In this paper we propose an inferential procedure for transformation models with conditional heteroskedasticity in the error terms. The proposed method is robust to covariate dependent censoring of arbitrary form. We provide sufficient conditions for point identification. We then propose a consistent estimator and show that it is asymptoticaly √ n normal. We conduct a simulation study that reve...

This paper investigates inequality in smoking-related mortality risk, focusing on the intergenerational transmission of smoking. We estimate a latent factor model for smoking initiation, cessation and mortality risk using the British Health and Lifestyle Survey (HALS), and present results from a counterfactual approach to inequality of opportunity. Parental smoking lowers the age at starting by...

We investigate how unemployment exit probabilities are affected by economic incentives, spell duration and macroeconomic conditions. Building on a database containing all registered unemployment spells in Norway in 1989-1998, we apply an econometric model in which exit probabilities vary freely over spell durations as well as calendar time. We find that i) the replacement ratio affects the exit...

More than half of all US import relationships begin with less than $10,000 annually. The median relationship is observed to last just one year. The incidence and duration of these relationships are consistent with a matching model of international trade. The preponderance of small starting relationships reveals uncertainty present in formation of trade relationships. Initial size, reliability, ...

This paper investigates price rigidity arise out of the speci c market structures, such as degree of market concentration and pricing decisions of retailers and manufacturers. Using Japanese scanner data that contains transaction prices and sales for more than 1,600 commodity groups from 1988 to 2008, we nd statistically signi cant negative correlation between the degree of market concentration...

We consider the estimation of nonlinear models with mismeasured explanatory variables, when information on the marginal distribution of the true values of these variables is available. We derive a semi-parametric MLE that is is shown to be √ n consistent and asymptotically normally distributed. In a simulation experiment we find that the finite sample distribution of the estimator is close to t...

This paper studies the duration of new job matches in east and west Germany using data from the German Socio-economic Panel. Non-parametric estimates of the survival probability show that, except for the first years of the east German transition process, job matches are less stable in east Germany. Results from a proportional hazards model that controls for important covariates imply that the t...

This article combines an orientation to credit risk modeling with an introduction to affine Markov processes, which are particularly useful for financial modeling. We emphasize corporate credit risk and the pricing of credit derivatives. Applications of affine processes that are mentioned include survival analysis, dynamic term-structure models, and option pricing with stochastic volatility and...

We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time. Analyzing one-minute cumulative trading volumes of five large NASDAQ stocks in 2008, we show that local win...

This paper is about income and poverty dynamics and their socioeconomic correlates. The first half of the paper aims to establish some of the salient facts for Britain, applying the pioneering methods of Bane and Ellwood (1986). Important for poverty dynamics are changes in labour earnings from persons other than the household head, changes in non-labour income (including benefits), and changes...