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Using Common Features to Construct a Preference-Free Estimator of the Stochastic Discount Factor

Araujo, Fabio; Issler, Marcelo Fernandes e João Victor - Econometric Society - 2004

We propose a novel estimator for the stochastic discount factor (SDF) in a panel-data context. Under general conditions it depends exclusively on appropriate averages of asset returns, and its computation is a direct exercise, as long as one has enough observations to our asymptotic results. We...

Persistent link: https://www.econbiz.de/10005699583

Liquidity Discovery and Asset Pricing

Seppi, Duane; Gallmeyer, Michael; Hollifield, Burton - Econometric Society - 2004

preferences of future trading counter-parties causes randomness in future resale prices that we call liquidity risk. It is natural … to suppose that investors are asymmetrically informed about liquidity risk. Through a process of liquidity discovery …, trading volumes and prices reveal private information about future counter-party preferences. The liquidity discovery process …

Persistent link: https://www.econbiz.de/10005130211

Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market

Vigneron, Olivier; Gabaix, Xavier; Krishnamurthy, Arvind - Econometric Society - 2004

``Limits of Arbitrage" theories require that the marginal investor in a particular asset market be a specialized arbitrageur. Then the constraints faced by this arbitrageur (i.e. capital constraints) feed through into asset prices. We examine the mortgage-backed securities (MBS) market in this...

Persistent link: https://www.econbiz.de/10005130216

Strategic Competition Amongst Public Schools

Millimet, Daniel; Rangaprasad, Vasudha - Econometric Society - 2004

Researchers, policymakers, and parents are giving education reforms involving expanded school choice increased attention. Many view the heightened competition that would presumably result from such reforms as a panacea for the ills currently plaguing the public education system in the US....

Persistent link: https://www.econbiz.de/10005130208

Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions with Many Weak Instruments

Swanson, Norman R.; Chao, John C. - Econometric Society - 2004

This paper develops Wald-type tests for general (possibly nonlinear) restrictions in the context of a weakly-identified heteroskedastic IV regression. In particular, it is first shown that, in a framework with many weak instruments, consistency and asymptotic normality can be obtained when...

Persistent link: https://www.econbiz.de/10005342304

Estimation of a Panel Data Model with Parametric Temporal Variation in Individual Effects

Schmidt, Peter; Han, Chirok; Orea, Luis - Econometric Society - 2004

This paper considers models with time-varying individual effects (also known as factor models). The paper extends Ahn, Lee and Schmidt, Journal of Econometrics, 2001 and Bai, Econometrica, 2003 to allow a parametric function of time for the time factor. It provides a fixed-effects treatment of...

Persistent link: https://www.econbiz.de/10005342366

Shrinkage methods for instrumental variable estimation

Okui, Ryo - Econometric Society - 2004

This paper proposes shrinkage methods in instrumental variable estimations to solve the ``many instruments'' problem. Even though using a large number of instruments reduces the asymptotic variances of the estimators, it has been observed both in theoretical works and in practice that in finite...

Persistent link: https://www.econbiz.de/10005342378

Treatment Effect Heterogeneity in Theory and Practice

Angrist, Joshua - Econometric Society - 2004

Instrumental Variables (IV) methods identify internally valid causal effects for individuals whose treatment status is manipulable by the instrument at hand. Inference for other populations inevitably requires some sort of homogeneity assumption. I develop a simple theoretical framework that...

Persistent link: https://www.econbiz.de/10005328944

Some Results on the Asymptotic Normality of k-Class Estimators in the Case of Many Weak Instruments

Swanson, Norman R.; Chao, John C. - Econometric Society - 2004

This paper analyzes conditions under which various k-class estimators are asymptotically normal in a simultaneous equations framework with many weak instruments. In particular, our paper extends the many instruments asymptotic normality results obtained by Morimune (1983), Bekker (1994), Angrist...

Persistent link: https://www.econbiz.de/10005329031

Higher Order Expansions in the Weak Instrument Case

Suarez, Gustavo; Moreira, Marcelo J.; Porter, Jack R. - Econometric Society - 2004

We provide an argument for the limitation of Edgeworth expansions to many commonly used statistics in the weak instrument framework. However, we show that Edgeworth expansions hold for approximately similar tests regardless of the identification conditions. Finally, we consider simulation...

Persistent link: https://www.econbiz.de/10005699656

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