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Instrumental Variables Techniques (instrumental + variable_techniques)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting75%

Selected Abstracts

Intergenerational Welfare Participation in New Zealand

AUSTRALIAN ECONOMIC PAPERS, Issue 3 2003
Tim Maloney
New Zealand panel data, which provide extensive information on the benefit histories of parents and their children, are used to estimate an intergenerational correlation coefficient in social welfare dependency. Recent estimation techniques for addressing issues of measurement error are applied to this analysis. The long-term benefit histories of parents and instrumental variable techniques provide useful lower and upper-bound estimates of the true intergenerational correlation. Our results suggest that the true correlation coefficient between the welfare participation of parents and their offspring is somewhere between one-third and two-thirds, but probably much closer to the lower limit in this range. Approximately one-quarter of this effect appears to operate through the lower educational attainment of children reared in families receiving social welfare benefits. [source]

Does the Impact of Managed Care on Substance Abuse Treatment Services Vary by Provider Profit Status?

HEALTH SERVICES RESEARCH, Issue 6p1 2005
Todd A. Olmstead
Objective. To extend our previous research by determining whether, and how, the impact of managed care (MC) on substance abuse treatment (SAT) services differs by facility ownership. Data Sources. The 2000 National Survey of Substance Abuse Treatment Services, which is designed to collect data on service offerings and other characteristics of SAT facilities in the U.S. These data are merged with data from the 2002 Area Resource File, a county-specific database containing information on population and MC activity. We use data on 10,513 facilities, virtually a census of all SAT facilities. Study Design. For each facility ownership type (for-profit [FP], not-for-profit [NFP], public), we estimate the impact of MC on the number and types of SAT services offered. We use instrumental variables techniques that account for possible endogeneity between facilities' involvement in MC and service offerings. Principal Findings. We find that the impact of MC on SAT service offerings differs in magnitude and direction by facility ownership. On average, MC causes FPs to offer approximately four additional services, causes publics to offer approximately four fewer services, and has no impact on the number of services offered by NFPs. The differential impact of MC on FPs and publics appears to be concentrated in therapy/counseling, medical testing, and transitional services. Conclusion. Our findings raise policy concerns that MC may reduce the quality of care provided by public SAT facilities by limiting the range of services offered. On the other hand, we find that FP clinics increase their range of services. One explanation is that MC results in standardization of service offerings across facilities of different ownership type. Further research is needed to better understand both the specific mechanisms of MC on SAT and the net impact on society. [source]

The relation between implied and realised volatility in the Danish option and equity markets

ACCOUNTING & FINANCE, Issue 3 2001
Charlotte Strunk Hansen
We show that the conclusions to be drawn concerning the informational efficiency of illiquid options markets depend critically on whether one carefully recognises and appropriately deals with the econometrics of the errors-in-variables problem. This paper examines the information content of options on the Danish KFX share index. We consider the relation between the volatility implied in an option's price and the subsequently realised index return volatility. Since these options are traded infrequently and in low volumes, the errors-in-variables problem is potentially large. We address the problem directly using instrumental variables techniques. We find that when measurement errors are controlled for, call option prices even in this very illiquid market contain information about future realised volatility over and above the information contained in historical volatility. [source]

Is there a causal link between currency and debt crises?

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 4 2006
Axel Dreher
Abstract Though currency and debt crises quite often occur simultaneously, the links between these two types of crises are not well understood. We review how currency and debt crises could be related due to common causes, contagion effects from one crisis to the other, and complementary budget financing aspects. In an empirical analysis based on a panel of 80 countries over the period 1975,2000, we first investigate the determinants of each crisis separately. Then we estimate links between both crises employing instrumental variables techniques. We find that, while there is a negative lagged influence of currency crises on debt crises, currency crises significantly increase the risk of contemporaneous debt crises and vice versa. Copyright © 2006 John Wiley & Sons, Ltd. [source]