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Inference in Difference in Difference Models

Taber, Christopher; Conley, Timothy - Econometric Society - 2004

Difference in differences methods have become very popular in applied work. These models are typically quite easy to implement and to interpret. However, performing inference with these models is not. This paper addresses one particular aspect that is likely to be very important in most...

Persistent link: https://www.econbiz.de/10005328931

Bayesian Inference for Econometric Models using Empirical Likelihood Functions

Schorfheide, Frank; Moon, Hyungsik Roger - Econometric Society - 2004

Estimators based on moment conditions of the form E[g(X,t)], where t is a finite-dimensional parameter vector of interest, are a popular tool in applied econometrics. Unlike likelihood-based estimators, moment-based estimators do not require the researcher to specify the probability distribution...

Persistent link: https://www.econbiz.de/10005328951

Inference of Structural Econometric Models: A Unified Approach

Li, Tong - Econometric Society - 2004

This paper considers the parametric inference of a wide range of structural econometric models. The class of models considered includes those with parameter-dependent support and those derived from game-theoretic models. Inference of those models has raised some important econometric issues....

Persistent link: https://www.econbiz.de/10005328964

Generalized Indirect Inference for Discrete Choice Models

Anthony A. Smith, Jr.; Keane, Michael - Econometric Society - 2004

This paper develops and implements a practical simulation-based method for estimating dynamic discrete choice models. The method, which can accommodate lagged dependent variables, serially correlated errors, unobserved variables, and many alternatives, builds on the ideas of indirect inference....

Persistent link: https://www.econbiz.de/10005328984

Asymmetry of Information Flow Between Volatilities Across Time Scales

Gencay, Ramazan; Selcuk, Faruk - Econometric Society - 2004

Conventional time series analysis, focusing exclusively on a time series at a given scale, lacks the ability to explain the nature of the data generating process. A process equation that successfully explains daily price changes, for example, is unable to characterize the nature of hourly price...

Persistent link: https://www.econbiz.de/10005329008

Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes.

Rindisbacher, Marcel; Detemple, Jérôme; Garcia, René - Econometric Society - 2004

convergence of the Euler scheme. The limit distribution of this estimator is derived in explicit form and is found to be non …-stabilizing transformation is again found to increase the speed of convergence. For comparison we also study the Milshtein scheme. We derive new … convergence results for this scheme and show that it does not improve on the convergence properties of the Euler scheme with …

Persistent link: https://www.econbiz.de/10005329028

Tests of Functional Form and Heteroscedasticity

Tse, Z. L. Yang Y. K. - Econometric Society - 2004

This paper considers tests of misspecification in a heteroscedastic transformation model. We derive Lagrange multiplier (LM) statistics for (i) testing functional form and heteroscedasticity jointly, (ii) testing functional form in the presence of heteroscedasticity, and (iii) testing...

Persistent link: https://www.econbiz.de/10005342139

China's Income Distribution and Inequality

Perloff, Jeffrey M.; Wu, Ximing - Econometric Society - 2004

We use a new method to estimate Chinaâ€™s income distributions based on publicly available interval summary statistics from Chinaâ€™s largest national household survey. We examine rural, urban, and overall income distributions for each year from 1985-2001. By estimating the entire...

Persistent link: https://www.econbiz.de/10005342276

A Bayesian MCMC Algorithm for Markov Switching GARCH models

Das, Dhiman; Yoo, B. Hark - Econometric Society - 2004

Markov switching GARCH models have been developed in order to address the statistical regularity observed in financial time series such as strong persistence of conditional variance. However, Maximum Likelihood Estimation faces a implementation problem since the conditional variance depends on...

Persistent link: https://www.econbiz.de/10005342298

Time Series Behaviour of Stock Trading Volume:An Evidence from Indian Stock Market

Kumar, Alok - Econometric Society - 2004

In this paper, we attempt to study the time series dynamics of the stock trading volume, or equivalently stock turnover using recently available data for individual stocks traded on the Bombay Stock Exchange (BSE) and the National Stock Exchange (NSE). Stock turnover has been studied intensively...

Persistent link: https://www.econbiz.de/10005342341