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description Publicationkeyboard_double_arrow_right Preprint , Article 2021Institute of Mathematical Statistics EC | ROMIA, SSHRC, UKRI | Advancing Microdata Model...EC| ROMIA ,SSHRC ,UKRI| Advancing Microdata Models and MethodsAuthors: Lee, Sokbae; Liao, Yuan; Seo, Myung Hwan; Shin, Youngki;Lee, Sokbae; Liao, Yuan; Seo, Myung Hwan; Shin, Youngki;We propose a novel two-regime regression model where regime switching is driven by a vector of possibly unobservable factors. When the factors are latent, we estimate them by the principal component analysis of a panel data set. We show that the optimization problem can be reformulated as mixed integer optimization, and we present two alternative computational algorithms. We derive the asymptotic distribution of the resulting estimator under the scheme that the threshold effect shrinks to zero. In particular, we establish a phase transition that describes the effect of first-stage factor estimation as the cross-sectional dimension of panel data increases relative to the time-series dimension. Moreover, we develop bootstrap inference and illustrate our methods via numerical studies.
arXiv.org e-Print Ar... arrow_drop_down The Annals of StatisticsOther literature type . Article . 2021https://doi.org/10.48550/arxiv...Article . 2018License: arXiv Non-Exclusive DistributionData sources: Dataciteadd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
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For further information contact us at helpdesk@openaire.eu7 citations 7 popularity Top 10% influence Average impulse Top 10% Powered by BIP!more_vert arXiv.org e-Print Ar... arrow_drop_down The Annals of StatisticsOther literature type . Article . 2021https://doi.org/10.48550/arxiv...Article . 2018License: arXiv Non-Exclusive DistributionData sources: Dataciteadd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.1214/20-aos2017&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eudescription Publicationkeyboard_double_arrow_right Article , Preprint , Other literature type 2018 AustraliaInforma UK Limited SSHRC, EC | ROMIASSHRC ,EC| ROMIAAuthors: Lee, Sokbae; Liao, Yuan; Seo, Myung Hwan; Shin, Youngki;Lee, Sokbae; Liao, Yuan; Seo, Myung Hwan; Shin, Youngki;In this paper, we consider a high-dimensional quantile regression model where the sparsity structure may differ between two sub-populations. We develop $\ell_1$-penalized estimators of both regression coefficients and the threshold parameter. Our penalized estimators not only select covariates but also discriminate between a model with homogeneous sparsity and a model with a change point. As a result, it is not necessary to know or pretest whether the change point is present, or where it occurs. Our estimator of the change point achieves an oracle property in the sense that its asymptotic distribution is the same as if the unknown active sets of regression coefficients were known. Importantly, we establish this oracle property without a perfect covariate selection, thereby avoiding the need for the minimum level condition on the signals of active covariates. Dealing with high-dimensional quantile regression with an unknown change point calls for a new proof technique since the quantile loss function is non-smooth and furthermore the corresponding objective function is non-convex with respect to the change point. The technique developed in this paper is applicable to a general M-estimation framework with a change point, which may be of independent interest. The proposed methods are then illustrated via Monte Carlo experiments and an application to tipping in the dynamics of racial segregation. 128 pages, 12 figures. A part of this paper was circulated under the title "Structural Change in Sparsity" arXiv:1411.3062
Journal of the Ameri... arrow_drop_down Journal of the American Statistical AssociationOther literature type . Article . 2017 . 2018License: CC BYhttps://doi.org/10.48550/arxiv...Article . 2016License: arXiv Non-Exclusive DistributionData sources: Dataciteadd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
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For further information contact us at helpdesk@openaire.eu23 citations 23 popularity Top 10% influence Top 10% impulse Top 10% Powered by BIP!more_vert Journal of the Ameri... arrow_drop_down Journal of the American Statistical AssociationOther literature type . Article . 2017 . 2018License: CC BYhttps://doi.org/10.48550/arxiv...Article . 2016License: arXiv Non-Exclusive DistributionData sources: Dataciteadd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.1080/01621459.2017.1319840&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eudescription Publicationkeyboard_double_arrow_right Article , Preprint 2019Elsevier BV SSHRC, UKRI | Advancing Microdata Model..., EC | ROMIASSHRC ,UKRI| Advancing Microdata Models and Methods ,EC| ROMIAAuthors: Lee, Sokbae; Liao, Yuan; Seo, Myung Hwan; Shin, Youngki;Lee, Sokbae; Liao, Yuan; Seo, Myung Hwan; Shin, Youngki;pmc: PMC7361205
pmid: 32836518
We investigate state-dependent effects of fiscal multipliers and allow for endogenous sample splitting to determine whether the US economy is in a slack state. When the endogenized slack state is estimated as the period of the unemployment rate higher than about 12 percent, the estimated cumulative multipliers are significantly larger during slack periods than non-slack periods and are above unity. We also examine the possibility of time-varying regimes of slackness and find that our empirical results are robust under a more flexible framework. Our estimation results point out the importance of the heterogenous effects of fiscal policy and shed light on the prospect of fiscal policy in response to economic shocks from the current COVID-19 pandemic. Comment: 15 pages, 5 figures, 2 table
Economic Inquiry arrow_drop_down https://doi.org/10.48550/arxiv...Article . 2019License: arXiv Non-Exclusive DistributionData sources: Dataciteadd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.2139/ssrn.3458473&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eu5 citations 5 popularity Top 10% influence Average impulse Average Powered by BIP!more_vert Economic Inquiry arrow_drop_down https://doi.org/10.48550/arxiv...Article . 2019License: arXiv Non-Exclusive DistributionData sources: Dataciteadd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.2139/ssrn.3458473&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eudescription Publicationkeyboard_double_arrow_right Preprint 2021Embargo end date: 01 Jan 2021arXiv SSHRC, EC | ROMIA, UKRI | Advancing Microdata Model... +2 projectsSSHRC ,EC| ROMIA ,UKRI| Advancing Microdata Models and Methods ,EC| PANEDA ,NSF| Issues in Estimation of Structural Economic ModelsAuthors: Honoré, Bo E.; Muris, Chris; Weidner, Martin;Honoré, Bo E.; Muris, Chris; Weidner, Martin;This paper studies a dynamic ordered logit model for panel data with fixed effects. The main contribution of the paper is to construct a set of valid moment conditions that are free of the fixed effects. The moment functions can be computed using four or more periods of data, and the paper presents sufficient conditions for the moment conditions to identify the common parameters of the model, namely the regression coefficients, the autoregressive parameters, and the threshold parameters. The availability of moment conditions suggests that these common parameters can be estimated using the generalized method of moments, and the paper documents the performance of this estimator using Monte Carlo simulations and an empirical illustration to self-reported health status using the British Household Panel Survey.
arXiv.org e-Print Ar... arrow_drop_down https://doi.org/10.48550/arxiv...Other literature type . Article . 2021License: arXiv Non-Exclusive Distributionadd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.48550/arxiv.2107.03253&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eu0 citations 0 popularity Average influence Average impulse Average Powered by BIP!more_vert arXiv.org e-Print Ar... arrow_drop_down https://doi.org/10.48550/arxiv...Other literature type . Article . 2021License: arXiv Non-Exclusive Distributionadd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.48550/arxiv.2107.03253&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eudescription Publicationkeyboard_double_arrow_right Article , Preprint 2017Cambridge University Press (CUP) EC | ROMIA, FCT | D4, EC | ROMETA +1 projectsEC| ROMIA ,FCT| D4 ,EC| ROMETA ,SSHRCAuthors: Sokbae Lee; Kyungchui (Kevin) Song; Yoon-Jae Whang;Sokbae Lee; Kyungchui (Kevin) Song; Yoon-Jae Whang;In this paper, we propose a general method for testing inequality restrictions on nonparametric functions. Our framework includes many nonparametric testing problems in a unified framework, with a number of possible applications in auction models, game theoretic models, wage inequality, and revealed preferences. Our test involves a one-sided version of $L_{p}$ functionals of kernel-type estimators $(1\leq p <\infty )$ and is easy to implement in general, mainly due to its recourse to the bootstrap method. The bootstrap procedure is based on nonparametric bootstrap applied to kernel-based test statistics, with estimated "contact sets." We provide regularity conditions under which the bootstrap test is asymptotically valid uniformly over a large class of distributions, including the cases that the limiting distribution of the test statistic is degenerate. Our bootstrap test is shown to exhibit good power properties in Monte Carlo experiments, and we provide a general form of the local power function. As an illustration, we consider testing implications from auction theory, provide primitive conditions for our test, and demonstrate its usefulness by applying our test to real data. We supplement this example with the second empirical illustration in the context of wage inequality. Comment: 128 pages
Econometric Theory arrow_drop_down https://doi.org/10.48550/arxiv...Article . 2013License: arXiv Non-Exclusive DistributionData sources: Datacitehttps://doi.org/10.1017/S02664...Other literature type . Article . 2017Data sources: European Union Open Data Portaladd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.1017/s0266466617000329&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eu14 citations 14 popularity Top 10% influence Average impulse Top 10% Powered by BIP!more_vert Econometric Theory arrow_drop_down https://doi.org/10.48550/arxiv...Article . 2013License: arXiv Non-Exclusive DistributionData sources: Datacitehttps://doi.org/10.1017/S02664...Other literature type . Article . 2017Data sources: European Union Open Data Portaladd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.1017/s0266466617000329&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eudescription Publicationkeyboard_double_arrow_right Report 2014Institute for Fiscal Studies SSHRC, EC | ROMIASSHRC ,EC| ROMIAAuthors: Sokbae Lee; Kyungchul Song; Yoon-Jae Whang;Sokbae Lee; Kyungchul Song; Yoon-Jae Whang;In this article, we propose a general method for testing inequality restrictions on nonparametric functions. Our framework includes many nonparametric testing problems in a unified framework, with a number of possible applications in auction models, game theoretic models, wage inequality, and revealed preferences. Our test involves a one-sided version of Lp functionals of kernel-type estimators (1 ≤ p < ∞) and is easy to implement in general, mainly due to its recourse to the bootstrap method. The bootstrap procedure is based on the nonparametric bootstrap applied to kernel-based test statistics, with an option of estimating “contact sets.” We provide regularity conditions under which the bootstrap test is asymptotically valid uniformly over a large class of distributions, including cases where the limiting distribution of the test statistic is degenerate. Our bootstrap test is shown to exhibit good power properties in Monte Carlo experiments, and we provide a general form of the local power function. As an illustration, we consider testing implications from auction theory, provide primitive conditions for our test, and demonstrate its usefulness by applying our test to real data. We supplement this example with the second empirical illustration in the context of wage inequality.
add ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.1920/wp.cem.2014.0914&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eu16 citations 16 popularity Average influence Average impulse Top 10% Powered by BIP!more_vert add ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.1920/wp.cem.2014.0914&type=result"></script>'); --> </script>
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description Publicationkeyboard_double_arrow_right Preprint , Article 2021Institute of Mathematical Statistics EC | ROMIA, SSHRC, UKRI | Advancing Microdata Model...EC| ROMIA ,SSHRC ,UKRI| Advancing Microdata Models and MethodsAuthors: Lee, Sokbae; Liao, Yuan; Seo, Myung Hwan; Shin, Youngki;Lee, Sokbae; Liao, Yuan; Seo, Myung Hwan; Shin, Youngki;We propose a novel two-regime regression model where regime switching is driven by a vector of possibly unobservable factors. When the factors are latent, we estimate them by the principal component analysis of a panel data set. We show that the optimization problem can be reformulated as mixed integer optimization, and we present two alternative computational algorithms. We derive the asymptotic distribution of the resulting estimator under the scheme that the threshold effect shrinks to zero. In particular, we establish a phase transition that describes the effect of first-stage factor estimation as the cross-sectional dimension of panel data increases relative to the time-series dimension. Moreover, we develop bootstrap inference and illustrate our methods via numerical studies.
arXiv.org e-Print Ar... arrow_drop_down The Annals of StatisticsOther literature type . Article . 2021https://doi.org/10.48550/arxiv...Article . 2018License: arXiv Non-Exclusive DistributionData sources: Dataciteadd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.1214/20-aos2017&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eu7 citations 7 popularity Top 10% influence Average impulse Top 10% Powered by BIP!more_vert arXiv.org e-Print Ar... arrow_drop_down The Annals of StatisticsOther literature type . Article . 2021https://doi.org/10.48550/arxiv...Article . 2018License: arXiv Non-Exclusive DistributionData sources: Dataciteadd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.1214/20-aos2017&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eudescription Publicationkeyboard_double_arrow_right Article , Preprint , Other literature type 2018 AustraliaInforma UK Limited SSHRC, EC | ROMIASSHRC ,EC| ROMIAAuthors: Lee, Sokbae; Liao, Yuan; Seo, Myung Hwan; Shin, Youngki;Lee, Sokbae; Liao, Yuan; Seo, Myung Hwan; Shin, Youngki;In this paper, we consider a high-dimensional quantile regression model where the sparsity structure may differ between two sub-populations. We develop $\ell_1$-penalized estimators of both regression coefficients and the threshold parameter. Our penalized estimators not only select covariates but also discriminate between a model with homogeneous sparsity and a model with a change point. As a result, it is not necessary to know or pretest whether the change point is present, or where it occurs. Our estimator of the change point achieves an oracle property in the sense that its asymptotic distribution is the same as if the unknown active sets of regression coefficients were known. Importantly, we establish this oracle property without a perfect covariate selection, thereby avoiding the need for the minimum level condition on the signals of active covariates. Dealing with high-dimensional quantile regression with an unknown change point calls for a new proof technique since the quantile loss function is non-smooth and furthermore the corresponding objective function is non-convex with respect to the change point. The technique developed in this paper is applicable to a general M-estimation framework with a change point, which may be of independent interest. The proposed methods are then illustrated via Monte Carlo experiments and an application to tipping in the dynamics of racial segregation. 128 pages, 12 figures. A part of this paper was circulated under the title "Structural Change in Sparsity" arXiv:1411.3062
Journal of the Ameri... arrow_drop_down Journal of the American Statistical AssociationOther literature type . Article . 2017 . 2018License: CC BYhttps://doi.org/10.48550/arxiv...Article . 2016License: arXiv Non-Exclusive DistributionData sources: Dataciteadd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.1080/01621459.2017.1319840&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eu23 citations 23 popularity Top 10% influence Top 10% impulse Top 10% Powered by BIP!more_vert Journal of the Ameri... arrow_drop_down Journal of the American Statistical AssociationOther literature type . Article . 2017 . 2018License: CC BYhttps://doi.org/10.48550/arxiv...Article . 2016License: arXiv Non-Exclusive DistributionData sources: Dataciteadd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.1080/01621459.2017.1319840&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eudescription Publicationkeyboard_double_arrow_right Article , Preprint 2019Elsevier BV SSHRC, UKRI | Advancing Microdata Model..., EC | ROMIASSHRC ,UKRI| Advancing Microdata Models and Methods ,EC| ROMIAAuthors: Lee, Sokbae; Liao, Yuan; Seo, Myung Hwan; Shin, Youngki;Lee, Sokbae; Liao, Yuan; Seo, Myung Hwan; Shin, Youngki;pmc: PMC7361205
pmid: 32836518
We investigate state-dependent effects of fiscal multipliers and allow for endogenous sample splitting to determine whether the US economy is in a slack state. When the endogenized slack state is estimated as the period of the unemployment rate higher than about 12 percent, the estimated cumulative multipliers are significantly larger during slack periods than non-slack periods and are above unity. We also examine the possibility of time-varying regimes of slackness and find that our empirical results are robust under a more flexible framework. Our estimation results point out the importance of the heterogenous effects of fiscal policy and shed light on the prospect of fiscal policy in response to economic shocks from the current COVID-19 pandemic. Comment: 15 pages, 5 figures, 2 table
Economic Inquiry arrow_drop_down https://doi.org/10.48550/arxiv...Article . 2019License: arXiv Non-Exclusive DistributionData sources: Dataciteadd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.2139/ssrn.3458473&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eu5 citations 5 popularity Top 10% influence Average impulse Average Powered by BIP!more_vert Economic Inquiry arrow_drop_down https://doi.org/10.48550/arxiv...Article . 2019License: arXiv Non-Exclusive DistributionData sources: Dataciteadd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.2139/ssrn.3458473&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eudescription Publicationkeyboard_double_arrow_right Preprint 2021Embargo end date: 01 Jan 2021arXiv SSHRC, EC | ROMIA, UKRI | Advancing Microdata Model... +2 projectsSSHRC ,EC| ROMIA ,UKRI| Advancing Microdata Models and Methods ,EC| PANEDA ,NSF| Issues in Estimation of Structural Economic ModelsAuthors: Honoré, Bo E.; Muris, Chris; Weidner, Martin;Honoré, Bo E.; Muris, Chris; Weidner, Martin;This paper studies a dynamic ordered logit model for panel data with fixed effects. The main contribution of the paper is to construct a set of valid moment conditions that are free of the fixed effects. The moment functions can be computed using four or more periods of data, and the paper presents sufficient conditions for the moment conditions to identify the common parameters of the model, namely the regression coefficients, the autoregressive parameters, and the threshold parameters. The availability of moment conditions suggests that these common parameters can be estimated using the generalized method of moments, and the paper documents the performance of this estimator using Monte Carlo simulations and an empirical illustration to self-reported health status using the British Household Panel Survey.
arXiv.org e-Print Ar... arrow_drop_down https://doi.org/10.48550/arxiv...Other literature type . Article . 2021License: arXiv Non-Exclusive Distributionadd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.48550/arxiv.2107.03253&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eu0 citations 0 popularity Average influence Average impulse Average Powered by BIP!more_vert arXiv.org e-Print Ar... arrow_drop_down https://doi.org/10.48550/arxiv...Other literature type . Article . 2021License: arXiv Non-Exclusive Distributionadd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.48550/arxiv.2107.03253&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eudescription Publicationkeyboard_double_arrow_right Article , Preprint 2017Cambridge University Press (CUP) EC | ROMIA, FCT | D4, EC | ROMETA +1 projectsEC| ROMIA ,FCT| D4 ,EC| ROMETA ,SSHRCAuthors: Sokbae Lee; Kyungchui (Kevin) Song; Yoon-Jae Whang;Sokbae Lee; Kyungchui (Kevin) Song; Yoon-Jae Whang;In this paper, we propose a general method for testing inequality restrictions on nonparametric functions. Our framework includes many nonparametric testing problems in a unified framework, with a number of possible applications in auction models, game theoretic models, wage inequality, and revealed preferences. Our test involves a one-sided version of $L_{p}$ functionals of kernel-type estimators $(1\leq p <\infty )$ and is easy to implement in general, mainly due to its recourse to the bootstrap method. The bootstrap procedure is based on nonparametric bootstrap applied to kernel-based test statistics, with estimated "contact sets." We provide regularity conditions under which the bootstrap test is asymptotically valid uniformly over a large class of distributions, including the cases that the limiting distribution of the test statistic is degenerate. Our bootstrap test is shown to exhibit good power properties in Monte Carlo experiments, and we provide a general form of the local power function. As an illustration, we consider testing implications from auction theory, provide primitive conditions for our test, and demonstrate its usefulness by applying our test to real data. We supplement this example with the second empirical illustration in the context of wage inequality. Comment: 128 pages
Econometric Theory arrow_drop_down https://doi.org/10.48550/arxiv...Article . 2013License: arXiv Non-Exclusive DistributionData sources: Datacitehttps://doi.org/10.1017/S02664...Other literature type . Article . 2017Data sources: European Union Open Data Portaladd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.1017/s0266466617000329&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eu14 citations 14 popularity Top 10% influence Average impulse Top 10% Powered by BIP!more_vert Econometric Theory arrow_drop_down https://doi.org/10.48550/arxiv...Article . 2013License: arXiv Non-Exclusive DistributionData sources: Datacitehttps://doi.org/10.1017/S02664...Other literature type . Article . 2017Data sources: European Union Open Data Portaladd ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.1017/s0266466617000329&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eudescription Publicationkeyboard_double_arrow_right Report 2014Institute for Fiscal Studies SSHRC, EC | ROMIASSHRC ,EC| ROMIAAuthors: Sokbae Lee; Kyungchul Song; Yoon-Jae Whang;Sokbae Lee; Kyungchul Song; Yoon-Jae Whang;In this article, we propose a general method for testing inequality restrictions on nonparametric functions. Our framework includes many nonparametric testing problems in a unified framework, with a number of possible applications in auction models, game theoretic models, wage inequality, and revealed preferences. Our test involves a one-sided version of Lp functionals of kernel-type estimators (1 ≤ p < ∞) and is easy to implement in general, mainly due to its recourse to the bootstrap method. The bootstrap procedure is based on the nonparametric bootstrap applied to kernel-based test statistics, with an option of estimating “contact sets.” We provide regularity conditions under which the bootstrap test is asymptotically valid uniformly over a large class of distributions, including cases where the limiting distribution of the test statistic is degenerate. Our bootstrap test is shown to exhibit good power properties in Monte Carlo experiments, and we provide a general form of the local power function. As an illustration, we consider testing implications from auction theory, provide primitive conditions for our test, and demonstrate its usefulness by applying our test to real data. We supplement this example with the second empirical illustration in the context of wage inequality.
add ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.1920/wp.cem.2014.0914&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eu16 citations 16 popularity Average influence Average impulse Top 10% Powered by BIP!more_vert add ClaimPlease grant OpenAIRE to access and update your ORCID works.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.This Research product is the result of merged Research products in OpenAIRE.
You have already added works in your ORCID record related to the merged Research product.All Research productsarrow_drop_down <script type="text/javascript"> <!-- document.write('<div id="oa_widget"></div>'); document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=10.1920/wp.cem.2014.0914&type=result"></script>'); --> </script>
For further information contact us at helpdesk@openaire.eu