teacher quality in educational production tracking decay and student achievement growing concerns over the inadequate achievement of u s students have led to proposals to reward good teachers and penalize or fire bad ones the leading method for assessing teacher quality is value added modeling vam which decomposes students test scores into components attributed to student heterogeneity and to teacher quality implicit in the vam approach are strong assumptions about the nature of the educational production function and the assignment of students to classrooms in this paper i develop falsification tests for three widely used vam specifications based on the idea that future teachers cannot influence students past achievement in da ta from north carolina each of the vams exclusion restrictions are dramatically viola ted in particular these models indicate large effects of 5th grade teachers on 4th grade t est score gains i also find that conventional measures of individual teachers value added fade out very quickly and are at best weakly related to long run effects i discuss implic ations for the use of vams as personnel tools

women s property rights and gendered policies implications for women s long term welfare in rural tanzania this paper evaluates effects of community level women s property and inheritance rights on women s economic outcomes using a 13 year longitudinal panel from rural tanzania in the preferred model specification inverse probability weighting is applied to a woman level fixed effects model to control for individual level time invariant heterogeneity and attrition results indicate that changes in women s property and inheritance rights are significantly associated with women s employment outside the home self employment and earnings results are not limited to sub groups of marginalised women findings indicate lack of gender equity in sub saharan africa may inhibit economic development for women and society as a whole

asset pricing with observable stochastic discount factors the stochastic discount factor model provides a general framework for pricing assets by specifying the discount factor suitably it encompasses most of the theories currently in use including capm and consumption capm the sdf model has been based on the use of single and multiple factors and on latent and observed factors in most situations and especially for the term structure single factor models are inappropriate whilst latent variables require the somewhat arbitrary specification of generating processes and are difficult to interpret in this paper we survey the principal different implementations of the sdf model for bonds equity and forex and propose a new approach this is based on the use of multiple factors that are observable and modelling the joint distribution of excess returns and the factors using a multi variate garch in mean process we argue that in general single equation and var models although widely used in empirical finance are inappropriate as they do not satisfy the no arbitrage condition since risk premia arise from conditional covariation between the returns and the factors both a multi variate context and having conditional covariances in the conditional mean process is essential we explain how apparent exceptions such as the cir and vasicek models in fact meet this requirement but at a price we explain our new approach discuss how it might be implemented and present some empirical evidence mainly from our own researches partly to enable comparisons to be made the survey also includes evidence from recent empirical work using more traditional approaches

using generalized method of moments to test mean variance efficiency this paper develops tests of unconditional mean variance efflciency under weak distributional assumptions using a generalized method of moments framework these tests are potentially more robust than commonly employed tests which rely on the assumption that asset returns are normally distributed and temporarily i i d using returns for size based portfolios from 1926 to 1988 we show that the conclusion concerning the mean variance effilciency of market indexes can be sensitive to the test considered the application of multivariate statistical techniques in financial economics has become common practice in recent years much of the development has been in the area of testing asset pricing models the assumption that asset returns follow a time invariant multivariate normal distribution permits tests of restrictions on model parameters in a pooled time series cross section framework these tests can be interpreted as tests of the mean variance efficiency of a portfolio or combination of portfolios gibbons 1982 jobson and korkie 1982 stambaugh 1982 shanken 1985 1987 kandel and stambaugh 1987 mackinlay 1987 and gibbons ross and shanken 1989 are examples of work presenting multivariate tests of the capital asset pricing model connor and korajczyk 1988 and lehmann and modest 1988 present multivariate tests of the arbitrage pricing model breeden gibbons and litzenberger 1989 present multivariate tests of the consumption based capm although these papers assume the normality of asset returns little analysis has been conducted to understand the sensitivity of the inferences to violations of this assumption 2 3

survey attrition and schooling choices we use data from three cohorts of the national longitudinal surveys of labor market experience and from the panel study of income dynamics to study the effect of survey attrition on estimates of statistical models of schooling choices we estimate regressions using data on people who always respond to the surveys stayers and on people who miss some surveys attritors and test whether the same statistical model describes the behavior of stayers and attritors in general with a few exceptions we find that attrition either has no effect on the regression estimates or only affects the estimates of the intercept and sometimes the coefficients of birth year dummies and does not affect estimates of family background slope coefficients

the role of expectations in adolescent schooling choices do youths respond to economic incentives i introduction over the postwar period the level of education attained by individuals in nations of the organisation for economic co operation and development has increased steadily this is especially true for the united states 1 in 1950 for example the average american aged 25 or older had 9 3 years of education by 2000 this had increased to 12 7 years this increase reflects sizable increases in the rate of high school completion in the cohort aged 16 24 in 1960 more than 27 were counted as high school dropouts by 2001 the proportion of high school dropouts in this age cohort had fallen to 10 7 although the proportion of whites in any given age cohort who graduated high school has exceeded that for african americans over this period this gap narrowed significantly during the 1970s and 1980s and by 2000 had nearly closed 2 observed trends in and patterns of educational attainment human capital accumulation and labor market success are determined by several factors in addition to changes in a wide variety of background factors such as ability motivation race and gender these involve decisions made by governments as reflected in school resources and macroeconomic performance and by parents e g parental education work effort and child care time also relevant are the choices made by adolescents themselves in response to the net economic returns of the options open to them in this article we explore the schooling choices of youths in response to their perception of these returns economic and sociological research on the determinants of the schooling outcomes of youths is extensive and distinguished 3 these studies focus primarily on the family neighborhood and peer group determinants of educational attainments and are largely reduced form in nature the role of youth preferences and the choices made in response to the economic incentives and constraints that young people face have not been systematically explored in these studies hence their results may attribute to background and family characteristics effects properly attributed to differences in youths own choices in response to the incentives that they face 4 in this study we address the role of youths own choice conditioned expectations in understanding their schooling choices by constructing a choice or switching model we emphasize the effect of individual student perceptions regarding the returns associated with graduating from high school versus dropping out while controlling for an extensive set of family and community factors youths are presumed to form their expectations by referring to the outcomes of a slightly older cohort of individuals who have characteristics similar to their own because these expected income returns are choice specific we require estimates of each youth s choice conditioned expected returns taken to be unobserved by the analyst but known by the youth 5 we focus on the high school graduation outcome for three reasons first individuals must complete high school to consider postsecondary schooling options hence the decision to complete high school carries with it an option value benefit 6 second high school completion the first schooling decision over which adolescents have some control plays a crucial role in understanding the declining labor market position of low skilled workers 7 finally our analysis of the high school graduation choice is nested within an extensive economic literature that addresses the determinants of this outcome by focusing on the role of youth s own expectations we have neglected other aspects of a complete analysis of the process of educational attainment for example we presume that our extensive set of family and neighborhood factors are exogenous to the outcome and independent of unobserved factors although we do not explicitly include school characteristics in our estimation our detailed neighborhood and family variables are likely to accurately proxy for neighborhood school quality

modeling household cooking fuel choice a panel multinomial logit approach we use three rounds of a rich panel data set to investigate the determinants of household cooking fuel choice and energy transition in urban ethiopia we observe that the expected energy transition did not occur following economic growth in ethiopia during the decade 20002009 regression results from a random eects multinomial logit model suggest that households economic status price of alternative energy sources and education are important determinants of fuel choice in urban ethiopia the results also suggest the use of multiple fuels or fuel stacking behavior by households we argue that policy makers could target these policy levers to encourage transition to cleaner energy sources

estimation of vulnerability to poverty using a multilevel longitudinal model evidence from the philippines using the panel data for the philippines in 2003 2009 we estimate a three level random coefficient model to measure household vulnerability and to decompose it into idiosyncratic and covariate com

dynamic treatment effects of teacher s aides in an experiment with multiple randomizations using data from a large scale two stage experiment wherein students and teachers were randomized at both kindergarten entry and first grade to be sorted into classes either with or without full time teacher s aides i estimate an econometric model that is uniquely suited to take advantage of this design to determine their effect on academic achievement the identification strategy produces fully nonparametric dynamic average treatment effects for every treatment path i find that the use of full time teacher s aides increases student achievement but the benefits appear to accrue mostly to those of higher socioeconomic status and to white students a cost benefit analysis shows that full time teacher s aides may be a competitive alternative to class size reductions in terms of net social benefits jel i21 i28

subsidy and tuition policies in public higher education i introduction the much discussed and widely debated recent conditions in public higher education include expanding enrollments flat if not declining public appropriations per resident student and rapid increases in tuition rates 1 to many observers tuition policy in public higher education appears be explained as an attempt to set tuition at whatever level is necessary to compensate for shortfalls between public appropriations and instructional expenditures ehrenberg 2006 asserts that public higher education has been buffeted by a perfect storm in which state appropriations to public higher education institutions have failed to keep pace with per student expenditures in private higher education because of economic recession the priorities placed on alternative uses of state tax revenues such as elementary and secondary education medicaid welfare and criminal justice and efforts to reduce income and sales tax rates a considerable empirical literature examines the relationship between tuition in public higher education and state appropriations koshal and koshal 2000 identify a negative relationship between tuition and state appropriation a study of college costs and prices which is conducted by cunningham et al 2001 identifies an inverse association between tuition rates and annual budget appropriations but finds little evidence of a link between tuition and expenditures on instruction lowry 2001 treats state appropriations as exogenous in a resident tuition equation and discovers a significant negative relationship between state funding and tuition rizzo 2005 finds that increases in tuition are linked to declines in future levels of state funding which hints at a dynamic association rizzo and ehrenberg 2004 in one of the more extensive examination of the topic treat real state appropriations per student as an exogenous variable in their resident tuition equation and find that schools that receive higher state appropriations per student charge lower tuition though the elasticity is far from unity acknowledging the economic and demographic conditions of public higher education and the empirical literature linking appropriations and tuition raises a number of questions what activities are legislatures supporting when they allocate public funds to higher education what are the implied responsibilities for subsidizing residents versus nonresidents how are resident and nonresident tuition rates determined and what are the relationships among tuition rates resident and nonresident enrollments and state appropriations to higher education in particular there appears to be the need to develop a better understanding of the decision processes that determine both the public subsidy and the setting of tuition rates a goal of this article is to develop a conceptual framework for that process there is a widely held notion that residents should pay a lower tuition than nonresidents and as a result of a resident subsidy they do so in nearly all public universities one rationale for favorable treatment is that residents and their parents pay state taxes another claim which receives some support by groen 2004 is that residents are likely to remain in the state after graduation and thus contribute future tax revenues although the public subsidy to higher education is justified for these and many other economic development reasons some argue that the higher education subsidy is simply a payoff to special interest groups who influence legislatures and governors friedman 1968 and goldin and katz 1998 provide a general discussion of the objectives of subsidized higher education for whatever reasons resident students continue to receive a substantial publicfinanced subsidy while nonresidents pay close to full cost there are two basic arrangements for determining tuition rates in higher education 1 institutions determine tuition rates under the direction of an independent governing board and 2 state legislatures who are governed by statues and budget policies make tuition decisions

crossing the lines the conditional relation between exchange rate exposure and stock returns in emerging and developed markets this paper examines the importance of exchange rate exposure in the return generating process for a large sample of non financial firms from 37 countries we argue that the effect of exchange rate exposure on stock returns is conditional and show evidence of a significant return impact to firm level currency exposures when conditioning on the exchange rate change we further show that the realized return to exposure is directly related to the size and sign of the exchange rate change suggesting fluctuations in exchange rates as a source of time variation in currency return premia for the entire sample the return impact ranges from 1 2 to 3 3 per unit of currency exposure and it is larger for firms in emerging markets compared to developed markets overall the results indicate that foreign exchange rate exposure estimates are economically meaningful despite the fact that individual time series results are noisy and many exposures are not statistically significant and that exchange rate exposure plays an important role in generating cross sectional return variation moreover we show that the relation between exchange rate exposure and stock returns is more consistent with a cash flow effect than a discount rate effect

assessing the quality of household panel data the case of the panel study of income dynamics evidence from a number of methodological studies are used to assess the overall quality of data from the panel study of income dynamics psid despite substantial cumulative non response over the nearly two decades spanned by the study the sample is found to maintain its representation of the nonimmigrant population of the united states the most important reasons for this result are that the study s following rules insure that the sample replaces itself in the same manner as the population through the formation of new families by the offspring of old and that nonresponse is largely unsystematic nonresponse also appears to be largely random with respect to parameters in a number of behavioral models the accuracy of measures is assessed by comparing survey measures with national aggregates and with highly accurate individual validating data psid reports of transfer income appear to compare more favorably with program aggregates than do reports from other large scale surveys such as the current popul

estimation of sons intergenerational earnings mobility in the presence of censoring based on intergenerational data from the panel study of income dynamics i provide estimates of income mobility across generations for men special attention is paid to issues of censoring caused by a son s unemployment employing non parametric bounds estimates i illustrate that previous income mobility estimates rely heavily on unjustified assumptions of exogenous selection assuming a son s potential income is instead a function of his reason for unemployment and work history i re estimate mobility allowing for sampling variability the range of feasible slopes consistent with these modified bounds restrictions is 0 27 to 0 55 copyright 2002 john wiley sons ltd

do wages rise with job seniority a reassessment the authors provide new estimates of the return to job seniority using a dataset similar to that employed in joseph altonji and robert shakotko do wages rise with job seniority review of economic studies 1987 and robert topel specific capital mobility and wages journal of political economy 1991 they consider the strengths and weaknesses of these studies treatment of economy wide trends their dating conventions for tenure and wages their handling of wage observations that might span multiple jobs and their estimation approaches re estimation points to an effect often years of tenure on the log wage equal to 11 which is above the preferred estimate of altonji and shakotko but far below that of topel changes in earnings distributions and in the employment relationship motivate the examination of more recent data perhaps surprisingly the return to tenure has probably increased over time

for love or money the impact of income taxes on marriage higher sometimes lower than their combined single income tax obligations in this paper we explore the impact of the federal individual income tax as well as other economic and demograplhic variables on the marriage decisionis of individuals using longitudinal data from the panel study on income dynamics for the period 1968 92 we estimate a discrete time hazard model of the time to first marriage we find that the probability of marriage is significantly affected by a range of economic and demographic variables importantly we find that an increase in total income taxes paid by married versus single women has a negative effect on the likelihood of marriage and that the change in the marginal tax rate is also a significant determinant of marriage in some cases in contrast the tax effects are rarely significant in determining marriage probabilities among men although there are some differential responses by race in general the impacts of the income tax variables even when statistically significant are small

the importance of sample attrition in life cycle labor supply estimation we examine the importance of possible nonrandom attrition to an econometric model of life cycle labor supply using both a wald test comparing attriters to nonattriters and variable addition tests based on formal models of attrition estimates using the panel study of income dynamics show that nonrandom attrition is of little concern when estimating prime age male labor supply because the effect of attrition is absorbed into fixed effects in labor supply the wage measure and instrument set have much larger effects on the estimated labor supply function of prime age men than how one adjusts for panel attrition

measuring heterogeneity in the returns to education using an education reform abstract in this paper we explore the impact of a mandatory education reform as well as pre reform availability of schools above the mandatory level on educational attainment and returns to education in norway we contribute to the existing literature by focusing on the heterogeneity of the impact of reforms our results indicate that increased compulsory education from seven to nine years increased the general level of education beyond the compulsory education we also find that the effect of family background on educational attainment was weaker after the reform the average treatment effect on returns to education is surprisingly high for education of intermediate duration this means that increasing the general level of education potentially generates high returns in the form of wages we also find that the effect of treatment on the treated on the returns to education is 1 4 percentage points higher than the average treatment effect

structural transformation and smallholder agriculture an information theoretic analysis of the nicaraguan case in light of continued debate regarding the capacity of small scale agricultural producers to compete amidst globalization and or liberalization we examine recent trends in the distribution and use of agricultural landholdings in developing nations via refined exploration of the nicaraguan case with nationally representative living standards measurement survey type data for the years 1998 2001 and 2005 we employ markov chain methods within an information theoretic framework in an attempt to advance the analysis of structural transformation in developing countries beyond the examination of trends in mean farm sizes or gini coefficients approaches ill suited to the detection of the apparent complexities of structural change further while markov chain analysis has witnessed relatively widespread application in the investigation of structural transformation in developed nations we offer a novel methodological extension by allowing for the simultaneous exploration of structural transformation across multiple dimensions namely structural change in both the distribution and use of agricultural landholdings as well as the incorporation of microlevel determinants of farm size and land use change the results of the inquiry above all suggest that nicaragua s agricultural and livestock sector is characterized by a definitive persistence of smallholders while a moderate tendency toward bifurcation in the distribution of landholdings would appear to obscure any immediate relationship between operational landholdings and land productivity we contend that such trends are in fact consistent with the often observed inverse farm size productivity relationship

teacher experience and the class size effect experimental evidence abstract we analyze teacher experience as a moderating factor for the effect of class size reduction on student achievement in the early grades using data from the tennessee star experiment with random assignment of teachers and students to classes of different sizes the analysis is motivated by the high costs of class size reductions and the need to identify the circumstances under which this investment is most rewarding we find a class size effect only for senior teachers the effect exists at all deciles of the achievement distribution but is less pronounced at lower deciles we further show that senior teachers outperform rookies only in small classes interestingly the class size effect is likely due to a higher quality of instruction in small classes

small sample tests of portfolio efficiency abstract this paper presents an eigenvalue test of the efficiency of a portfolio when there is no riskless asset complementing the test of gibbons ross and shanken 1989 besides optimal upper and lower bounds an easily implented numerical method is provided for computing the exact p value our approach makes it possible to draw statistical inferences on the efficiency of a given portfolio both in the context of the zero beta capm and with respect to other linear pricing models as an application using monthly data for every consecutive five year period from 1926 to 1986 we reject the efficiency of the crsp value weighted index for most periods

should we track migrant households when collecting household panel data household relocation economic mobility and attrition biases in the rural philippines based on household panel data that tracked migrant households with an additional survey cost of 17 percent this article describes behavior of household relocation and quantifies the extent of attrition biases in estimating the determinants of percapita household consumption and of its growth rate many households relocate for non economic reasons and to rural destinations while the small number of urban migrants improved their wellbeing faster than did others such heterogeneity among migrants may be a reason behind the negligible attrition biases caused by the omission of migrants in the inference on the average behavioral coefficients among the original population

factors influencing the profitability of fertilizer use on maize in zambia major findings the additional maize produced from a given amount of fertilizer applied varied widely across households even after largely controlling for soil and rainfall conditions the median estimated response rate was 15 9kgs of maize per kg nitrogen applied under the range of conditions and smallholder management practices average maizefertilizer response rates declined as the application rate increased beyond 2 bags of urea and 2 bags of d compound factors raising the response rate and profitability of fertilizer use included timely availability application rates less than the moa 4x4 recommendation use of animal draft power in land preparation and use of hybrid seed in remote areas and given current management practices fertilizer use appears to be profitable only for a minority of smallholder farmers in the relatively remote areas for farmers in the more accessible areas profitability of fertilizer use depends on timely availability if fertilizer is not available on time even farmers in the more accessible parts of this area of relatively high agronomic suitability for maize production are largely unable to use fertilizer profitably because over 30 percent of the households reported that fertilizer was delivered late these findings indicate that efforts to ensure timely distribution can contribute substantially to the productivity gains achievable from fertilizer use

generalized methods of moments we provide a brief overview of applications of generalized method of moments in finance the models examined in the empirical finance literature especially in the asset pricing area often imply moment conditions that can be used in a straight forward way to estimate the model parameters without making strong assumptions regarding the stochastic properties of variables observed by the econometrician typically the number of moment conditions available to the econometrician would exceed the number of model parameters this gives rise to overidentifying restrictions that can be used to test the validity of the model specifications these advantages have led to the widespread use of the generalized method of moments in the empirical finance literature

cash transfers and labor supply evidence from a large scale program in iran abstract this paper examines the impact of a national cash transfer program on labor supply in iran in 2011 iran started monthly deposits of cash into individual accounts covering more than 70 million people and amounting to 28 of the median per capita household income the payments were compensation for the sudden removal of hefty energy subsidies the program has been heavily criticized for its disincentive for work especially for the poor we use panel data to study the causal effect of the transfers on labor supply using exogenous variation in the time households first started receiving transfers and in the intensity of treatment which we define as the share of net transfers from the program in total per capita household expenditures we find no evidence that cash transfers reduced labor supply in terms of hours worked or labor force participation to the contrary we find positive effects on the labor supply of women and self employed men

experimental estimates of education production functions this paper analyzes data on 11 600 students and their teachers who were randomly assigned to different size classes from kindergarten through third grade statistical methods are used to adjust for nonrandom attrition and transitions between classes the main conclusions are 1 on average performance on standardized tests increases by four percentile points the first year students attend small classes 2 the test score advantage of students in small classes expands by about one percentile point per year in subsequent years 3 teacher aides and measured teacher characteristics have little effect 4 class size has a larger effect for minority students and those on free lunch 5 hawthorne effects were unlikely

structural estimation of family labor supply with taxes estimating a continuous hours model using a direct utility specification this paper proposes a new method for estimating family labor supply in the presence of taxes this method accounts for continuous hours choices measurement error unobserved heterogeneity in tastes for work the nonlinear form of the tax code and fixed costs of work in one comprehensive specification estimated on data from the 2001 psid the resulting elasticities for married males are consistent with those found elsewhere in the literature but female wage elasticities are substantially smaller than those found in most of the literature simulations of recent tax acts predict small effects on the labor supply of married couples

testing asset pricing models with coskewness in this article we investigate portfolio coskewness using a quadratic market model as a return generating process we show that the portfolios of small large firms have negative positive coskewness with the market we test an asset pricing model including coskewness by checking the validity of the restrictions that it imposes on the return generating process we find evidence of an additional component in expected excess returns which is not explained by either covariance or coskewness with the market however this unexplained component is homogeneous across portfolios in our sample and modest in magnitude finally we investigate the implications of erroneously neglecting coskewness for testing asset pricing models with particular attention to the empirically detected explanatory power of firm size

technological diversity uncertainty and innovation performance abstractwe analyse the impact of technological diversity on innovation performance in the discovery stage measured by r d intensity and patent applications and in the commercialization stage mea

how does your kindergarten classroom affect your earnings evidence from project star in project star 11 571 students in tennessee and their teachers were randomly assigned to classrooms within their schools from kindergarten to third grade this article evaluates the long term impacts of star by linking the experimental data to administrative records we first demonstrate that kindergarten test scores are highly correlated with outcomes such as earnings at age 27 college attendance home ownership and retirement savings we then document four sets of experimental impacts first students in small classes are significantly more likely to attend college and exhibit improvements on other outcomes class size does not have a significant effect on earnings at age 27 but this effect is imprecisely estimated second students who had a more experienced teacher in kindergarten have higher earnings third an analysis of variance reveals significant classroom effects on earnings students who were randomly assigned to higher quality classrooms in grades k 3 as measured by classmates end of class test scores have higher earnings college attendance rates and other outcomes finally the effects of class quality fade out on test scores in later grades but gains in noncognitive measures persist

premarital childbearing and welfare receipt the role of mothers receipt this study uses the 1968 91 panel study of income dynamics psid to examine the relationship between mothers receipt of aid to families with dependent children afdc welfare benefits and their d

a longitudinal analysis of sibling correlations in economic status numerous previous studies have used sibling correlations to measure the importance of family background as a determinant of economic status the sibling correlations estimated in these studies however have been depressed by a failure to distinguish transitory and permanent income variation and in some cases by overly homogeneous samples this paper presents a methodology to address these problems and applies it to longitudinal data from the panel study of income dynamics our main conclusion is that family background exerts greater influence on economic status than has been indicated by most earlier research

the panel study of income dynamics after fourteen years an evaluation this article considers the representativeness of the panel study of income dynamics psid over its 14 year history from 1968 to 1981 given the dynamics of entry and exit from the panel by 1981 40 of the original members had left the sample and were replaced by new entrants who joined either existing households or new households being formed by members of the original sample we consider the distribution of demographic characteristics and earnings equations over time and we compare the psid with the current population survey cps by either approach we find little evidence that the psid has become unrepresentative

gmm tests of stochastic discount factor models with useless factors abstract this paper studies generalized method of moments tests for the stochastic discount factor representation of asset pricing models when one of the proposed factors is in fact useless defined as being independent of the asset returns analytic results on asymptotic distributions and simulation results on finite sample distributions both show that i the wald test tends to overreject the hypothesis of a zero factor premium for a useless factor when the model is misspecified ii with the presence of a useless factor the power of the over identifying restriction test in rejecting misspecified models is reduced and in some cases a misspecified model with a useless factor is more likely to be accepted than the true model

conditional volatility skewness and kurtosis existence persistence and comovements abstract recent portfolio choice asset pricing value at risk and option valuation models highlight the importance of modeling the asymmetry and tail fatness of returns these characteristics are captured by the skewness and the kurtosis we characterize the maximal range of skewness and kurtosis for which a density exists and show that the generalized student t distribution spans a large domain in the maximal set we use this distribution to model innovations of a garch type model where parameters are conditional after demonstrating that an autoregressive specification of the parameters may yield spurious results we estimate and test restrictions of the model for a set of daily stock index and foreign exchange returns the estimation is implemented as a constrained optimization via a sequential quadratic programming algorithm adequacy tests demonstrate the importance of a time varying distribution for the innovations in almost all series we find time dependency of the asymmetry parameter whereas the degree of freedom parameter is generally found to be constant over time we also provide evidence that skewness is strongly persistent but kurtosis is much less so a simulation validates our estimations and we conjecture that normality holds for the estimates in a cross section setting we also document covariability of moments beyond volatility suggesting that extreme realizations tend to occur simultaneously on different markets

income taxes and the timing of marital decisions abstract in this paper we estimate the impact of the federal individual income tax on the timing of marital decisions anecdotal evidence suggests that the tax penalty often associated with marriage contributes to the decision of when to marry using household data from the panel study on income dynamics we estimate various models of the probability of delaying marriage as a function of the change in tax burden caused by marriage as well as several other variables we find that there is a significant positive relationship between the marriage penalty in a year and the probability of delaying marriage until the following year the magnitude of the effect however is small

in state versus out of state students the divergence of interest between public universities and state governments abstract this paper examines the divergence of interest between universities and state governments concerning standards for admitting in state versus out of state students we find that public universities set lower minimum admission standards for in state than out of state applicants presumably in response to state pressure while private universities treat both groups equally however we also find that favoring in state applicants goes against states long term financial interest this is because marginal out of state students pay higher tuition than marginal in state students pay more in future state taxes and are equally influenced in whether they locate in the state after graduation by attending public university there

a critique of the stochastic discount factor methodology in this paper we point out that the widely used stochastic discount factor sdf methodology ignores a fully specified model for asset returns as a result it suffers from two potential problems when asset returns follow a linear factor model the first problem is that the risk premium estimate from the sdf methodology is unreliable the second problem is that the specification test under the sdf methodology has very low power in detecting misspecified models traditional methodologies typically incorporate a fully specified model for asset returns and they can perform substantially better than the sdf methodology asset pricing theories such as those of sharpe 1964 lintner 1965 black 1972 merton 1973 ross 1976 and breeden 1979 show that the expected return on a financial asset is a linear function of its covariances or betas with some systematic risk factors this implication has been tested extensively in the finance literature by the so called traditional methodologies in the traditional methodologies a data generating process is first proposed for the returns and then the restrictions imposed by an asset pricing model are tested as parametric constraints on the return generating process the approach taken by the traditional methodologies has a potential problem which is that when the proposed return generating process is misspecified the test results could be misleading therefore in applying the traditional methodologies researchers typically have to justify that the proposed data generating process provides a good description of the returns for example when the proposed return generating process is a factor model one would like the model to have high r 2 in explaining the returns on the test assets especially when the test assets are well diversified portfolios as many of the earlier theories are special cases of the stochastic discount factor sdf model recent empirical asset pricing studies have been focused on testing the pricing restrictions in terms of the sdf model rather

local response to fiscal incentives in heterogeneous communities abstract i examine the impact of a property tax relief program in new york state that lowered the marginal cost of school expenditure to homeowners i find that a typical school district which received 20 of its revenue through the program in the school year 2001 2002 raised expenditure by 4 1 and local property taxes by 6 8 in response to the program i then examine how the preferences of various groups of local taxpayers affect educational spending by identifying systematic variation across districts in the response to fiscal incentives these results support the hypothesis that homeowners are more influential on local expenditure decisions than renters owners of second homes or owners of non residential property

household inequality entrepreneurial dynamism and corporate financing economic theories provide conflicting hypotheses on how wealth inequality affects entrepreneurial dynamism to empirically investigate its impact we construct local measures of household wealth inequality based on financial rents home equity and 1880 farmland we identify its effects on entrepreneurship by instrumenting it with land distribution under the 1862 homestead act or us states removal of death taxes wealth inequality decreases firm entry and exit and the proportion of high tech businesses across metropolitan statistical areas there is also less redistribution into public goods supportive of entrepreneurship such as schooling and the judiciary income per capita consequently grows more slowly

land accumulation dynamics in developing country agriculture abstractunderstanding land accumulation dynamics is relevant for policy makers interested in the economic effects of land inequality in developing country agriculture we thus explore and simultaneously test the leading theories of micro level land accumulation dynamics using unique panel data from paraguay the results suggest that farm growth varies systematically with farm size a formal rejection of stochastic growth theories that is gibrat s law and that titled land area may have considerable influence on land accumulation furthermore our estimates indicate that a dualistic agrarian structure is the likely product of the unfettered operation of land markets