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Commuters' Preferences for Fast and Reliable Travel

Koster, Paul; Koster, Hans - Tinbergen Instituut - 2013

We employ a semi-parametric estimation approach to analyse observed and unobserved heterogeneity in the value of … heterogeneity in preferences in a flexible way, meaning that we do not put any structure on how individual characteristics (such as …, we illustrate the estimation approach and find that there is substantial heterogeneity in the value of savings in travel …

Persistent link: https://www.econbiz.de/10011271951

Inference of Bidders' Risk Attitudes in Ascending Auctions with Endogenous Entry

Fang, Hanming; Tang, Xun - National Bureau of Economic Research (NBER) - 2013

Bidders' risk attitudes have key implications for choices of revenue-maximizing auction formats. In ascending auctions, bid distributions do not provide information about risk preference. We infer risk attitudes using distributions of transaction prices and participation decisions in ascending...

Persistent link: https://www.econbiz.de/10011272301

A K-sample Homogeneity Test based on the Quantification of the p-p Plot

Hinloopen, Jeroen; Wagenvoort, Rien; Marrewijk, Charles van - Tinbergen Instituut - 2008

We propose a quantification of the p-p plot that assigns equal weight to all distances between the respective distributions: the surface between the p-p plot and the diagonal. This surface is labelled the Harmonic Weighted Mass (HWM) index. We introduce the diagonal-deviation (d-d) plot that...

Persistent link: https://www.econbiz.de/10011255562

Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts

Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Instituut - 2008

This discussion paper resulted in a publication in the Journal of Economic Dynamics & Control, 34(9), 1596-1609. We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information...

Persistent link: https://www.econbiz.de/10011256012

Inferences from Parametric and Non-Parametric Covariance Matrix Estimation Procedures

Levin, Andrew Theo; Haan, Wouter J. Den - National Bureau of Economic Research (NBER) - 1996

In this paper, we propose a parametric spectral estimation procedure for constructing heteroskedasticity and autocorrelation consistent (HAC) covariance matrices. We establish the consistency of this procedure under very general conditions similar to those considered in previous research, and we...

Persistent link: https://www.econbiz.de/10005248973

Testing Conditional Factor Models

Ang, Andrew; Kristensen, Dennis - National Bureau of Economic Research (NBER) - 2011

Using nonparametric techniques, we develop a methodology for estimating conditional alphas and betas and long-run alphas and betas, which are the averages of conditional alphas and betas, respectively, across time. The tests can be performed for a single asset or jointly across portfolios. The...

Persistent link: https://www.econbiz.de/10009359903

Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data

Ait-Sahalia, Yacine; Jacod, Jean - National Bureau of Economic Research (NBER) - 2010

This paper describes a simple yet powerful methodology to decompose asset returns sampled at high frequency into their base components (continuous, small jumps, large jumps), determine the relative magnitude of the components, and analyze the finer characteristics of these components such as the...

Persistent link: https://www.econbiz.de/10008597185

Maximum score estimation of preference parameters for a binary choice model under uncertainty

Chen, Le-Yu; Sokbae 'Simon' Lee; Sung, Myung Jae - Centre for Microdata Methods and Practice (CEMMAP) - 2013

This paper develops maximum score estimation of preference parameters in the binary choice model under uncertainty in which the decision rule is affected by conditional expectations. The preference parameters are estimated in two stages: we estimate conditional expectations nonparametrically in...

Persistent link: https://www.econbiz.de/10010640964

Local GEL methods for conditional moment restrictions

Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2005

The principal purpose of this paper is to adapt to the conditional moment context the GEL unconditional moment methods described in Smith(1997, 2001) and Newey and Smith(2004). In particular we develop GEL estimators which achieve the semiparametric efficiency lower bound. The requisite GEL...

Persistent link: https://www.econbiz.de/10005727678

Instrumental variable estimation with heteroskedasticity and many instruments

Hausman, Jerry; Newey, Whitney; Woutersen, Tiemen; … - Centre for Microdata Methods and Practice (CEMMAP) - 2007

It is common practice in econometrics to correct for heteroskedasticity.This paper corrects instrumental variables estimators with many instruments for heteroskedasticity.We give heteroskedasticity robust versions of the limited information maximum likelihood (LIML) and Fuller (1977, FULL)...

Persistent link: https://www.econbiz.de/10005727684

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