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1897 Ergebnisse, ab 1
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
Forschungsprojekt

KonsortSWD - Konsortium für die Sozial-, Verhaltens-, Bildungs- und Wirtschaftswissenschaften in der Nationalen Forschungsdateninfrastruktur (NFDI)

Forschende der Sozial-, Bildungs-, Verhaltens- und Wirtschaftswissenschaften arbeiten mit verschiedenen Datentypen, die häufig aufgrund rechtlicher oder ethischer Beschränkungen besonders sensibel sind und oftmals nicht originär für wissenschaftliche Zwecke erhoben wurden. Das Projekt KonsortSWD hat zum Ziel, Forschenden, die zunehmend in multi- und interdisziplinären...

Aktuelles Projekt| Sozio-oekonomisches Panel
Weitere Aufsätze

Sekundäranalysen qualitativer Interviews: Eine Metaanalyse zur Praxis sekundäranalytischer Forschung zu Arbeitsorganisationen

In: Caroline Richter, Katharina Mojescik , Qualitative Sekundäranalysen : Daten der Sozialforschung aufbereiten und nachnutzen
Wiesbaden: Springer VS
S. 17-36
| Tobias Gebel, Alexia Meyermann
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
Bericht

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
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

Structural Vector Autoregressive Models with More Shocks Than Variables Identified via Heteroskedasticity

In conventional structural vector autoregressive models it is assumed that there are at most as manystructural shocks as there are variables in the model. It is pointed out that heteroskedasticity can beused to identify more shocks than variables. Results are provided that allow a researcher to assesshow many shocks can be identified from specific forms of heteroskedasticity.

In: Economics Letters 195 (2020), 109458, 4 S. | Helmut Lütkepohl
SOEP Annual Report / 2020

SOEP Annual Report 2019

2020| SOEP Group
Diskussionspapiere 1876 / 2020

Heteroskedastic Proxy Vector Autoregressions

In proxy vector autoregressive models, the structural shocks of interest are identified by an instrument. Although heteroskedasticity is occasionally allowed for, it is typically taken for granted that the impact effects of the structural shocks are time-invariant despite the change in their variances. We develop a test for this implicit assumption and present evidence that the assumption of time-invariant ...

2020| Helmut Lütkepohl, Thore Schlaak
1897 Ergebnisse, ab 1
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