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We show how to account for differentials in demographic variables, in particular mortality, when performing welfare comparisons over time. The idea is to apply various ways of "correcting" estimated income distribution measures for "sample selection" due to differential mortality. We distinguish the direct effect of mortality, i.e. individuals who die leave the population and no longer contribute to monetary welfare, from the indirect effect, i.e. the impact on survivors in the deceased's household who may experience a decrease or increase in monetary welfare. In the case of Indonesia, we show that the direct and indirect effects of mortality on income distribution have opposite signs, but are roughly the same in magnitude. Moreover, the effects of other demographic changes dominate the effects of mortality, whether direct or indirect. However, in the post-crisis period these demographic changes also explain a substantial part of the overall change in the distribution of income. 相似文献
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Philippe Cogneau 《Quantitative Finance》2013,13(9):1443-1457
Financial advisors commonly recommend that the investment horizon should be rather long in order to benefit from the ‘time diversification’. In this case, in order to choose the optimal portfolio, it is necessary to estimate the risk and reward of several alternative portfolios over a long-run given a sample of observations over a short-run. Two interrelated obstacles in these estimations are lack of sufficient data and the uncertainty in the nature of the return generating process. To overcome these obstacles researchers rely heavily on block bootstrap methods. In this paper we demonstrate that the estimates provided by a block bootstrap method are generally biased and we propose two methods of bias reduction. We show that an improper use of a block bootstrap method usually causes underestimation of the risk of a portfolio whose returns are independent over time and overestimation of the risk of a portfolio whose returns are mean-reverting. 相似文献
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