-
Diskussionspapiere 2110 / 2025
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 ...
2025| Helmut Lütkepohl, Till Strohsal
-
Diskussionspapiere 2108 / 2025
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 ...
2025| Martin Bruns, Helmut Lütkepohl
-
Externe Monographien
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 ...
Ithaca:
arXiv.org,
2025,
36 S.
(SocArXiv Papers)
| Carina Cornesse, Julia Witton, Julian B. Axenfeld, Jean-Yves Gerlitz, Olaf Groh-Samberg
-
Other refereed articles
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 ...
In:
Jahrbücher für Nationalökonomie und Statistik
(2025), im Ersch. [online first:2025-05-23]
| Mattis Beckmannshagen, Johannes König, Isabella Retter, Christian Schluter, Carsten Schröder, Yogam Tchokni
-
SOEP Annual Report / 2025
2025| The SOEP Team
-
Refereed essays Web of Science
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 ...
In:
Royal Society Open Science
12 (2025), 241038., 23 S.
| Nate Breznau, Eike Mark Rinke, Alexander Wuttke, Philipp M. Lersch, Lea-Maria Löbel, Cristóbal Moya (et al.)
-
Externe Monographien
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 ...
Center for Open Science,
2025,
60 S.
(OSFPreprints)
| Julia Witton, Carina Cornesse
-
Refereed essays Web of Science
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 ...
In:
The Stata Journal
25 (2025), 1, S. 169–188
| Johannes König, Christian Schluter, Carsten Schröder, Isabella Retter, Mattis Beckmannshagen
-
Refereed essays Web of Science
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 ...
In:
Journal of Business & Economic Statistics
(2025), im Ersch. [online first: 2025-04-17]
| Martin Bruns, Helmut Lütkepohl, James McNeil
-
Refereed essays Web of Science
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, ...
In:
Journal of Money, Credit and Banking
(2025), im Ersch. [online first: 2024-05-24]
| Antonia Grohmann, Lukas Menkhoff, Christoph Merkle, Renke Schmacker