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The Price and Quantity of Interest Rate Risk
Carpenter, Jennifer N.; Lu, Fangzhou; Whitelaw, Robert F. - National Bureau of Economic Research - 2021
, as no-arbitrage theory predicts. Our approach also allows us to document interesting cyclical and secular time …
Persistent link: https://www.econbiz.de/10012482660
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Generalized Moments Estimation for Panel Data
Druska, Viliam - 2003
This paper considers estimation of a panel data model with disturbances that are autocorrelated across cross … estimate spatial dependence parameters. For the case where the time dimension is small (the usual panel data case), we develop … Kelejian and Prucha. We apply this approach in a stochastic frontier framework to a panel of Indonesian rice farms where …
Persistent link: https://www.econbiz.de/10012469113
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Missing Data in Asset Pricing Panels
Freyberger, Joachim; Höppner, Björn; Neuhierl, Andreas; … - National Bureau of Economic Research - 2022
computationally costly GMM estimator in many cases. We apply our procedure to a large panel of return predictors and find that it …
Persistent link: https://www.econbiz.de/10013477253
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Instrumental Variables, Selection Models, and Tight Bounds on the Average Treatment Effect
Heckman, James J. - 2000
This paper exposits and relates two distinct approaches to bounding the average treatment effect. One approach, based on instrumental variables, is due to Manski (1990, 1994), who derives tight bounds on the average treatment effect under a mean independence form of the instrumental variables...
Persistent link: https://www.econbiz.de/10012470929
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Estimation of Limited-Dependent Variable Models with Dummy Endogenous Regressors : Simple Strategies for Empirical Practice
Angrist, Joshua D. - 2000
Applied economists have long struggled with the question of how to accommodate binary endogenous regressors in models with binary and non-negative outcomes. I argue here that much of the difficulty with limited-dependent variables comes from a focus on structural parameters, such as index...
Persistent link: https://www.econbiz.de/10012471324
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Spatial Linkages, Global Shocks, and Local Labor Markets : Theory and Evidence
Adão, Rodrigo - 2019
Abstract How do shocks to economic fundamentals in the world economy affect local labor markets? In a framework with a flexible structure of spatial linkages, we characterize the model-consistent shock exposure of a local market as the exogenous shift in its production revenues and consumption...
Persistent link: https://www.econbiz.de/10012479498
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An Instrumental Variable Approach to Dynamic Models
Berry, Steven T. - 2020
We present a new class of methods for identification and inference in dynamic models with serially correlated unobservables, which typically imply that state variables are econometrically endogenous. In the context of Industrial Organization, these state variables often reflect econometrically...
Persistent link: https://www.econbiz.de/10012481304
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Policy Evaluation with Multiple Instrumental Variables
Mogstad, Magne - 2020
monotonicity condition. The partial monotonicity condition is implied by standard choice theory and allows for rich heterogeneity …
Persistent link: https://www.econbiz.de/10012481401
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Granular Credit Risk
Galaasen, Sigurd - 2020
What is the impact of granular credit risk on banks and on the economy? We provide the first causal identification of single-name counterparty exposure risk in bank portfolios by applying a new empirical approach on an administrative matched bank-firm dataset from Norway. Exploiting the fat tail...
Persistent link: https://www.econbiz.de/10012482214
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Tests of Hypotheses Arising in the Correlated Random Coefficient Model
Heckman, James J. - 2010
This paper examines the correlated random coefficient model. It extends the analysis of Swamy (1971, 1974), who pioneered the uncorrelated random coefficient model in economics. We develop the properties of the correlated random coefficient model and derive a new representation of the variance...
Persistent link: https://www.econbiz.de/10012462235