Autore
Oomen, Roel C. A.

Titolo
Using high frequency stock market index data to calculate, model & forecast realized return variance.
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 2001 - Fascicolo: 6 - Pagina iniziale: 1 - Pagina finale: 30

In this paper a model which relates a couple's divorce probability and fertility decision is developed. Theory predicts that couples with children are less likely to divorce, and conversely that couples with higher ex-ante divorce probabilities are less likely to give birth to children. The model's predictions are tested using the five waves 1990-95 of the German Socio-Economic Panel and of the Panel Study of Income Dynamics, and the five waves 1991-1996 of the British Household Panel Survey. The identification and estimation of the causal effect of fertility on divorce is based on instrumental variable estimation. The sex of the two previous children is chosen as an instrument for exogenous fertility movements. IV estimation results contrast strongly with simple OLS estimates. Once the problem of the endogeneity of fertility is taken explicitly into account, the implied instrumental variable estimate of the effect of fertility on divorce has positive and therefore opposite sign with respect to the conventional least squares estimates.



Testo completo: http://www.iue.it/PUB/ECO2001-6.pdf

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