Topic Survey Methodology and Data-Science

Time-Varying Shock Transmission in Non-Gaussian Structural Vector Autoregressions

This paper analyzes possibly time-varying shock transmission in structural vector autoregressive (VAR) models when the reduced-form VAR coefficients are time-invariant and the shocks are identified through non-Gaussianity. To check for possible time-variation in the impulse responses, we propose Wald tests for two situations: (1) homoskedastic and (2) heteroskedastic structural shocks. For the latter ...

Comparing External and Internal Instruments for Vector Autoregressions

In conventional proxy VAR analysis, the shocks of interest are identified by external instruments. This is typically accomplished by considering the covariance of the instruments and the reduced-form residuals. Alternatively, the instruments may be internalized by augmenting the VAR process by the instruments or proxies. These alternative identification methods are compared and it is shown that the ...

From Concurrent to Push-To-Web Mixed-Mode: Experimental Design Change in the German Social Cohesion Panel

Research shows that concurrent and sequential self-administered mixed-mode designs both have advantages and disadvantages in terms of panel survey recruitment and maintenance. Since concurrent mixed-mode designs usually achieve higher initial response rates at lower bias than sequential mixed-mode designs, the former may be ideal for panel recruitment. However, concurrent designs producea high share ...

Dealing with Censored Earnings in Register Data

Earnings are often top-coded (right-censored) in administrative registers. The censoring threshold in the case of Germany is the limit value for social security contributions, leading to a substantial fraction of censoring: For example, about 12%of male workers inWest Germany are affected, rising to above 30% for highly educated prime-aged workers. This missing right tail of the earnings distribution ...

SOEP Annual Report 2024

The Reliability of Replications: A Study in Computational Reproductions

This study investigates researcher variability in computational reproduction, an activity for which it is least expected. Eighty-five independent teams attempted numerical replication of results from an original study of policy preferences and immigration. Reproduction teams were randomly grouped into a ‘transparent group’ receiving original study and code or ‘opaque group’ receiving only a method ...

Identifying Optimizers, Extremists, and Indifferents: Latent Satisficing Patterns in Panel Surveys

Data quality is known to be compromised when respondents cognitively shortcut the survey response process. This satisficing behavior leads to inaccurate and unreliable responses that are hard to compensate after data collection. Thus, detecting and understanding survey satisficing is crucial for developing and implementing effective preventive measures in longitudinal data collection contexts. We use ...

The Beyondpareto Command for Optimal Extreme-Value Index Estimation

In this article, we introduce the command beyondpareto, which estimates the extreme-value index for distributions that are Pareto-like, that is, whose upper tails are regularly varying and eventually become Pareto. The estimation is based on rank-size regressions, and the threshold value for the upper-order statistics included in the final regression is determined optimally by minimizing the asymptotic ...

Avoiding Unintentionally Correlated Shocks in Proxy Vector Autoregressive Analysis

Noting that the shocks in vector autoregressive models can be correlated if a number of shocks is identified individually by multiple proxy variables, we propose a Generalized Method of Moments (GMM) approach for estimation that enforces uncorrelated shocks. We point out that if each proxy identifies exactly one shock and is uncorrelated with all other shocks, uncorrelatedness of the shocks provides ...

Earn More Tomorrow: Overconfidence, Income Expectations, and Consumer Indebtedness

This paper examines whether biased income expectations due to overconfidence lead to higher levels of debt taking. We show suggestive evidence for a link between overconfidence and borrowing behavior in a representative survey of German households (German Socio-Economic Panel–Innovation Sample [GSOEP-IS]). This motivates a laboratory experiment to study causality behind these effects. In two experiments, ...