39,826 research outputs found

    <i>Parrillo v Italy</i> : Is There Life in the European Court of Human Rights?

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    Does it matter who responded to the survey? Trends in the U.S. gender earnings gap revisited

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    Blau and Kahn (JOLE, 1997; ILRR, 2006) decomposed trends in the U.S. gender earnings gap into observable and unobservable components using the PSID. They found that the unobservable part contributed significantly not only to the rapidly shrinking earnings gap in the 1980s, but also to the slowing-down of the convergence in the 1990s. In this paper, we extend their framework to consider measurement error due to the use of proxy/representative respondents. First, we document a strong trend of changing gender composition of household-representative respondents toward more females. Second, we estimate the impact of the changing gender composition on Blau and Kahn's decomposition. We find that a non-ignorable portion of changes in the gender gap could be attributed to changes in the self/proxy respondent composition. Specifically, the actual reduction in the gender gap can be smaller than what the estimates without taking into account the measurement error might suggest. We conclude that a careful validation study would be necessary to ascertain the magnitude of the spurious measurement error effects.

    Estimating panel data duration models with censored data

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    This paper presents a method for estimating a class of panel data duration models, under which an unknown transformation of the duration variable is linearly related to the observed explanatory variables and the unobserved heterogeneity (or frailty) with completely known error distributions. This class of duration models includes a panel data proportional hazards model with fixed effects. The proposed estimator is shown to be n1/2-consistent and asymptotically normal with dependent right censoring. The paper provides some discussions on extending the estimator to the cases of longer panels, multiple states, and endogenous explanatory variables. Some Monte Carlo studies are carried out to illustrate the finite-sample performance of the new estimator.

    Endogeneity in quantile regression models: a control function approach

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    This paper considers a linear triangular simultaneous equations model with conditional quantile restrictions. The paper adjusts for endogeneity by adopting a control function approach and presents a simple two-step estimator that exploits the partially linear structure of the model. The first step consists of estimation of the residuals of the reduced-form equation for the endogenous explanatory variable. The second step is series estimation of the primary equation with the reduced-form residual included nonparametrically as an additional explanatory variable. This paper imposes no functional form restrictions on the stochastic relationship between the reduced-form residual and the disturbance term in the primary equation conditional on observable explanatory variables. The paper presents regularity conditions for consistency and asymptotic normality of the two-step estimator. In addition, the paper provides some discussions on related estimation methods in the literature and on possible extensions and limitations of the estimation approach. Finally, the numerical performance and usefulness of the estimator are illustrated by the results of Monte Carlo experiments and two empirical examples, demand for fish and returns to schooling.

    Real Estate in the Mixed-asset Portfolio: The Question of Consistency

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    The recent poor performance of the equity market in the UK has meant that real estate is increasingly been seen as an attractive addition to the mixed-asset portfolio. However, determining whether the good return enjoyed by real estate is a temporary or long-term phenomenon is a question that remains largely unanswered. In other words, there is little or no evidence to indicate whether real estate should play a consistent role in the mixed-asset portfolio over short- and long-term investment horizons. Consistency in this context refers to the ability of an asset to maintain a positive allocation in an efficient portfolio over different holding periods. Such consistency is a desirable trait for any investment, but takes on particular significance when real estate is considered, as the asset class is generally perceived to be a long-term investment due to illiquidity. From an institutional investor’s perspective, it is therefore crucial to determine whether real estate can be reasonably expected to maintain a consistent allocation in the mixed-asset portfolio in both the short and long run and at what percentage. To address the question of consistency the allocation of real estate in the mixed-asset portfolio was calculated over different holding periods varying from 5- to 25-years.mixed-asset portfolios, consistency, marginal impact
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