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SOEPcampus

SOEPcampus@Home

The German Socio-Economic Panel Study is a representative panel study for the German population, collecting data on a broad variety of topics of everyday life, including general wellbeing, household composition, educational aspirations and educational status, income and occupational biographies, leisure time activities, housing, health, political orientation and more. With its long running panel...

14.10.2021| Sandra Bohmann
Workshop

Macroeconometric Workshop Postponed to 2022

We are pleased to announce that on December 3, 2021 DIW Berlin will host the “Macroeconometric Workshop”. The workshop covers presentations of both methodological and applied contributions on the frontier of research in quantitative macroeconomics, with a focus on empirical research. For paper submissions, please send a full paper to macroeconometrics@diw.de no later than October 1, 2...

03.12.2021| Morten Ravn, University College London
SOEPcampus

SOEPcampus@Home

The German Socio-Economic Panel Study is a representative panel study for the German population, collecting data on a broad variety of topics of everyday life, including general wellbeing, household composition, educational aspirations and educational status, income and occupational biographies, leisure time activities, housing, health, political orientation and more. With its long running panel...

25.03.2021| Sandra Bohmann
Diskussionspapiere 1949 / 2021

Comparison of Local Projection Estimators for Proxy Vector Autoregressions

Different local projection (LP) estimators for structural impulse responses of proxy vector autoregressions are reviewed and compared algebraically and with respect to their small sample suitability for inference. Conditions for numerical equivalence and similarities of some estimators are provided. A new LP type estimator is also proposed which is very easy to compute. Two generalized least squares ...

2021| Martin Bruns, Helmut Lütkepohl
SOEPpapers 1135 / 2021

Using Mathematical Graphs for Questionnaire Testing in Large-Scale Surveys

In this article, we present an automated test procedure for examining the filter structure and instructions implemented in electronic questionnaires, and for checking the fit of a questionnaire to the targeted sample. With our approach, we can represent and describe questionnaires using mathematical graphs and specify questionnaire properties in a formal and standardised way. It also allows us deriving ...

2021| Katharina Stark, Sabine Zinn
Externe referierte Aufsätze

Qualitative versus Quantitative External Information for Proxy Vector Autoregressive Analysis

A major challenge for proxy vector autoregressive analysis is the construction of a suitable external instrument variable or proxy for identifying a shock of interest. Some authors construct sophisticated proxies that account for the dating and size of the shock while other authors consider simpler versions that use only the dating and signs of particular shocks. It is shown that such qualitative (sign-)proxies ...

In: Journal of Economic Dynamics & Control 127 (2021), 104118, 17 S. | Lukas Boer, Helmut Lütkepohl
SOEP Annual Report / 2021

SOEP Annual Report 2020

2021| SOEP Group
Diskussionspapiere 1940 / 2021

Qualitative versus Quantitative External Information for Proxy Vector Autoregressive Analysis

A major challenge for proxy vector autoregressive analysis is the construction of a suitable external instrument variable or proxy for identifying a shock of interest. Some authors construct sophisticated proxies that account for the dating and size of the shock while other authors consider simpler versions that use only the dating and signs of particular shocks. It is shown that such qualitative (sign-)proxies ...

2021| Lukas Boer, Helmut Lütkepohl
Externe referierte Aufsätze

Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models

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
Monographien

The Effect of a Major Pandemic on Risk Preferences: Evidence from Exposure to COVID-19

The present paper studies the effect of the COVID-19 pandemic on risk preferences. Using real-time panel data from the year before the pandemic and from the first few months of the pandemic in Germany (April to July 2020), we provide robust evidence that exposure to COVID-19 reduces individual risk tolerance. We establish a causal link between the pandemic and risk tolerance by exploiting longitudinal ...

Rochester : SSRN, 2020, 43 S. | Daniel Graeber, Ulrich Schmidt, Carsten Schröder, Johannes Seebauer
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