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  • 1
    Electronic Resource
    Electronic Resource
    Oxford, UK and Boston, USA : Blackwell Publishers Ltd
    Journal of economic surveys 14 (2000), S. 0 
    ISSN: 1467-6419
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Type of Medium: Electronic Resource
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  • 2
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    London: Centre for Microdata Methods and Practice (cemmap)
    Publication Date: 2018-11-19
    Description: We propose a procedure for estimating the critical values of the extended Kolmogorov- Smirnov tests of First and Second Order Stochastic Dominance in the general K-prospect case. We allow for the observations to be serially dependent and, for the first time, we can accommodate general dependence amongst the prospects which are to be ranked. Also, the prospects may be the residuals from certain conditional models, opening the way for conditional ranking. We also propose a test of Prospect Stochastic Dominance. Our method is based on subsampling and we show that the resulting tests are consistent and powerful against some N-1=2 local alternatives. We also propose some heuristic methods for selecting subsample size and demonstrate in simulations that they perform reasonably.
    Keywords: ddc:330 ; Präferenztheorie ; Theorie ; Bootstrap-Verfahren
    Language: English
    Type: doc-type:workingPaper
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  • 3
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    Atlanta, GA: Federal Reserve Bank of Atlanta
    Publication Date: 2018-11-07
    Description: We examine the cardinal gap between wage distributions of the incumbents and newly hired workers based on entropic distances that are well-defined welfare theoretic measures. Decomposition of several effects is achieved by identifying several counterfactual distributions of different groups. These go beyond the usual Oaxaca-Blinder decompositions at the (linear) conditional means. Much like quantiles, these entropic distances are well defined inferential objects and functions whose statistical properties have recently been developed. Going beyond these strong rankings and distances, we consider weak uniform ranking of these wage outcomes based on statistical tests for stochastic dominance. We focus the empirical analysis on employees with at least 35 hours of work in the 1996 - 2012 monthly Current Population Survey. Among other findings, we find incumbent workers enjoy a better distribution of wages, but the attribution of the gap to wage inequality and human capital characteristics varies between quantiles. For instance, highly paid new workers are mainly due to human capital components and, in some years, even better wage structure.
    Keywords: I31 ; C43 ; ddc:330 ; wage gap ; metric entropy distance ; stochastic dominance ; wage distributions ; counterfactual analysis ; human capital ; inequality ; labor markets
    Language: English
    Type: doc-type:workingPaper
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  • 4
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    Bonn: Institute for the Study of Labor (IZA)
    Publication Date: 2015-05-22
    Description: We examine the dynamic evolution of incomes, both disposable and gross, for several groups in the PSID panel data at several points from 1968 to 1997. We employ the extended Kolmogorov-Smirnov tests of First and Second Order Stochastic Dominance (SD) as implemented by Maasoumi and Heshmati (2000). They do not impose the Least Favorable Case (LFC) of the composite null hypotheses of SD orders. This is in contrast to simulation and bootstrap-based techniques that do so, resulting in tests that are not asymptotically similar or unbiased. Our approach is also different from the subsampling technique of Linton et al (2005) who obtain critical values for these tests under very general sampling schemes. We offer partial control for many individual/family specific attributes, such as age, gender, education, number of children, work and marital status, by comparing group cells. This avoids having to specify and estimate models of dependence of incomes on these attributes, but lacks the multiple controls that is the promise of such techniques. We find a surprising number of strong rankings, both between groups and over time, in gross income and, to a lesser extent, in 'disposable' incomes.
    Keywords: C14 ; D33 ; D63 ; H24 ; ddc:330 ; Stochastic Dominance ; bootstrap ; income distribution ; testing ; PSID ; gender ; education ; age ; marital status ; Einkommensverteilung ; Soziale Ungleichheit ; Privater Haushalt ; Disparitätsmaß ; Mathematische Ökonomie
    Language: English
    Type: doc-type:workingPaper
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  • 5
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    Amsterdam and Rotterdam: Tinbergen Institute
    Publication Date: 2013-11-13
    Description: The paper focuses on the robustness of rankings of academic journal quality and research impact in general, and in Economics, in particular, based on the widely-used Thomson Reuters ISI Web of Science citations database (ISI). The paper analyses 299 leading international journals in Economics using quantifiable Research Assessment Measures (RAMs), and highlights the similarities and differences in various RAMs, which are based on alternative transformations of citations and influence. All existing RAMs to date have been static, so two new dynamic RAMs are developed to capture changes in impact factor over time and escalating journal self citations. Alternative RAMs may be calculated annually or updated daily to determine When, Where and How (frequently) published papers are cited (see Chang et al. (2011a, b, c)). The RAMs are grouped in four distinct classes that include impact factor, mean citations and non-citations, journal policy, number of high quality papers, and journal influence and article influence. These classes include the most widely used RAMs, namely the classic 2-year impact factor including journal self citations (2YIF), 2-year impact factor excluding journal self citations (2YIF*), 5-year impact factor including journal self citations (5YIF), Eigenfactor (or Journal Influence), Article Influence, h-index, and PI-BETA (Papers Ignored - By Even The Authors). As all existing RAMs to date have been static, two new dynamic RAMs are developed to capture changes in impact factor over time (5YD2 = 5YIF/2YIF) and Escalating Self Citations. We highlight robust rankings based on the harmonic mean of the ranks of RAMs across the 4 classes. It is shown that emphasizing the 2-year impact factor of a journal, which partly answers the question as to When published papers are cited, to the exclusion of other informative RAMs, which answer Where and How (frequently) published papers are cited, can lead to a distorted evaluation of journal quality, impact and influence relative to the harmonic mean of the ranks.
    Keywords: C18 ; C81 ; Y10 ; ddc:330 ; Research assessment measures ; Impact factor ; IFI ; C3PO ; PI-BETA ; STAR ; Eigenfactor ; Article Influence ; h-index ; 5YD2 ; ESC ; harmonic mean of the ranks ; economics ; journal rankings ; Fachzeitschrift ; Ranking-Verfahren
    Language: English
    Type: doc-type:workingPaper
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  • 6
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    Amsterdam and Rotterdam: Tinbergen Institute
    Publication Date: 2016-04-16
    Description: Bank risk managers follow the Basel Committee on Banking Supervision (BCBS) recommendations that recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The Basel Committee on Banking Supervision (2013, p. 3) noted that: “a number of weaknesses have been identified with using VaR for determining regulatory capital requirements, including its inability to capture tail risk”. The proposed reform costs and impact on bank balances may be substantial, such that the size and distribution of daily capital charges under the new rules could be affected significantly. Regulators and bank risk managers agree that all else being equal, a “better” distribution of daily capital charges is to be preferred. The distribution of daily capital charges depends generally on two sets of factors: (1) the risk function that is adopted (ES versus VaR); and (2) their estimated counterparts. The latter is dependent on what models are used by bank risk managers to provide for forecasts of daily capital charges. That is to say, while ES is known to be a preferable “risk function” based on its fundamental properties and greater accounting for the tails of alternative distributions, that same sensitivity to tails can lead to greater daily capital charges, which is the relevant (that is, controlling) practical reference for risk management decisions and observations. In view of the generally agreed focus in this field on the tails of non-standard distributions and low probability outcomes, an assessment of relative merits of estimated ES and estimated VaR is ideally not limited to mean variance considerations. For this reason, robust comparisons between ES and VaR will be achieved in the paper by using a Stochastic Dominance (SD) approach to rank ES and VaR.
    Keywords: G32 ; G11 ; G17 ; C53 ; C22 ; ddc:330 ; Stochastic dominance ; Value-at-Risk ; Expected Shortfall ; Optimizing strategy ; Basel III Accord
    Language: English
    Type: doc-type:workingPaper
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  • 7
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    Amsterdam and Rotterdam: Tinbergen Institute
    Publication Date: 2016-12-19
    Description: The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that "a number of weaknesses have been identified with using VaR for determining regulatory capital requirements, including its inability to capture tail risk" (p. 3). For this reason, the Basel Committee is considering the use of ES, which is a coherent risk measure and has already become common in the insurance industry, though not yet in the banking industry. While ES is mathematically superior to VaR in that it does not show "tail risk" and is a coherent risk measure in being subadditive, its practical implementation and large calculation requirements may pose operational challenges to financial firms. Moreover, previous empirical findings based only on means and standard deviations suggested that VaR and ES were very similar in most practical cases, while ES could be less precise because of its larger variance. In this paper we find that ES is computationally feasible using personal computers and, contrary to previous research, it is shown that there is a stochastic difference between the 97.5% ES and 99% VaR. In the Gaussian case, they are similar but not equal, while in other cases they can differ substantially: in fat-tailed conditional distributions, on the one hand, 97.5%-ES would imply higher risk forecasts, while on the other, it provides a smaller down-side risk than using the 99%-VaR. It is found that the empirical results in the paper generally support the proposals of the Basel Committee.
    Keywords: C53 ; C22 ; G32 ; G11 ; G17 ; ddc:330 ; Stochastic dominance ; Value-at-Risk ; Expected Shortfall ; Optimizing strategy ; Basel III Accord
    Language: English
    Type: doc-type:workingPaper
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  • 8
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    Singapore: Springer Singapore
    Publication Date: 2018-09-26
    Description: This book looks at the major policy challenges facing developing Asia and how the region sustains rapid economic growth to reduce multidimensional poverty through socially inclusive and environmentally sustainable measures. Asia is facing many challenges arising from population growth, rapid urbanization, provision of services, climate change and the need to redress declining growth after the global financial crisis. This book examines poverty and related issues and aims to advance the development of new tools and measurement of multidimensional poverty and poverty reduction policy analysis. The book covers a wide range of issues, including determinants and causes of poverty and its changes; consequences and impacts of poverty on human capital formation, growth and consumption; assessment of poverty strategies and policies; the role of government, NGOs and other institutions in poverty reduction; rural-urban migration and poverty; vulnerability to poverty; breakdown of poverty into chronic and transitory components; and a comparative study on poverty issues in Asia and other regions. The book will appeal to all those interested in economic development, resources, policies and economic welfare and growth.
    Keywords: ddc:330 ; Armutsbekämpfung ; Mikrofinanzierung ; Städtische Armut ; Ländliche Armut ; Asien ; Asiatisch-pazifischer Raum
    Language: English
    Type: doc-type:book
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  • 9
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    Bonn: Institute for the Study of Labor (IZA)
    Publication Date: 2018-11-15
    Description: This paper offers some new directions in the analysis of nonparamertric models with exogenous treatment assignment. The nonparametric approach opens the door to the examination of potentially different distributed outcomes. When combined with cross-validation, it also identifies potentially irrelevant variables and linear versus nonlinear effects. Examination of the distribution of effects requires distribution metrics, such as stochastic dominance tests for ranking based on a wide range of criterion functions, including dollar valuations. We can identify subgroups with different treatment outcomes. We offer an empirical demonstration based on the GAIN data. In the case of one covariate (English as the primary language), there is support for a statistical inference of uniform first order dominant treatment effects. We also find several others that indicate second and higher order dominance rankings to a statistical degree of confidence.
    Keywords: C14 ; ddc:330 ; bootstrap ; GAIN ; nonparametric ; rehabilitation ; stochastic dominance ; treatment effects ; Nichtparametrisches Verfahren ; Statistischer Test ; Stochastischer Prozess ; Theorie ; Arbeitsmarktpolitik ; Wirkungsanalyse ; Kalifornien
    Language: English
    Type: doc-type:workingPaper
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  • 10
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    Atlanta, Ga.: Federal Reserve Bank of Atlanta
    Publication Date: 2019-07-23
    Description: This paper proposes an entropy-based approach for aggregating information from misspecified asset pricing models. The statistical paradigm is shifted away from parameter estimation of an optimally selected model to stochastic optimization based on a risk function of aggregation across models. The proposed method relaxes the perfect substitutability of the candidate models, which is implicitly embedded in the linear pooling procedures, and ensures that the aggregation weights are selected with a proper (Hellinger) distance measure that satisfies the triangle inequality. The empirical results illustrate the robustness and the pricing ability of the aggregation approach to stochastic discount factor models.
    Keywords: C13 ; C52 ; G12 ; ddc:330 ; entropy ; model aggregation ; asset pricing ; misspecified models ; oracle inequality ; Hellinger distance
    Language: English
    Type: doc-type:workingPaper
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