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Author: Lee A. Lillard
Publisher:
ISBN:
Category : Labor supply
Languages : en
Pages : 32
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Author: Lee A. Lillard
Publisher:
ISBN:
Category : Labor supply
Languages : en
Pages : 32
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Author: Rand Corporation
Publisher:
ISBN:
Category :
Languages : en
Pages : 35
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Author: Lee A. Lillard
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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The purpose of this paper is to develop and test a dynamic labor supply model which incorporates the essential features of these previous models. The issues of permanent and transitory effects and of cross section versus time series can be addressed much more directly given the recent availability of panel data featuring repeated observation over extended periods of time of the same individuals. The labor supply model presented emphasizes the effect of permanent individual wage differences on permanent annual hours of work and the effect of serially correlated transitory individual wage variation on short run hours of work. Permanent and transitory deviations from the aggregate labor supply functions are also allowed. A by-product is an analysis of the relative roles of permanent and transitory components of both wages and hours in the distribution of earnings. The first section introduces the topic and describes related works. The second section provides a description of the essential features of the model. Section III provides a detailed outline of the empirical model and method of obtaining maximum likelihood estimates of parameters. Section IV provides a discussion of the results including the components of variation in wages, hours, and earnings. Comparisons are made by schooling group, by experience group, by union status, and by wife's work status. Finally the results are summarized in Section V.
Author: László Mátyás
Publisher: Springer Science & Business Media
ISBN: 9400901372
Category : Business & Economics
Languages : en
Pages : 944
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The aim of this volume is to provide a general overview of the econometrics of panel data, both from a theoretical and from an applied viewpoint. Since the pioneering papers by Edwin Kuh (1959), Yair Mundlak (1961), Irving Hoch (1962), and Pietro Balestra and Marc Nerlove (1966), the pooling of cross sections and time series data has become an increasingly popular way of quantifying economic relationships. Each series provides information lacking in the other, so a combination of both leads to more accurate and reliable results than would be achievable by one type of series alone. Over the last 30 years much work has been done: investigation of the properties of the applied estimators and test statistics, analysis of dynamic models and the effects of eventual measurement errors, etc. These are just some of the problems addressed by this work. In addition, some specific diffi culties associated with the use of panel data, such as attrition, heterogeneity, selectivity bias, pseudo panels etc., have also been explored. The first objective of this book, which takes up Parts I and II, is to give as complete and up-to-date a presentation of these theoretical developments as possible. Part I is concerned with classical linear models and their extensions; Part II deals with nonlinear models and related issues: logit and pro bit models, latent variable models, duration and count data models, incomplete panels and selectivity bias, point processes, and simulation techniques.
Author: Yixiao Sun
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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This paper establishes the limiting distributions of orthogonalized and nonorthogonalized impulse response functions in panel vector autoregressions with a fixed time dimension. The autoregressive parameters are estimated using the GMM estimators based on the first differenced equations and the error variance is estimated using an extended analysis-of-variance type estimator. We find that the GMM estimator of the autoregressive coefficients depends on the estimator of error variance, even in large samples with a large cross sectional dimension. The asymptotic dependence leads to additional terms in the asymptotic variance of the orthogonalized impulse response function that are not present in the time series literature. Simulation results show that the asymptotic distribution of the orthogonalized impulse response function that takes the dependence into account is more accurate than the one that does not.
Author: Seung C. Ahn
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Yousef Kaddoura
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: M. Hashem Pesaran
Publisher: Oxford University Press
ISBN: 0198736916
Category : Business & Economics
Languages : en
Pages : 1095
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Book Description
This book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides a rigorous, nevertheless user-friendly, account of the time series techniques dealing with univariate and multivariate time series models, as well as panel data models. It is distinct from other time series texts in the sense that it also covers panel data models and attempts at a more coherent integration of time series, multivariate analysis, and panel data models. It builds on the author's extensive research in the areas of time series and panel data analysis and covers a wide variety of topics in one volume. Different parts of the book can be used as teaching material for a variety of courses in econometrics. It can also be used as reference manual. It begins with an overview of basic econometric and statistical techniques, and provides an account of stochastic processes, univariate and multivariate time series, tests for unit roots, cointegration, impulse response analysis, autoregressive conditional heteroskedasticity models, simultaneous equation models, vector autoregressions, causality, forecasting, multivariate volatility models, panel data models, aggregation and global vector autoregressive models (GVAR). The techniques are illustrated using Microfit 5 (Pesaran and Pesaran, 2009, OUP) with applications to real output, inflation, interest rates, exchange rates, and stock prices.
Author: United States. National Commission on Employment and Unemployment Statistics
Publisher:
ISBN:
Category : Labor supply
Languages : en
Pages : 692
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Author:
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 764
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