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A Practical Guide to Endogeneity Correction Using Copulas
Qian, Yi; Koschmann, Anthony; Xie, Hui - National Bureau of Economic Research - 2024
Causal inference is of central interests in many empirical applications yet often challenging because of the presence of endogenous regressors. The classical approach to the problem requires using instrumental variables that must satisfy the stringent condition of exclusion restriction. At the...
Persistent link: https://www.econbiz.de/10014512085
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FINANCIAL VALUATION AND ECONOMETRICS
Lim, Kian Guan - World Scientific Publishing Co. Pte. Ltd.
This book brings together domains in financial asset pricing and valuation, financial investment theory, econometrics … modeling, and the empirical analyses of financial data by applying appropriate econometric techniques. These domains are highly … performing financial forecasts or empirical modeling who will find it refreshing to see how forecasting is not simply running a …
Persistent link: https://www.econbiz.de/10010728951
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A Local Projections Approach to Difference-in-Differences Event Studies
Dube, Arindrajit; Girardi, Daniele; Jordà, Òscar; … - National Bureau of Economic Research - 2023
Many of the challenges in the estimation of dynamic heterogeneous treatment effects can be resolved with local projection (LP) estimators of the sort used in applied macroeconometrics. This approach provides a convenient alternative to the more complicated solutions proposed in the recent...
Persistent link: https://www.econbiz.de/10014250201
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Chapter 28 The Econometrics of Military Arms Races
Dunne, J. Paul; Smith, Ron P. - In: Handbook of defense economics : volume 2, Defense in a …, (pp. 913-940). 2007
hostile powers. As econometrics involves the synthesis of theory, data and statistical methods, in reviewing the econometrics …
Persistent link: https://www.econbiz.de/10014024401
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Chapter 3. Spatial Methods
Gibbons, Steve; Overman, Henry G.; Patacchini, Eleonora - In: Handbook of regional and urban economics : volume 5, (pp. 115-168). 2015
This chapter is concerned with methods for analyzing spatial data. After initial discussion of the nature of spatial data, including the concept of randomness, we focus most of our attention on linear regression models that involve interactions between agents across space. The introduction of...
Persistent link: https://www.econbiz.de/10014025316
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Business cycle measurement with semantic filtering : a micro data approach
Müller-Kademann, Christian; Köberl, Eva - 2008
In this paper we develop a business cycle measure that can be shown to have excellent ex-ante forecasting properties for GDP growth. For identifying business cycle movements, we use a semantic approach. We infer nine different states of the economy directly from firms' responses in business...
Persistent link: https://www.econbiz.de/10003908417
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Spain in the euro : a general equilibrium analysis
Andrés, Javier; Hurtado, Samuel; Ortega, Eva; Thomas, … - In: SERIEs : Journal of the Spanish Economic Association 1 (2010) 1/2, pp. 67-95
Bayesian dynamic stochastic general equilibrium (DSGE) models combine microeconomic behavioural foundations with a full-system Bayesian likelihood estimation approach using key macro-economic variables. Because of the usefulness of this class ofmodels for addressing questions regarding the...
Persistent link: https://www.econbiz.de/10009355420
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DSGE models and their use at the ECB
Smets, Frank; Christoffel, Kai; Coenen, Günter; Motto, … - In: SERIEs : Journal of the Spanish Economic Association 1 (2010) 1/2, pp. 51-65
Bayesian dynamic stochastic general equilibrium (DSGE) models combine microeconomic behavioural foundations with a full-system Bayesian likelihood estimation approach using key macro-economic variables. Because of the usefulness of this class of models for addressing questions regarding the...
Persistent link: https://www.econbiz.de/10009355421
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An application of models of speculative behaviour to oil prices
Shi, Shu-ping; Arora, Vipin - 2011
We estimate three different models of speculative behaviour using oil price data. There are two major results: (i) The three-regime model of Brooks and Katsaris (2005) and a three-regime variant of van Norden and Schaller (2002) fit the oil price data reasonably well; and (ii) Both models show...
Persistent link: https://www.econbiz.de/10009153468
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Variance bounds on the permanent and transitory components of stochastic discount factors
Bakshi, Gurdip S.; Chabi-Yo, Fousseni - 2011
In this paper, we develop lower bounds on the variance of the permanent component and the transitory component, and on the variance of the ratio of the permanent to the transitory components of SDFs. Exactly solved eigenfunction problems are then used to study the empirical attributes of asset...
Persistent link: https://www.econbiz.de/10009507305