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  1. Minimizing sensitivity to model misspecification
    Author: Bonhomme, Stéphane; Weidner, Martin
    Published: [2018]
    Publisher:  Cemmap, Centre for Microdata Methods and Practice, The Institute for Fiscal Studies, Department of Economics, UCL, [London]

    We propose a framework for estimation and inference about the parameters of an economic model and predictions based on it, when the model may be misspecified. We rely on a local asymptotic approach where the degree of misspecification is indexed by... more

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    We propose a framework for estimation and inference about the parameters of an economic model and predictions based on it, when the model may be misspecified. We rely on a local asymptotic approach where the degree of misspecification is indexed by the sample size. We derive formulas to construct estimators whose mean squared error is minimax in a neighborhood of the reference model, based on simple one-step adjustments. We construct confidence intervals that contain the true parameter under both correct specification and local misspecification. We calibrate the degree of misspecification using a model detection error approach. Our approach allows us to perform systematic sensitivity analysis when the parameter of interest may be partially or irregularly identified. To illustrate our approach we study panel data models where the distribution of individual effects may be misspecified and the number of time periods is small, and we revisit the structural evaluation of a conditional cash transfer program in Mexico.

     
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    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/189803
    Series: Cemmap working paper ; CWP18, 59
    Scope: 1 Online-Ressource (circa 83 Seiten), Illustrationen
  2. Posterior average effects
    Author: Bonhomme, Stéphane; Weidner, Martin
    Published: [2019]
    Publisher:  Cemmap, Centre for Microdata Methods and Practice, The Institute for Fiscal Studies, Department of Economics, UCL, [London]

    Economists are often interested in estimating averages with respect to distributions of unobservables. Examples are moments of individual fixed-effects, average effects in discrete choice models, or counterfactual simulations in structural models.... more

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    Economists are often interested in estimating averages with respect to distributions of unobservables. Examples are moments of individual fixed-effects, average effects in discrete choice models, or counterfactual simulations in structural models. For such quantities, we propose and study "posterior average effects", where the average is computed conditional on the sample, in the spirit of empirical Bayes and shrinkage methods. While the usefulness of shrinkage for prediction is well-understood, a justification of posterior conditioning to estimate population averages is currently lacking. We establish two robustness properties of posterior average effects under misspecification of the assumed distribution of unobservables: they are optimal in terms of local worst-case bias, and their global bias is at most twice the minimum worst-case bias within a large class of estimators. We establish related robustness results for posterior predictors. In addition, we suggest a simple measure of the information contained in the posterior conditioning. Lastly, we present two empirical illustrations, to estimate the distributions of neighborhood effects in the US, and of permanent and transitory components in a model of income dynamics.

     
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    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/211136
    Series: Cemmap working paper ; CWP19, 43
    Scope: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  3. Discretizing unobserved heterogeneity
    Author: Bonhomme, Stéphane; Lamadon, Thibaut; Manresa, Elena
    Published: 22 March 2017
    Publisher:  Institute for Fiscal Studies, London

    We study panel data estimators based on a discretization of unobserved heterogeneity when individual heterogeneity is not necessarily discrete in the population. We focus on two-step grouped- fixed effects estimators, where individuals are classified... more

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    We study panel data estimators based on a discretization of unobserved heterogeneity when individual heterogeneity is not necessarily discrete in the population. We focus on two-step grouped- fixed effects estimators, where individuals are classified into groups in a first step using kmeans clustering, and the model is estimated in a second step allowing for group-specific heterogeneity. We analyze the asymptotic properties of these discrete estimators as the number of groups grows with the sample size, and we show that bias reduction techniques can improve their performance. In addition to reducing the number of parameters, grouped fixed-effects methods provide effective regularization. When allowing for the presence of time-varying unobserved heterogeneity, we show they enjoy fast rates of convergence depending of the underlying dimension of heterogeneity. Finally, we document the nite sample properties of two-step grouped fixed-effects estimators in two applications: a structural dynamic discrete choice model of migration, and a model of wages with worker and firm heterogeneity.

     
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    Format: Online
    Other identifier:
    hdl: 10419/173961
    Series: IFS working paper ; W17, 03
    Scope: 1 Online-Ressource (circa 111 Seiten), Illustrationen
  4. Earnings and consumption dynamics
    a nonlinear panel data framework
    Author: Arellano, Manuel; Blundell, Richard W.; Bonhomme, Stéphane
    Published: November 2016
    Publisher:  CEMFI, Centro de estudios monetarios y financieros, Madrid

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    Series: Working paper / CEMFI ; 1606
    Subjects: Earnings dynamics; consumption; partial insurance; panel data; quantile regression
    Scope: 1 Online-Ressource (circa 95 Seiten), Illustrationen
  5. Nonlinear panel data methods for dynamic heterogeneous agent models
    Author: Arellano, Manuel; Bonhomme, Stéphane
    Published: November 2016
    Publisher:  CEMFI, Centro de estudios monetarios y financieros, Madrid

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    Series: Working paper / CEMFI ; 1607
    Subjects: Dynamic models; structural economic models; panel data; unobserved heterogeneity
    Scope: 1 Online-Ressource (circa 34 Seiten)
  6. Quantile selection models with an application to understanding changes in wage inequality
    Author: Arellano, Manuel; Bonhomme, Stéphane
    Published: December 2016
    Publisher:  CEMFI, Centro de estudios monetarios y financieros, Madrid

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    Media type: Book
    Format: Online
    Series: Working paper / CEMFI ; 1610
    Subjects: Quantiles; sample selection; copula; wage inequality; gender wage gap
    Scope: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  7. Sample selection in quantile regression
    a survey
    Author: Arellano, Manuel; Bonhomme, Stéphane
    Published: January 2017
    Publisher:  CEMFI, Centro de estudios monetarios y financieros, Madrid

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    Series: Working paper / CEMFI ; 1702
    Subjects: Quantile regression; sample selection; copula; wage regressions
    Scope: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  8. Nonlinear panel data methods for dynamic heterogeneous agent models
    Author: Arellano, Manuel; Bonhomme, Stéphane
    Published: January 2017
    Publisher:  CEMFI, Centro de estudios monetarios y financieros, Madrid

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    Media type: Book
    Format: Online
    Series: Working paper / CEMFI ; 1703
    Subjects: Dynamic models; structural economic models; panel data; unobserved heterogeneity
    Scope: 1 Online-Ressource (circa 34 Seiten)
  9. Nonlinear panel data estimation via quantile regression
    Author: Arellano, Manuel; Bonhomme, Stéphane
    Published: 2015
    Publisher:  CEMFI, Madrid

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    Language: English
    Media type: Book
    Format: Online
    Series: CEMFI working paper ; 1505
    Subjects: Panel data; dynamic models; non-separable heterogeneity; quantile regression; expectation-maximization
    Scope: Online-Ressource (45 S.), graph. Darst.
  10. Earnings and consumption dynamics
    a nonlinear panel data framework
    Author: Arellano, Manuel; Blundell, Richard W.; Bonhomme, Stéphane
    Published: 2015
    Publisher:  CEMFI, Madrid

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    Series: CEMFI working paper ; 1506
    Subjects: Earnings dynamics; consumption; panel data; quantile regression; latentvariables
    Scope: Online-Ressource (63 S.), graph. Darst.
  11. Quantile selection models
    with an application to understanding changes in wage inequality
    Author: Arellano, Manuel; Bonhomme, Stéphane
    Published: 2015
    Publisher:  Centre for Microdata Methods and Practice, London

    We propose a method to correct for sample selection in quantile regression models. Selection is modelled via the cumulative distribution function, or copula, of the percentile error in the outcome equation and the error in the participation decision.... more

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    We propose a method to correct for sample selection in quantile regression models. Selection is modelled via the cumulative distribution function, or copula, of the percentile error in the outcome equation and the error in the participation decision. Copula parameters are estimated by minimizing a method-of-moments criterion. Given these parameter estimates, the percentile levels of the outcome are re-adjusted to correct for selection, and quantile parameters are estimated by minimizing a rotated "check" function. We apply the method to correct wage percentiles for selection into employment, using data for the UK for the period 1978-2000. We also extend the method to account for the presence of equilibrium effects when performing counterfactual exercises.

     
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    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/130088
    Series: Cemmap working paper / Centre for Microdata Methods and Practice ; 75/15
    Scope: Online-Ressource (49 S.), graph. Darst.
  12. The cycle of earnings inequality
    evidence from Spanish social security data
    Author: Bonhomme, Stéphane; Hospido, Laura
    Published: 2012
    Publisher:  Banco de España, Madrid

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    Series: Documentos de trabajo / Banco de España, Eurosistema ; no. 1225
    Subjects: Lohnstruktur; Lohnstruktur; Konjunkturelle Arbeitslosigkeit; Spanien
    Scope: 1 Online-Ressource (circa 68 Seiten), Illustrationen
  13. Identifying distributional characteristics in random coefficients panel data models
    Author: Arellano, Manuel; Bonhomme, Stéphane
    Published: 2009
    Publisher:  Centre for Microdata Methods and Practice, London

    We study the identification of panel models with linear individual-specific coefficients, when T is fixed. We show identification of the variance of the effects under conditional uncorrelatedness. Identification requires restricted dependence of... more

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    We study the identification of panel models with linear individual-specific coefficients, when T is fixed. We show identification of the variance of the effects under conditional uncorrelatedness. Identification requires restricted dependence of errors, reflecting a trade-off between heterogeneity and error dynamics. We show identification of the density of individual effects when errors follow an ARMA process under conditional independence. We discuss GMM estimation of moments of effects and errors, and introduce a simple density estimator of a slope effect in a special case. As an application we estimate the effect that a mother smokes during pregnancy on child’s birth weight. -- Panel data ; random coefficients ; multiple effects ; nonparametric identification

     
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    Other identifier:
    hdl: 10419/64789
    Series: Cemmap working paper / Centre for Microdata Methods and Practice ; 22/09
    Subjects: Mathematik
    Scope: Online-Ressource (PDF-Datei: 68 S.), graph. Darst.
  14. Identifying distributional characteristics in random coefficients panel data models
    Author: Arellano, Manuel; Bonhomme, Stéphane
    Published: 2009

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    Language: English
    Media type: Book
    Format: Online
    Series: CEMFI working paper ; 0904
    Subjects: Mathematik
    Scope: Online-Ressource (68 S.), graph. Darst.
  15. Accounting for unobservables in comparing selective and comprehensive schooling
    Author: Bonhomme, Stéphane; Sauder, Ulrich
    Published: 2009

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    Language: English
    Media type: Book
    Format: Online
    Series: CEMFI working paper ; 0906
    Scope: Online-Ressource (53 S.), graph. Darst.
  16. The pervasive absence of compensating differentials
    Author: Bonhomme, Stéphane; Jolivet, Grégory
    Published: 2005

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    Language: English
    Media type: Book
    Format: Print
    Series: Série des documents de travail du CREST ; 2005,28
    Subjects: Lohn; Hedonischer Preisindex; Arbeitsmobilität
    Scope: 52 S.
    Notes:

    Zsfassung in franz. Sprache
  17. The cycle of earnings inequality
    evidence from Spanish social security data
    Author: Bonhomme, Stéphane; Hospido, Laura
    Published: 2012
    Publisher:  IZA, Bonn

    We use detailed information on labor earnings and employment from social security records to document the evolution of earnings inequality in Spain from 1988 to 2010. Male earnings inequality was strongly countercyclical: it increased around the 1993... more

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    We use detailed information on labor earnings and employment from social security records to document the evolution of earnings inequality in Spain from 1988 to 2010. Male earnings inequality was strongly countercyclical: it increased around the 1993 recession, showed a substantial decrease during the 1997-2007 expansion, and then a sharp increase during the recent recession. This evolution was partly driven by the cyclicality of employment and earnings in the lower-middle part of the distribution. We emphasize the importance of the housing boom and subsequent housing bust, and show that demand shocks in the construction sector had large effects on aggregate labor market outcomes. -- earnings inequality ; social security data ; unemployment ; business cycle

     
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    Other identifier:
    hdl: 10419/62441
    Series: Discussion paper series / Forschungsinstitut zur Zukunft der Arbeit ; 6669
    Subjects: Lohnstruktur; Lohnstruktur; Konjunkturelle Arbeitslosigkeit; Spanien
    Scope: Online-Ressource (PDF-Datei: 61 S., 714,84 KB), graph. Darst.
  18. A distributional framework for matched employer employee data
    Author: Bonhomme, Stéphane; Lamadon, Thibaut; Manresa, Elena
    Published: December 10, 2017
    Publisher:  IFAU, Institute for Evaluation of Labour Market and Education Policy, Uppsala

    We propose a framework to identify and estimate earnings distributions and worker composition on matched panel data, allowing for two-sided worker-firm unobserved heterogeneity. We introduce two models: a static model that allows for nonlinear... more

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    We propose a framework to identify and estimate earnings distributions and worker composition on matched panel data, allowing for two-sided worker-firm unobserved heterogeneity. We introduce two models: a static model that allows for nonlinear interactions between workers and firms, and a dynamic model that allows in addition for Markovian earnings dynamics and endogenous mobility. We establish identification in short panels, and develop tractable two-step estimators where firms are classified into heterogeneous classes in a first step. Applying our method to Swedish administrative data, we find that log-earnings are approximately additive in worker and firm heterogeneity, with a strong association between workers and firms, and a small relative contribution of firm heterogeneity to earnings dispersion. In addition, we document that wages have a direct effect on mobility, and that, beyond their dependence on the current firm, earnings after a job move also depend on the past firm.

     
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    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/201434
    Series: Working paper / IFAU, Institute for Evaluation of Labour Market and Education Policy ; 2017, 24
    Scope: 1 Online-Ressource (circa 113 Seiten)
  19. Discretizing unobserved heterogeneity
    Author: Bonhomme, Stéphane; Lamadon, Thibaut; Manresa, Elena
    Published: November 20, 2017
    Publisher:  IFAU, Institute for Evaluation of Labour Market and Education Policy, Uppsala

    We study panel data estimators based on a discretization of unobserved heterogeneity when individual heterogeneity is not necessarily discrete in the population. We focus on two-step grouped-fixed effects estimators, where individuals are classified... more

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    We study panel data estimators based on a discretization of unobserved heterogeneity when individual heterogeneity is not necessarily discrete in the population. We focus on two-step grouped-fixed effects estimators, where individuals are classified into groups in a first step using kmeans clustering, and the model is estimated in a second step allowing for group-specific heterogeneity. We analyze the asymptotic properties of these discrete estimators as the number of groups grows with the sample size, and we show that bias reduction techniques can improve their performance. In addition to reducing the number of parameters, grouped fixed-effects methods provide effective regularization. When allowing for the presence of time-varying unobserved heterogeneity, we show they enjoy fast rates of convergence depending of the underlying dimension of heterogeneity. Finally, we document the finite sample properties of two-step grouped fixed-effects estimators in two applications: a structural dynamic discrete choice model of migration, and a model of wages with worker and firm heterogeneity.

     
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    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/201431
    Series: Working paper / IFAU, Institute for Evaluation of Labour Market and Education Policy ; 2017:21
    Scope: 1 Online-Ressource (circa 112 Seiten), Illustrationen
  20. Recovering latent variables by matching
    Author: Arellano, Manuel; Bonhomme, Stéphane
    Published: December 2019
    Publisher:  Centro de estudios monetarios y financieros, Madrid, Spain

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    Format: Online
    Series: Working paper / CEMFI ; 1914
    Scope: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  21. Identification in a binary choice panel data model with a predetermined covariate
    Author: Bonhomme, Stéphane; Dano, Kevin; Graham, Bryan S.
    Published: 2023
    Publisher:  Cemmap, Centre for Microdata Methods and Practice, The Institute for Fiscal Studies, Department of Economics, UCL, [London]

    We study identification in a binary choice panel data model with a single predetermined binary covariate (i.e., a covariate sequentially exogenous conditional on lagged outcomes and covariates). The choice model is indexed by a scalar parameter θ,... more

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    We study identification in a binary choice panel data model with a single predetermined binary covariate (i.e., a covariate sequentially exogenous conditional on lagged outcomes and covariates). The choice model is indexed by a scalar parameter θ, whereas the distribution of unit-specific heterogeneity, as well as the feedback process that maps lagged outcomes into future covariate realizations, are left unrestricted. We provide a simple condition under which θ is never point-identified, no matter the number of time periods available. This condition is satisfied in most models, including the logit one. We also characterize the identified set of θ and show how to compute it using linear programming techniques. While θ is not generally point-identified, its identified set is informative in the examples we analyze numerically, suggesting that meaningful learning about θ is possible even in short panels with feedback.

     
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    Other identifier:
    hdl: 10419/272837
    Series: Cemmap working paper ; CWP23, 01
    Subjects: Panel; Schätztheorie; Logit-Modell; Sequential Moment Conditions; Feedback; Panel Data; Incidental Parameters; Partial Identification
    Scope: 1 Online-Ressource (circa 33 Seiten)
  22. Posterior average effects
    Author: Bonhomme, Stéphane; Weidner, Martin
    Published: [2020]
    Publisher:  Cemmap, Centre for Microdata Methuods and Practice, The Institute for Fiscal Studies, Department of Economics, UCL, [London]

    Economists are often interested in estimating averages with respect to distributions of unobservables. Examples are moments of individual fixed-effects, average partial effects in discrete choice models, and counterfactual simulations in structural... more

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    Economists are often interested in estimating averages with respect to distributions of unobservables. Examples are moments of individual fixed-effects, average partial effects in discrete choice models, and counterfactual simulations in structural models. For such quantities, we propose and study posterior average effects (PAE), where the average is computed conditional on the sample, in the spirit of empirical Bayes and shrinkage methods. While the usefulness of shrinkage for prediction is well-understood, a justification of posterior conditioning to estimate population averages is currently lacking. We show that PAE have minimum worst-case bias under local misspecification of the parametric distribution of unobservables. This provides a rationale for reporting these estimators in applications. We introduce a measure of informativeness of the posterior conditioning, which quantifies the bias of PAE relative to parametric modelbased estimators, and we study other robustness properties of PAE for estimation and prediction. As illustrations, we report PAE estimates of distributions of neighborhood effects in the US, and of permanent and transitory components in a model of income dynamics.

     
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    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/241924
    Series: Cemmap working paper ; CWP20, 49
    Scope: 1 Online-Ressource (circa 66 Seiten), Illustrationen
  23. Income risk inequality
    evidence from Spanish administrative records
    Author: Arellano, Manuel; Bonhomme, Stéphane; De Vera, Micole; Hospido, Laura; Wei, Siqi
    Published: September 2021
    Publisher:  Centro de estudios monetarios y financieros, Madrid, Spain

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    Series: Working paper / CEMFI ; 2109
    Subjects: Spain; income dynamics; administrative data; income risk; inequality
    Scope: 1 Online-Ressource (circa 106 Seiten), Illustrationen
  24. Income risk inequality
    evidence from Spanish administrative records
    Author: Arellano, Manuel; Bonhomme, Stéphane; De Vera, Micole; Hospido, Laura; Wei, Siqi
    Published: [2021]
    Publisher:  Institute for Fiscal Studies, London

    In this paper we use administrative data from the social security to study income dynamics and income risk inequality in Spain between 2005 and 2018. We construct individual measures of income risk as functions of past employment history, income, and... more

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    In this paper we use administrative data from the social security to study income dynamics and income risk inequality in Spain between 2005 and 2018. We construct individual measures of income risk as functions of past employment history, income, and demographics. Focusing on males, we document that income risk is highly unequal in Spain: more than half of the economy has close to perfect predictability of their income, while some face considerable uncertainty. Income risk is inversely related to income and age, and income risk inequality increases markedly in the recession. These findings are robust to a variety of specifications, including using neural networks for prediction and allowing for individual unobserved heterogeneity.

     
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    Other identifier:
    hdl: 10419/249692
    Series: Working paper / lnstitute for Fiscal Studies ; 21, 37
    Subjects: Spain; income dynamics; administrative data; income risk; inequality
    Scope: 1 Online-Ressource (circa 105 Seiten), Illustrationen
  25. Income risk inequality
    evidence from Spanish administrative records
    Author: Arellano, Manuel; Bonhomme, Stéphane; De Vera, Micole; Hospido, Laura; Wei, Siqi
    Published: 2021
    Publisher:  Banco de España, Madrid

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 470
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Documentos de trabajo / Banco de España, Eurosistema ; no. 2136
    Subjects: Spain; income dynamics; administrative data; income risk; inequality
    Scope: 1 Online-Ressource (circa 98 Seiten), Illustrationen