김덕파 교수

SUMMARY This paper estimates the effects of unilateral divorce laws on divorce rates in the USA from a panel of state‐level divorce rates. We use the interactive fixed‐effects model to address the issue of endogeneity due to the association between cross‐state unobserved heterogeneity and divorce law reforms. We document that earlier studies in the literature do not fully control for unobserved heterogeneity and result in mixed empirical evidence on the effects of divorce law reforms. While reco

In this paper, I analyse issues related to the estimation of a common break in a large panel of time series data. Each series in the panel consists of a linear time trend and a random error. The linear time trend is subject to a break that occurs at the same date for all series. The error term is cross-sectionally correlated through a factor structure. The break date is estimated jointly with the common factors. In particular, two break date estimators are analysed: the first is obtained as an i

We consider a set of variables with two types of nonstationary features, stochastic trends and broken linear trends. We develop tests that can determine whether there is a linear combination of these variables under which the nonstationary features can be canceled out. The first test can determine whether stochastic trends can be eliminated and thus whether cointegration holds, regardless of whether structural breaks in linear trends are eliminated. The second test can determine whether both sto

This paper extends the Andrews (2002, Econometrica 71, 1661–1694) and Andrews and Kim (2006, Journal of Business & Economic Statistics 24, 379–394) ordinary least squares–based end-of-sample instability tests for linear regression models. The author proposes to quasi-difference the data first using a consistent estimate of the sum of the autoregressive coefficients of the error process and then test for the end-of-sample instability. For the cointegration model, the feasible quasi-generalize

농가경제조사의 2003년에서 2022년까지 9개 도에 대한 농업소득 및 농업생산성 자료를 이용하여 연평균 기온과 강수량의 변화가 농가소득에 미친 영향을 실증분석하였다. 농업소득과 농업생산성을 자가영농시간으로 표준화하였을 때 기온의 영향이 가장 잘 나타났다. 자본재의 양으로 표준화하였을 때도 비슷한 결과가 얻어졌으나 경지면적으로 표준화하였을 때는 다소 다른 결과가 얻어졌다. 자가영농시간으로 표준화하여 얻은 결과를 보면 기온의 한계효과가 기온 수준에 따라 달라지며 13℃ 안팎에서 양에서 음으로 바뀌는 것으로 나타났다. 또한 지역별로 다른 한계효과를 허용하는 모형에서는 온도가 낮은 편인 중부지방에서 대체로 양의 효과가 있고 온도가 높은 편인 남부지방에서 대체로 음의 효과가 있는 것으로 나타났다.

Earlier attempts to find evidence of time varying coefficients in the U.S. monetary vector autoregression have been only partially successful. Structural break tests applied to typical data sets often fail to reject the null hypothesis of no break. Bayesian inferences using time varying parameter vector autoregressions provide posterior median values that capture some important movements over time, but the associated confidence intervals are often very wide and make the entire results less concl