2018 June - 17 articles
In applied econometric literature, the causal inferences are often made based on temporally aggregated or systematically sampled data. A number of studies document that temporal aggregation has distorting effects on causal inference and systematic sa...
It is sometimes observed and frequently assumed that top incomes in household surveys worldwide are poorly measured and that this problem biases the measurement of income inequality. This paper tests this assumption and compares the performance of re...
In 2002, the Israeli government decided to build a wall inside the occupied West Bank. The wall had a marked effect on the access to land and water resources as well as to the Israeli labour market. It is difficult to include the effect of the wall i...
This paper provides a detailed exposition of an extension of the Oaxaca-Blinder decomposition method that can be applied to various distributional measures. The two-stage procedure first divides distributional changes into a wage structure effect and...
Structural break tests for regression models are sensitive to model misspecification. We show—analytically and through simulations—that the sup Wald test for breaks in the conditional mean and variance of a time series process exhibits se...
The generalized method of moments (GMM) estimator of the reduced-rank regression model is derived under the assumption of conditional homoscedasticity. It is shown that this GMM estimator is algebraically identical to the maximum likelihood estimator...
Developments in macro-econometrics have been evolving since the aftermath of the Second World War.[...]
In this study, we provide a Bayesian estimation method for the unconditional quantile regression model based on the Re-centered Influence Function (RIF). The method makes use of the dichotomous structure of the RIF and estimates a non-linear probabil...
There is substantial evidence that inflation rates are characterized by long memory and nonlinearities. In this paper, we introduce a long-memory Smooth Transition AutoRegressive Fractionally Integrated Moving Average-Markov Switching Multifractal sp...
In this paper, we study the finite sample accuracy of confidence intervals for index functional built via parametric bootstrap, in the case of inequality indices. To estimate the parameters of the assumed parametric data generating distribution, we p...
To use the generalized beta distribution of the second kind (GB2) for the analysis of income and other positively skewed distributions, knowledge of estimation methods and the ability to compute quantities of interest from the estimated parameters ar...
Since the late 1970s, wage inequality has increased strongly both in the U.S. and Germany but the trends have been different. Wage inequality increased along the entire wage distribution during the 1980s in the U.S. and since the mid 1990s in Germany...
The properties of the two stage least squares (TSLS) and limited information maximum likelihood (LIML) estimators in panel data models where the observables are affected by common shocks, modelled through unobservable factors, are studied for the cas...
Additive decomposability is an interesting feature of inequality indices which, however, is not always fulfilled; solutions to overcome such an issue have been given by Deutsch and Silber (2007) and by Di Maio and Landoni (2017). In this paper, we ap...
This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of s...
This paper proposes a simple algorithm based on a matrix formulation to compute the Esteban and Ray (ER) polarization index. It then shows how the algorithm introduced leads to quite a simple decomposition of polarization by income sources. Such a br...
The cohesiveness of constituent nations in a confederation such as the Eurozone depends on their equally shared experiences. In terms of household incomes, commonality of distribution across those constituent nations with that of the Eurozone as an e...
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