We consider noisy non-synchronous discrete observations of a continuous semimartingale. Functional stable central limit theorems are established under high-frequency asymptotics in three setups: onedimensional for the ...
Structural Vector Autoregressive Analysis in a DataRich Environment
Large panels of variables are used by policy makers in deciding on policy actions. Therefore it is desirable to include large information sets in models for economic analysis. In this survey methods are reviewed for ...
Confidence Bands for Impulse Responses
Bonferroni versus Wald
In impulse response analysis estimation uncertainty is typically displayed by constructing bands around estimated impulse response functions. These bands may be based on frequentist or Bayesian methods. If they are based ...
A consistent two-factor model for pricing temperature derivatives
We analyze a consistent two-factor model for pricing temperature derivatives that incorporates the forward looking information available in the market by specifying a model for the dynamics of the complete meteorological ...
Intertemporal Consumption and Debt Aversion
An Experimental Study
This paper tests how subjects behave in an intertemporal consumption/saving experiment when borrowing is allowed and whether subjects treat debt differently than savings. Two treatments create environments where either ...
Simultaneous Confidence Corridors and Variable Selection for Generalized Additive Models
In spite of the widespread use of generalized additive models (GAMs), there is no well established methodology for simultaneous inference and variable selection for the components of GAM. There is no doubt that both, ...
Structural Vector Autoregressions
Checking Identifying Long-run Restrictions via Heteroskedasticity
Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in ...
An Extended Single Index Model with Missing Response at Random
An extended single-index model is considered when responses are missing at random. A three-step estimation procedure is developed to define an estimator for the single index parameter vector by a joint estimating equation. ...