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Schorfheide, Frank - 2013

A recent literature has developed that combines two prominent empirical approaches to ex ante policy evaluation: randomized controlled trials (RCT) and structural estimation. The RCT provides a "gold-standard'' estimate of a particular treatment, but only of that treatment. Structural estimation...

Persistent link: https://www.econbiz.de/10012459096

Researcher Incentives and Empirical Methods

Glaeser, Edward L. - 2006

Economists are quick to assume opportunistic behavior in almost every walk of life other than our own. Our empirical methods are based on assumptions of human behavior that would not pass muster in any of our models. The solution to this problem is not to expect a mass renunciation of data...

Persistent link: https://www.econbiz.de/10012466072

Spurious Regressions in Financial Economics?

Ferson, Wayne E. - 2002

Even though stock returns are not highly autocorrelated, there is a spurious regression bias in predictive regressions for stock returns related to the classic studies of Yule (1926) and Granger and Newbold (1974). Data mining for predictor variables interacts with spurious regression bias. The...

Persistent link: https://www.econbiz.de/10012469566

Strategyproofness-Exposing Mechanism Descriptions

Gonczarowski, Yannai; Heffetz, Ori; Thomas, Clayton - National Bureau of Economic Research - 2023

A menu description presents a mechanism to player i in two steps. Step (1) uses the reports of other players to describe i's menu: the set of i's potential outcomes. Step (2) uses i's report to select i's favorite outcome from her menu. Can menu descriptions better expose strategyproofness,...

Persistent link: https://www.econbiz.de/10014322893

Scenario Sampling for Large Supermodular Games

Graham, Bryan S.; Pelican, Andrin - National Bureau of Economic Research - 2023

This paper introduces a simulation algorithm for evaluating the log-likelihood function of a large supermodular binary … Carlo integration, are computationally impractical in such settings. In contrast, we introduce a novel importance sampling … algorithm which allows for accurate likelihood simulation with modest numbers of simulation draws …

Persistent link: https://www.econbiz.de/10014322897

The Billion Prices Project : Using Online Prices for Measurement and Research

Cavallo, Alberto - 2016

New data-gathering techniques, often referred to as "Big Data" have the potential to improve statistics and empirical research in economics. In this paper we describe our work with online data at the Billion Prices Project at MIT and discuss key lessons for both inflation measurement and some...

Persistent link: https://www.econbiz.de/10012456563

A Big Data Approach to Optimal Sales Taxation

Baker, Christian - 2014

We characterize and demonstrate a solution method for an optimal commodity (sales) tax problem consisting of multiple goods, heterogeneous agents, and a nonconvex policy maker optimization problem. Our approach allows for more dimensions of heterogeneity than has been previously possible,...

Persistent link: https://www.econbiz.de/10012458534

Asset Pricing Models with Conditional Betas and Alphas : The Effects of Data Snooping and Spurious Regression

Ferson, Wayne E. - 2006

This paper studies the estimation of asset pricing model regressions with conditional alphas and betas, focusing on the joint effects of data snooping and spurious regression. We find that the regressions are reasonably well specified for conditional betas, even in settings where simple...

Persistent link: https://www.econbiz.de/10012466003

The Structure of Economic News

Bybee, Leland - 2020

We propose an approach to measuring the state of the economy via textual analysis of business news. From the full text content of 800,000 Wall Street Journal articles for 1984{2017, we estimate a topic model that summarizes business news as easily interpretable topical themes and quantifies the...

Persistent link: https://www.econbiz.de/10012479172

Technology and Big Data Are Changing Economics : Mining Text to Track Methods

Currie, Janet M. - 2020

The last 40 years have seen huge innovations in computing technology and data availability. Data derived from millions of administrative records or by using (as we do) new methods of data generation such as text mining are now common. New data often requires new methods, which in turn can...

Persistent link: https://www.econbiz.de/10012479239