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Refereed essays Web of Science
Tests for identification through heteroskedasticity in structural vector autoregressive analysis are developed for models with two volatility states where the time point of volatility change is known. The tests are Wald-type tests for which only the unrestricted model, including the covariance matrices of the two volatility states, has to be estimated. The residuals of the model are assumed to be from ...
In:
The Econometrics Journal
24 (2021), 1, S. 1-22
| Helmut Lütkepohl, Mika Meitz, Aleksei Netšunajev, Pentti Saikkonen
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Refereed essays Web of Science
This paper analyses the calculation principles used for determining the level and differentiation ofHGV charges in Germany. It demonstrates that calculating average cost-based charges is far fromstraightforward, even with an agreed methodology, and involves sensitive methodological choices.Based on a review of available studies, the paper argues that estimating marginal costs does notnecessarily involve ...
In:
Journal of Transport Economics and Policy
55 (2021), 2, S. 141–162
| Heike Link
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Research Project
The aim of the project is the empirical investigation of the differential life expectancy of different socio-economic groups. In particular, it will be analyzed whether there are systematic differences in life expectancy according to occupation, industry or position in the occupation. The study will also work out the heterogeneous effects within the groups according to different individual...
Current Project
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Refereed essays Web of Science
Private rental markets have become increasingly important since the Global Financial Crisis 2008–2009 and rent controls are back on the political agenda. Yet, they have received less attention from housing scholars than homeownership and public housing. This paper presents new data on the development of private tenancy legislation based on a content-coding of rent control, protection of tenants from ...
In:
Housing Studies
38 (2023), 4, S. 707-743
| Sebastian Kohl, Konstantin A. Kholodilin
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Research Project
The aim of the project is to calculate the effects of a further (continuous) increase in the standard retirement age on the gross returns on pension insurance contributions of different cohorts. The project is divided into three modules. In the first module, the mechanisms are presented that take effect in the pay-as-you-go German pension system when the retirement age is raised for certain groups...
Current Project
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Weitere referierte Aufsätze
This paper analyzes the extent to which selection explains the observed discrepancy between solicited and unsolicited ratings. I propose a model of selection with truth telling rating agencies and borrowers with the ability to veto the revelation of the rating. The observed difference between the two categories of ratings in different sectors is in line with the prediction of the model. In the sovereign ...
In:
Journal of Financial Management, Markets and Institutions
7 (2019), 2, 1950005, 25 S.
| Anna Gibert
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DIW Discussion Papers 1936 / 2021
This paper provides evidence for the propagation of idiosyncratic mortgage supply shocks to the macroeconomy. Based on micro-level data from the Home Mortgage Disclosure Act for the 1990-2016 period, our results suggest that lender-specific mortgage supply shocks affect aggregate mortgage, house price, and employment dynamics at the regional level. The larger the idiosyncratic shocks to newly issued ...
2021| Franziska Bremus, Thomas Krause, Felix Noth
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Report
Up to the end of August 2021, we are unfortunately unable to offer any free slots for the analysis of small-scale regional data at the SOEP Research Data Center, other than guest visits that have already been arranged.
Applications for self-financed short and longer-term research stays by researchers not using the small-scale regional data and/or applications for funding in the framework ...
12.03.2021
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Report
Up to the end of August 2021, we are unfortunately unable to offer any free slots for the analysis of small-scale regional data at the SOEP Research Data Center, other than guest visits that have already been arranged.
Applications for self-financed short and longer-term research stays by researchers not using the small-scale regional data and/or applications for funding in the framework of the SOEP ...
12.03.2021
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Refereed essays Web of Science
We consider the problem of regression with selectively observed covariates in a nonparametric framework. Our approach relies on instrumental variables that explain variation in the latent covariates but have no direct effect on selection. The regression function of interest is shown to be a weighted version of observed conditional expectation where the weighting function is a fraction of selection ...
In:
Journal of Econometrics
223 (2021), 1, S. 28-52
| Christoph Breunig, Peter Haan