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Job Market Paper ''Switching Regression Estimates of Limited Financial Market Participation Models: An Application to Intergenerational Economic Transmission in the United States'' (under review) PDF version: 01-01-2008 Abstract: In estimating limited financial market participation models where individual participation status is imperfectly measured, misclassification error due to the presence of measurement error and unobserved heterogeneity causes attenuation bias in estimates. I reinterpret this problem into a switching regression model with imperfect sample separation. The approximate validity of this imperfect measure of true status is essential in model identification. The framework is applied to a PSID intergenerational sample to examine how imperfect capital markets in intergenerational human capital investment affect intergenerational consumption persistence. I find that switching regression estimates of consumption differ remarkably from OLS estimates, are more robust, and fit data better. Economic interpretations of estimates reveal that about 15% of families in the United States are borrowing constrained, and that constrained families demonstrate a higher degree of consumption persistence than unconstrained ones. Research Papers ''A Semi-parametric Control Approach to Estimate Causal Effects of Environmental Factors on Life-Cycle Health Outcome'', PDF version: 02-09-2007 Abstract: This paper specifies an econometric model to estimate the causal effects of environmental factors on individuals' life-cycle health outcomes, and outlines a semiparametric control function approach to test and correct for possible selectivity bias that may arise due to endogenous choice of residence by individuals. I show how to map Union Army Sample data to elements of this model in practice. ''A Note on the Steady State of Intergenerational Human Capital Investment with Borrowing Constraints'', PDF version: 01-02-2007 Abstract: I prove that in a dynamic infinite-generation setting, under certain set of assumptions, the joint distribution of index (ranking) of income, ability and consumption among the families in the economy, as well as the proportion of those whose borrowing constraints are binding in intergenerational human capital investment, converges stochastically to an existing steady state. ''Inheritance, Borrowing Constraints and Intergenerational Mobility: A Tale of Two Criteria'', PDF version: 02-20-2006 Abstract: I test intergenerational mobility implications derived from standard human capital approach by using actual inheritance as the indicator of binding borrowing constraints in intergenerational human capital investment, which differs from previous studies that use expected inheritance as the indicator. The tests favor some, if not all, of these implications, in contrast to what previous studies have established. I show preliminary evidence suggesting the source of this discrepancy. Work In Progress ''Rare Events, Culture and Equity Premium: A Cross-Country Investigation'' joint with Robert Atra ''Switching Regression Estimates of Elasticity of Intertemporal Substitution: Stockholders versus Non-stockholders'' |
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