Showing papers in "Journal of Econometrics in 2004"

TL;DR: This article found that a percentage point increase in the supply of college graduates raises high school dropout wages by 1.9%, high school graduates’ wages by 2.6%, and college graduates wages by 0.4%.

TL;DR: In this paper, the authors estimate the monetary returns to particular majors as well as find the causes of the ability sorting across majors and find that large earnings and ability differences exist across majors.

TL;DR: In this paper, the effects of college quality using propensity score matching methods and the National Longitudinal Survey of Youth 1979 cohort were estimated using regression-based and matching-based methods.

TL;DR: In this paper, the authors propose unit root tests for large n and T panels in which the cross-sectional units are correlated and derive their asymptotic distribution under the null hypothesis of a unit root and local alternatives.

TL;DR: The authors study inverse probability weighted M-estimation with missing data due to a censored survival time, propensity score estimation of the average treatment effect in the linear exponential family, and variable probability sampling with observed retention frequencies.

TL;DR: A method for nonparametric regression which admits continuous and categorical data in a natural manner using the method of kernels is proposed, and the asymptotic normality of the estimator is established.

TL;DR: In this article, the authors extend the basic univariate stochastic volatility model to allow for a so-called leverage effect via correlation between the volatility and mean innovations, and for fat-tails in the mean equation innovation.

TL;DR: The asymptotic validity of three easy-to-implement alternative bootstrap proposals for stationary autoregressive processes with m.i.s.d. errors is established, finding them to be more accurate in small samples than the conventional large-sample approximation based on robust standard errors.

TL;DR: In this paper, a spatially interrelated cross-sectional equations are modeled as a spatio-temporal Cli3-Ord model with spatial lags in the endogenous and exogenous variables.

TL;DR: In this article, the authors apply bootstrap methodology to unit root tests for dependent panels with N cross-sectional units and T time series observations, where each panel is driven by a general linear process which may be different across crosssectional units, and approximate it by a finite order autoregressive integrated process of order increasing with T.

TL;DR: In this article, the authors examined how individuals from 1972, 1982, and 1992 chose whether and where to attend college by estimating the importance of postsecondary costs and quality and found that although tuition price was an important determinant of attendance, college costs do not explain differences in enrollment for the class of 1992.

TL;DR: In this article, the authors proposed a method for constructing a volatility risk premium, or investor risk aversion index, based on the sample moments of the recently popularized model-free realized and option-implied volatility measures.

TL;DR: This article found that the SAT's predictive power derives from its correlation with high school demographic characteristics: the orthogonal portion of SAT scores is notably less predictive of future performance than is the unadjusted score.

TL;DR: In this paper, the authors study the properties of the Bayesian approach to estimation and comparison of dynamic equilibrium economies and illustrate the strong small sample behavior of the approach using a well-known application.

TL;DR: This article found that schooling increases the AFQT score on average between 2 and 4 percentage points, roughly twice as large as the effect claimed by Herrnstein and Murray (1994) but in agreement with estimates produced by Neal and Johnson (1996) and Winship and Korenman (1997).

TL;DR: In this paper, a large-dimension factor model with nonstationary dynamic factors is proposed to estimate the dimension of the common stochastic trends and the stochastically trends themselves and derive the rates of convergence and the limiting distributions for the estimated common trends and for estimated loading coefficients.

TL;DR: In this paper, a factor model generalizing those proposed by Geweke (in: D.J. Aigner and A. Goldberger, Latent Variables in Socio-economic Models, North-Holland, Amsterdam, 1977), Sargent and Sims (New Methods in Business Research, Federal Reserve Bank of Minneapolis, Minneapolis, 1977, Engle and Watson (J. Amer. Statist. Assoc. Business. 20 (2002) 147) has been introduced in Forni et al.

TL;DR: In this article, the authors consider the case of a change in the order of integration of a time series, either from I(0) to I(1) or from I[1] to I[0] at some known or unknown point in the sample, and derive locally best invariant (LBI) tests under the assumption of Gaussianity.

TL;DR: In this article, the authors provide a formal analysis of the effect of linear contemporaneous aggregation, in the sense of averaging, of ARMA processes driven by a common and an idiosyncratic shock with random coefficients.

TL;DR: In this article, a class of stochastic conditional duration (SCD) models are introduced for the analysis of durations, which are based on the assumption that the durations are generated by a dynamic stochiastic latent variable.

TL;DR: In this article, two classes of quantile regression estimation methods for the recursive structural equation models of Chesher [2003] are investigated, and the effect of class size on the performance of Dutch primary school students is investigated.

TL;DR: In this article, a linear triangular simultaneous equations model with conditional quantile restrictions is considered and a simple two-step estimator that exploits the partially linear structure of the model is presented.

TL;DR: In this paper, the authors investigated the impact of attending college in a state on the probability of working in the state and found that there is a modest link between attending college and working in state.

TL;DR: In this paper, the authors introduce a semiparametric volatility model, termed square-root stochastic autoregressive volatility (SR-SARV) model, which is characterized by the autoregression of the variance.

TL;DR: In this article, the authors analyzed how the production of college graduates at the state level affects the stock of college-educated workers in the state and found only a modest link between the production and stock of baccalaureate degree recipients.

TL;DR: In this paper, the authors consider testing marginal normal distributional assumptions and propose tests based on moment conditions implied by normality, known as the Stein (Proceedings of the Sixth Berkeley Symposium on Mathematics, Statistics and Probability, Vol. 2, pp. 583-602) equations.

TL;DR: The paper presents the distributional properties of SVD, and compares its performance to the performance of ACD models in an empirical study of intertrade durations of the Alcatel stock.

TL;DR: In this article, the authors provide a unified framework for analyzing bootstrapped extremum estimators of nonlinear dynamic models for heterogeneous dependent stochastic processes and prove the first-order asymptotic validity of the bootstrap distribution of suitable bootstrap analogs of Wald and Lagrange Multiplier statistics for testing hypotheses.

TL;DR: In this paper, the behavioral response of college-bound high school seniors to changes in college affirmative action admissions policies during the late 1990s was evaluated and the effect of changes in state policy on the number of reports of minority and non-minority students were simulated and compared to the actual responses.

TL;DR: This paper examined the relationship between educational outcomes and the most basic input in the education production process (students' study time and effort) using unique new data from the Berea Panel Study.