The authors investigate the relationship between family policy and women's attachment to the labor market, focusing specifically on policy feedback on women's subjective work commitment. They utilize a quasi-experimental design to identify normative policy effects from changes in mothers' work commitment in conjunction with two policy changes that significantly extended the length of statutory ...

Statistically self-similar (SSS) processes can be used to describe a variety of physical phenomena, yet modeling these phenomena has proved challenging. Most of the proposed models for SSS and approximately SSS processes have power spectra that behave as 1=f , such as fractional Brownian motion (fBm), fractionally differenced noise, and wavelet-based syntheses. The most flexible framework is pe...

This paper extends the semiparametric eÆcient treatment of panel data models pursued by Park and Simar (1994) and Park, Sickles, and Simar (1998, 2003) to a dynamic panel setting. We develop a semiparametric eÆcient estimator under minimal assumptions when the panel model contains a lagged dependent variable. We apply this new estimator to analyze the structure of demand between city pairs for ...

In the first half of the paper I study spurious regressions in panel data. Asymptotic properties of the least-squares dummy variable (LSDV) estimator and other conventional statistics are examined. The asymptotics of LSDV estimator are different from those of the spurious regression in the pure time-series. This has an important consequence for residual-based cointegration tests in panel data, ...

This paper considers nonparametric estimation of autoregressive panel data models with fixed effects. A within-group type series estimator is developed and its convergence rate and asymptotic normality are derived. It is found that the series estimator is asymptotically biased and the bias could reduce the mean-square convergence rate compared with the cross section cases. A bias corrected nonp...

In this paper, we present an alternative root-n consistent estimator for panel data fixed-effects binary choice models. The proposed estimator relaxes one of the key conditions that are required for the consistency of the estimator proposed in Honoré and Lewbel (2002), and is shown to be consistent and asymptotically normally distributed under some sufficient conditions. An easy to compute cons...

JEL classification: C14 C23 AMS subject classifications: 62G08 62G20 62P20 Keywords: Varying coefficient models Fixed effects Panel data Local linear regression Oracle efficient estimator Within estimator Profile least squares estimator a b s t r a c t In this paper, we consider the nonparametric estimation of a varying coefficient fixed effect panel data model. The estimator is based in a with...

This article proposes a simple estimator that is consistent for the fraction of a panel that has an autoregressive unit root. Given such an estimate, θ̂ , we can test the null hypothesis that θ = θ0 for any value of θ0 ∈ (0,1]. The test is asymptotically standard normal and is valid whether or not the panel is crosssectionally correlated. The main insight is that in a panel in which some units a...

Panel data in many econometric applications exhibit a nested (hierarchical) structure. For example, data on "rms may be grouped by industry, or data on air pollution may be grouped by observation station within a city, city within a country, and by country. In these cases, one can control for unobserved group and sub-group e!ects using a nested-error component model. A double-nested unbalanced ...

Public–private sectoral wage differentials have been studied extensively using quantile regression techniques. These typically find large public sector premiums at the bottom of the wage distribution. This may imply that low skill workers are ‘overpaid’, prompting concerns over efficiency. We note several other potential explanations for this result and explicitly test whether the premium varie...