A generalized least squares estimation method for VARMA models

In this paper a new generalized least squares procedure for estimating VARMA models is proposed. This method differs from existing ones in explicitly considering the stochastic structure of the approximation error that arises when lagged innovations are replaced with lagged residuals obtained from a long VAR. Simulation results indicate that this method performs better than the Double Regression method and similar to Mauricio's (1995) exact maximum likelihood estimation procedure.     

Consistent estimation for discretely observed Markov jump processes with an absorbing state

For a continuous-time Markov process, commonly, only discrete-time observations are available. We analyze multiple observations of a homogeneous Markov jump process with an absorbing state. We establish consistency of the maximum likelihood estimator, as the number of Markov processes increases. To accomplish uniform convergence in the continuous mapping theorem, we use the continuity of the transition probability in the parameters, the compactness of the parameter space and the boundedness of probabilities. We allow for a stochastic time-grid of observation points with different intensities for each observation process. Furthermore, we account for right censoring. The estimate is obtained via the EM algorithm with an E-step given in closed form. In our empirical application of credit rating histories, we fit the model of Weißbach and Mollenhauer (J Korean Stat Soc 40:469–485, 2011) and find marked differences, compared to the continuous-time analysis.     

Youth-adult differences in the demand for unionization: Are American, British, and Canadian workers all that different?

We examine demand for union membership amongst young and adult workers in Britain, Canada, and the United States. Using a model of representation advanced by Farber (1983, 2001) and Riddell (1993), we find that a majority of the union density differential between young and adult workers in all three countries is due to supply-side constraints rather than a lower desire for unionization by the young. This finding lends credence to two conjectures: first, tastes for collective representation do not differ substantially among workers (either by nationality or by age) and second, union representation can be fruitfully modeled as an experience-good. The experience-good properties of union membership explain the persistence of union density differentials (in this case between youth and adults) in the face of equal levels of desired representation. An earlier version of this paper appeared as Centre for Economic Performance (CEP) discussion paper dp515, January 2002. This paper was produced under the “Future of Trade Unions in Modern Britain” program supported by the Leverhulme Trust and with the financial help of the Social Sciences and Humanities Research Council (SSHRC) of Canada. We thank Jo Blanden, Andy Charlwood, David Metcalf, and Steve Machin for comments on an earlier draft. We dedicate this paper to our mentor and friend, the late Noah Meltz, who passed away as this paper was being written.     

Convergence in the OECD: Transitional Dynamics or Narrowing Steady-State Differences?

In this article we show that the picture emerging from models that allow for generalized parameter heterogeneity in convergence equations changes our view of the convergence process within the OECD. Estimation methods that allow for non- or partial heterogeneity stress the importance of transitional dynamics. Thus the observed reduction in the dispersion of per capita income is mostly explained by transitional dynamics. When generalized parameter heterogeneity is allowed for, we find that the observed narrowing of incomes has little bearing on transitional dynamics. Convergence in this case happens because the long-run features of these countries are becoming increasingly similar.     

Tight Revenue Bounds With Possibilistic Beliefs and Level‐k Rationality

Mechanism design enables a social planner to obtain a desired outcome by leveraging the players' rationality and their beliefs. It is thus a fundamental, but yet unproven, intuition that the higher the level of rationality of the players, the better the set of obtainable outcomes. In this paper, we prove this fundamental intuition for players with possibilistic beliefs, a model long considered in epistemic game theory. Specifically, • We define a sequence of monotonically increasing revenue benchmarks for single‐good auctions, G⁰≤G¹≤G²≤⋯, where each Gⁱ is defined over the players' beliefs and G⁰ is the second‐highest valuation (i.e., the revenue benchmark achieved by the second‐price mechanism). • We (1) construct a single, interim individually rational, auction mechanism that, without any clue about the rationality level of the players, guarantees revenue G^k if all players have rationality levels ≥k+1, and (2) prove that no such mechanism can guarantee revenue even close to G^k when at least two players are at most level‐k rational.     

Approval of equal rights and gender differences in well-being

Women earn less than men but are not less satisfied with life. This paper explores whether norms regarding the appropriate pay for women compared to men may explain these findings. We find that the gender wage gap is smaller where a larger fraction of the citizenry has voted in favor of equal pay. We also find that employed women are less (not more) satisfied with life in liberal communities where the gender wage gap is smaller. These findings suggest that norms regarding the appropriate relative pay of women compared to men are shaping gender differences in well-being.     

Optimization models for degrouping population data

In certain countries population data are available in grouped form only, usually as quinquennial age groups plus a large open-ended range for the elderly. However, official statistics call for data by individual age since many statistical operations, such as the calculation of demographic indicators, require the use of ungrouped population data. In this paper a number of mathematical models are proposed which, starting from population data given in age groups, enable these ranges to be degrouped into age-specific population values without leaving a fractional part. Unlike other existing procedures for disaggregating demographic data, ours makes it possible to process several years' data simultaneously in a coherent way, and provides accurate results longitudinally as well as transversally. This procedure is also shown to be helpful in dealing with degrouped population data affected by noise, such as those affected by the age-heaping phenomenon.