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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

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
Diskussionspapiere 1917 / 2020

Corruption and Cheating: Evidence from Rural Thailand

This study tests the prediction that perceived corruption reduces ethical behavior. Integrating a standard “cheating” experiment into a broad household survey in rural Thailand, we find clear support for this prediction: respondents who perceive corruption in state affairs are more likely to cheat and, thus, to fortify the negative consequences of corruption. Interestingly, there is a small group of ...

2020| Olaf Hübler, Melanie Koch, Lukas Menkhoff, Ulrich Schmidt
Diskussionspapiere 1905 / 2020

A Simple Instrument for Proxy Vector Autoregressive Analysis

A major challenge for proxy vector autoregressive analysis is the construction of a suitable instrument variable for identifying a shock of interest. We propose a simple proxy that can be constructed whenever the dating and sign of particular shocks are known. It is shown that the proxy can lead to impulse response estimates of the impact effects of the shock of interest that are nearly as efficient ...

2020| Lukas Boer, Helmut Lütkepohl
Externe referierte Aufsätze

How People Know Their Risk Preference

People differ in their willingness to take risks. Recent work found that revealed preference tasks (e.g., laboratory lotteries)—a dominant class of measures—are outperformed by survey-based stated preferences, which are more stable and predict real-world risk taking across different domains. How can stated preferences, often criticised as inconsequential “cheap talk,” be more valid and predictive ...

In: Scientific Reports 10 (2020), 15365 | Ruben C. Arslan, Martin Brümmer, Thomas Dohmen, Johanna Drewelies, Ralph Hertwig, Gert G. Wagner
Externe referierte Aufsätze

Inference in Partially Identified Heteroskedastic Simultaneous Equations Models

Identification through heteroskedasticity in heteroskedastic simultaneous equations models (HSEMs) is considered. The possibility that heteroskedasticity identifies structural parameters only partially is explicitly allowed for. The asymptotic properties of the identified parameters are derived. Moreover, tests for identification through heteroskedasticity are developed and their asymptotic distributions ...

In: Journal of Econometrics 218 (2020), 2, S. 317-345 | Helmut Lütkepohl, George Milunovich, Minxian Yang
Report

SOEP-IS for new research questions: call for proposals for the 2021 survey

SOEP users are invited to submit proposals for the next round of the SOEP Innovation Sample (SOEP-IS). For those not yet familiar with SOEP-IS, this unique innovation sample offers great potential as a source of household micro-data, particularly for researchers seeking information that is not available in SOEP-Core—for example, specific information on households or on people’s opinions. ...

13.10.2020
SOEPpapers 1104 / 2020

How People Know their Risk Preference

People differ in their willingness to take risks. Recent work found that revealed preference tasks (e.g., laboratory lotteries)—a dominant class of measures—are outperformed by survey-based stated preferences, which are more stable and predict real-world risk taking across different domains. How can stated preferences, often criticised as inconsequential “cheap talk,” be more valid and predictive than ...

2020| Ruben C. Arslan, Martin Brümmer, Thomas Dohmen, Johanna Drewelies, Ralph Hertwig, Gert G. Wagner
Research Project

Sharing knowledge and creating new formats for communication and knowledge transfer between science and society based on the Socio-Economic Panel Study (SOEP-Transfer)

The goal of SOEP-Transfer is to develop and test new tools for knowledge transfer in the social sciences, using the Socio-Economic Panel (SOEP) and the research results and data obtained from it as a first use case. The project will test these new tools on the target groups of journalists and contemporary historians. New tools and organizational models will be developed for further education of...

Current Project| German Socio-Economic Panel study
1313 results, from 1
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