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Contamination Bias in Linear Regressions

Goldsmith-Pinkham, Paul; Hull, Peter; Kolesár, Michal - National Bureau of Economic Research - 2022

We study the interpretation of regressions with multiple treatments and flexible controls. Such regressions are often used to analyze stratified randomized control trials with multiple intervention arms, to estimate value-added (for, e.g., teachers) with observational data, and to leverage the...

Persistent link: https://www.econbiz.de/10013334327

A Relationship Between Regression Tests and Volatility Tests of Market ncy

Frankel, Jeffrey A. - 1983

Volatility tests are an alternative to regression tests for evaluating the joint null hypothesis of market efficiency … taken to be. By considering tests based on conditional volatility bounds, we show that if the alternative is that one could … conditional volatility tests.If the application is to spot and forward markets, then the most powerful conditional volatility test …

Persistent link: https://www.econbiz.de/10012477997

Nonlinear Budget Set Regressions for the Random Utility Model

Blomquist, Nils Sören; Kumar, Anil; Liang, Che-yuan; … - National Bureau of Economic Research - 2023

This paper is about the nonparametric regression of a choice variable on a nonlinear budget set under utility maximization with general heterogeneity, i.e. in the random utility model (RUM). We show that utility maximization and convex budget sets make this regression three dimensional with a...

Persistent link: https://www.econbiz.de/10014250211

Eliciting Willingness-to-Pay to Decompose Beliefs and Preferences that Determine Selection into Competition in Lab Experiments

Chen, Yvonne Jie; Dutz, Deniz; Li, Li; Moon, Sarah; … - National Bureau of Economic Research - 2023

This paper develops a partial-identification methodology for analyzing self-selection into alternative compensation schemes in a laboratory environment. We formulate a model of self-selection in which individuals select the compensation scheme with the largest expected valuation, which depends...

Persistent link: https://www.econbiz.de/10014447251

Determinants of Long-Term Growth : A Bayesian Averaging of Classical Estimates (BACE) Approach

Doppelhofer, Gernot - 2000

This paper examines the robustness of explanatory variables in cross-country economic growth regressions. It employs a novel approach, Bayesian Averaging of Classical Estimates (BACE), which constructs estimates as a weighted average of OLS estimates for every possible combination of included...

Persistent link: https://www.econbiz.de/10012471000

CAViaR : Conditional Value at Risk by Quantile Regression

Engle, Robert F. - 1999

Value at Risk has become the standard measure of market risk employed by financial institutions for both internal and regulatory purposes. Despite its conceptual simplicity, its measurement is a very challenging statistical problem and none of the methodologies developed so far give satisfactory...

Persistent link: https://www.econbiz.de/10012471443

Evaluating the Effect of an Antidiscrimination Law Using a Regression-Discontinuity Design

Hahn, Jinyong - 1999

nonparametric estimators of treatment effects and present their asymptotic distribution theory. Then we apply the estimation method …

Persistent link: https://www.econbiz.de/10012471663

Predictive Regressions

Stambaugh, Robert F. - 1999

When a rate of return is regressed on a lagged stochastic regressor, such as a dividend yield, the regression disturbance is correlated with the regressor's innovation. The OLS estimator's finite-sample properties, derived here, can depart substantially from the standard regression setting....

Persistent link: https://www.econbiz.de/10012471691

Approximation Bias in Linearized Euler Equations

Ludvigson, Sydney - 1999

A wide range of empirical applications rely on linear approximations to dynamic Euler equations. Among the most notable of these is the large and growing literature on precautionary saving that examines how consumption growth and saving behavior are affected by uncertainty and prudence. Linear...

Persistent link: https://www.econbiz.de/10012471817

Weighted-Average Quantile Regression

Četverikov, Denis N.; Liu, Yukun; Tsyvinski, Aleh - National Bureau of Economic Research - 2022

In this paper, we introduce the weighted-average quantile regression model. We argue that this model is of interest in many applied settings and develop an estimator for parameters of this model. We show that our estimator is √T-consistent and asymptotically normal with mean zero under weak...

Persistent link: https://www.econbiz.de/10013210042

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