Narrow search
Showing 1 - 10 of 81
Cover Image
Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns
Ahn, Dong-Hyun - 1999
autocorrelations close to zero, (ii) these autocorrelation differences between spot and futures markets are maintained even under … conditions favorable for spot-futures arbitrage, and (iii) these autocorrelation differences are most prevalent during low volume …
Persistent link: https://www.econbiz.de/10012471575
Cover Image
Estimating Autocorrelations in Fixed-Effects Models
Solon, Gary - 1984
series data, longitudinal data often contain serially correlated error terms, but the autocorrelation estimators commonly …'s method of correcting for the inconsistency of autocorrelation estimators by generalizing to higher than first … facilitate the identification and estimation of autocorrelation processes in both the generalized Nickell method and an …
Persistent link: https://www.econbiz.de/10012477826
Cover Image
Food Stamps as Money and Income
Hamermesh, Daniel S. - 1983
Food Stamps represent nearly $11 billion of personal income in the United States. The coupons that are issued to represent the purchasing power available to recipients are also reserves for the commercial banking system.This study asks how closely these coupons are substitutable for what is...
Persistent link: https://www.econbiz.de/10012477866
Cover Image
Factor Momentum and the Momentum Factor
Ehsani, Sina - 2019
Momentum in individual stock returns emanates from momentum in factor returns. Most factors are positively autocorrelated: the average factor earns a monthly return of 1 basis point following a year of losses and 53 basis points following a positive year. Factor momentum explains all forms of...
Persistent link: https://www.econbiz.de/10012479505
Cover Image
Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments
Stock, James H. - 2018
An exciting development in empirical macroeconometrics is the increasing use of external sources of as-if randomness to identify the dynamic causal effects of macroeconomic shocks. This approach - the use of external instruments - is the time series counterpart of the highly successful strategy...
Persistent link: https://www.econbiz.de/10012453497
Cover Image
A Model-Based Evaluation of the Debate on the Size of the Tax Multiplier
Chahrour, Ryan - 2010
The SVAR and narrative approaches to estimating tax multipliers deliver significantly different results. The former yields multipliers of about 1 percent, whereas the latter produces much larger multipliers of about 3 percent. The SVAR and narrative approaches differ along two important...
Persistent link: https://www.econbiz.de/10012462488
Cover Image
Is the Spurious Regression Problem Spurious?
McCallum, Bennett T. - 2010
accompanied by clear signs of severe autocorrelation in their residuals. A conscientious researcher would therefore not end an … investigation with such a result, but would likely re-estimate with an autocorrelation correction. Simulations show, for several …
Persistent link: https://www.econbiz.de/10012462962
Cover Image
Inference with Weak Instruments
Andrews, Donald W.K. - 2005
This paper reviews recent developments in methods for dealing with weak instruments (IVs) in IV regression models. The focus is more on tests and confidence intervals derived from tests than on estimators. The paper also presents new testing results under "many weak IV asymptotics," which are...
Persistent link: https://www.econbiz.de/10012467097
Cover Image
Regime-Switching and the Estimation of Multifractal Processes
Calvet, Laurent - 2003
We propose a discrete-time stochastic volatility model in which regime switching serves three purposes. First, changes in regimes capture low frequency variations, which is their traditional role. Second, they specify intermediate frequency dynamics that are usually assigned to smooth...
Persistent link: https://www.econbiz.de/10012468859
Cover Image
An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns
Getmansky, Mila - 2003
The returns to hedge funds and other alternative investments are often highly serially correlated in sharp contrast to the returns of more traditional investment vehicles such as long-only equity portfolios and mutual funds. In this paper, we explore several sources of such serial correlation...
Persistent link: https://www.econbiz.de/10012469129