Essays in applied econometrics

  • Aufsätze in angewandter Ökonometrie

Ghosh, Raoul; Balleer, Almut (Thesis advisor); Bachmann, Rüdiger (Thesis advisor)

Aachen (2016)
Dissertation / PhD Thesis

Dissertation, Rheinisch-Westfälische Technische Hochschule Aachen, 2016

Abstract

Chapter 1: Multivariate Nonparametric Kernel-Based Indirect-Inference Estimation of Dynamic Latent Variable ModelsI implement a multivariate version of the kernel-based indirect inference estimator (KII) by Billio and Montfort (2003). My implementation is based on the Nadaraya-Watson kernel estimator or local constant regression. I gather evidence from Monte Carlo simulations on the small sample properties of KII and compare them to those of the method of simulated moments which is often used in the literature to estimate dynamic latent variables models. Run time is at most two times higher for KII, but the standard errors and the estimated mean squared errors are of the same order of magnitude for both methods. Chapter 2: Dynamic Labor Demand in Germany: Labor Adjustment Costs at the Establishment LevelThis paper quantifies the labor adjustment costs of German firms since the reunification. I specify a dynamic optimization problem at the establishment level with combinations of continuous and discrete employment adjustment costs, specifically quadratic, fixed and disruption costs. I then use a kernel-based indirect inference approach to estimate the structural parameters of the model by matching conditional moments estimated from the German social security statistics in the Establishment History Panel. I find that a model with only fixed adjustment costs matches the data the closest. My simulations calculate the ratio of the labor adjustment costs to profits as around 13 per cent and the ratio of labor adjustment costs to wages as around 19 per cent. Chapter 3: Consumption inequality in post-unification Germany (joint work with Andreas Schmalzbauer)We document trends in consumption inequality for Germany from 1993 to 2013. While consumption inequality has increased moderately in unified and West Germany, it has strongly trended upwards in East Germany, converging to the western level. Moreover, consumption inequality growth has exceeded disposable income inequality growth over the same period. We decompose the changes in consumption inequality and find that the increase in consumption inequality is largely driven by changes in the socio-demographic composition of households and by the increased unemployment in East Germany following the deindustrialization after the unification. But not only has relative consumption inequality increased also the absolute level of consumption has fallen for the poorest households in both East and West Germany.