Contributions published at Statistics and Empirical Economic Research (Rainer Winkelmann)

We bring together some recent advances in the literature on vector autoregressive moving-average models creating a simple specification and estimation strategy for the cointegrated case. We show that in this case with fixed initial values there exists a socalled final moving-average representation. We proof that the specification strategy is consistent. The performance of the proposed method is investigated via a Monte Carlo study and a forecasting exercise for US interest rates. We find that our method performs well relative to alternative approaches for cointegrated series and methods which do not allow for moving-average terms.

This paper studies the evolution of life satisfaction over the life course in Germany. It clarifies the causal interpretation of the econometric model by discussing the choice of control variables and the underidentification between age, cohort and time effects. The empirical part analyzes the distribution of life satisfaction over the life course at the aggregated, subgroup and individual level. To the findings: On average, life satisfaction is mildly decreasing up to age fifty-five followed by a hump shape with a maximum at seventy. The analysis at the lower levels suggests that people differ in their life satisfaction trends, whereas the hump shape after age fifty-five is robust. No important differences between men and women are found. In contrast, education groups differ in their trends: highly educated people become happier over the life cycle, where life satisfaction decreases for less educated people.

This paper is concerned with the analysis of zero-inflated count data when time of exposure varies. It proposes a modified zero-inflated count data model where the probability of an extra zero is derived from an underlying duration model with Weibull hazard rate. The new model is compared to the standard Poisson model with logit zero-inflation in an application to the effect of treatment with thiotepa on the number of new bladder tumors.

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Applications of zero-inflated count data models have proliferated in health economics. However, zero-inflated Poisson or zero-inflated negative binomial maximum likelihood estimators are not robust to misspecification. This article proposes Poisson quasi-likelihood estimators as an alternative. These estimators are consistent in the presence of excess zeros without having to specify the full distribution. The advantages of the Poisson quasi-likelihood approach are illustrated in a series of Monte Carlo simulations and in an application to the demand for health services.

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The bivariate probit model is frequently used for estimating the effect of an endogenous binary regressor (the ‘treatment’) on a binary health outcome variable. This paper discusses simple modifications that maintain the probit assumption for the marginal distributions while introducing non-normal dependence using copulas. In an application of the copula bivariate probit model to the effect of insurance status on the absence of ambulatory health care expenditure, a model based on the Frank copula outperforms the standard bivariate probit model.

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This paper examines the relationship between parenthood and life satisfaction using longitudinal data on women from the German Socio-Economic Panel. Previous studies have focused on satisfaction differences between parents and comparable childless adults, mostly finding small and often negative effects of parenthood. These comparisons of ex-post similar individuals are problematic if a self-selection into motherhood exists. In this study we examine the selection issue in detail by exploiting the extended longitudinal dimension of the panel to track self-reported life satisfaction of women eventually to become mothers and of women eventually attaining a completed fertility of zero. We document that these groups' satisfaction paths diverge around five years before mothers' first birth, even after adjusting for differences in observables. In our estimations, we employ matching and regression techniques which account for this selection into motherhood. We find motherhood to be associated with substantial positive satisfaction gains.

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The paper proposes a new estimator for the fixed effects ordered logit model. In contrast to existing methods, the new procedure allows estimating the thresholds. The empirical relevance and simplicity of implementation is illustrated in an application to the effect of unemployment on life satisfaction.