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Testing CAPM with a Large Number of Assets
Pesaran, M. Hashem; Yamagata, Takashi - Institute for the Study of Labor (IZA) - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...
Persistent link: https://www.econbiz.de/10010550527
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Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models
Hayakawa, Kazuhiko; Pesaran, M. Hashem - Institute for the Study of Labor (IZA) - 2012
This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao … trivial due to the incidental parameters problem that arises, and its implications for estimation and inference. We approach …
Persistent link: https://www.econbiz.de/10010552471
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Belief Elicitation in Experiments: Is there a Hedging Problem?
Blanco, Mariana; Engelmann, Dirk; Koch, Alexander K.; … - Institute for the Study of Labor (IZA) - 2008
existing belief elicitation results, (ii) can we avoid potential hedging confounds? Our results instill confidence regarding … both issues. We propose an experimental design that eliminates hedging opportunities, and use this to test for the … empirical relevance of hedging effects in the lab. We find no evidence for hedging, comparing the standard “hedging …
Persistent link: https://www.econbiz.de/10005761772
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Learning to Take Risks? The Effect of Education on Risk-Taking in Financial Markets
Black, Sandra E.; Devereux, Paul J.; Lundborg, Petter; … - Institute for the Study of Labor (IZA) - 2015
We investigate whether acquiring more education when young has long-term effects on risk-taking behavior in financial markets and whether the effects spill over to spouses and children. There is substantial evidence that more educated people are more likely to invest in the stock market....
Persistent link: https://www.econbiz.de/10011206862
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How Prediction Markets Can Save Event Studies
Snowberg, Erik; Wolfers, Justin; Zitzewitz, Eric - Institute for the Study of Labor (IZA) - 2011
This review paper articulates the relationship between prediction market data and event studies, with a special focus on applications in political economy. Event studies have been used to address a variety of political economy questions – from the economic effects of party control of...
Persistent link: https://www.econbiz.de/10009371908
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Testing Weak Cross-Sectional Dependence in Large Panels
Pesaran, M. Hashem - Institute for the Study of Labor (IZA) - 2012
This paper considers testing the hypothesis that errors in a panel data model are weakly cross sectionally dependent, using the exponent of cross-sectional dependence α, introduced recently in Bailey, Kapetanios and Pesaran (2012). It is shown that the implicit null of the CD test depends on...
Persistent link: https://www.econbiz.de/10010990929
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Modelling Heaped Duration Data: An Application to Neonatal Mortality
Arulampalam, Wiji; Corradi, Valentina; Gutknecht, Daniel - Institute for the Study of Labor (IZA) - 2014
of this paper is to provide a set of sufficient conditions for identification and consistent estimation of the baseline … findings do not confirm the latter, they do indicate that accounting for heaping matters for the estimation of the baseline …
Persistent link: https://www.econbiz.de/10010959662
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Public and Private Sector Jobs, Unreported Income and Consumption Gap in India: Evidence from Micro-Data
Kar, Saibal; Roy, Poulomi; Saha, Sarani - Institute for the Study of Labor (IZA) - 2012
This paper tries to document the presence of unreported income among public sector employees in India. We investigate empirically the wage gap as well as consumption expenditure parity between public and private sector workers. It tests the hypothesis that despite a lower level of public sector...
Persistent link: https://www.econbiz.de/10011279356
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Non-Parametric Inference for the Effect of a Treatment on Survival Times with Application in the Health and Social Sciences
de Luna, Xavier; Johansson, Per - Institute for the Study of Labor (IZA) - 2009
In this paper we perform inference on the effect of a treatment on survival times in studies where the treatment assignment is not randomized and the assignment time is not known in advance. Two such studies are discussed: a heart transplant program and a study of Swedish unemployed eligible for...
Persistent link: https://www.econbiz.de/10005233824
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How Much Can We Trust Causal Interpretations of Fixed-Effects Estimators in the Context of Criminality?
Bjerk, David - Institute for the Study of Labor (IZA) - 2009
Researchers are often interested in estimating the causal effect of some treatment on individual criminality. For example, two recent relatively prominent papers have attempted to estimate the respective direct effects of marriage and gang participation on individual criminal activity. One...
Persistent link: https://www.econbiz.de/10005015460