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Downside Risk
Ang, Andrew; Chen, Joseph; Xing, Yuhang - National Bureau of Economic Research (NBER) - 2005
Economists have long recognized that investors care differently about downside losses versus upside gains. Agents who place greater weight on downside risk demand additional compensation for holding stocks with high sensitivities to downside market movements. We show that the cross-section of...
Persistent link: https://www.econbiz.de/10005718657
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Bootstrap and Higher-Order Expansion Validity When Instruments May Be Weak
Moreira, Marcelo J.; Porter, Jack R.; Suarez, Gustavo A. - National Bureau of Economic Research (NBER) - 2004
expansions and bootstrap validity are not tied to the weak instrument framework, but instead depends on which test statistic is … bootstrap method fails when instruments are weak, since it replaces parameters with inconsistent estimators. Contrary to this … notion, we provide a theoretical proof that guarantees the validity of the bootstrap for the score test, as well as the …
Persistent link: https://www.econbiz.de/10005779012
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Small Sample Properties of GMM for Business Cycle Analysis
Christiano, Lawrence; Haan, Wouter J. Den - National Bureau of Economic Research (NBER) - 1995
We investigate, by Monte Carlo methods, the finite sample properties of GMM procedures for conducting inference about statistics that are of interest in the business cycle literature. These statistics include the second moments of data filtered using the first difference and Hodrick-Prescott...
Persistent link: https://www.econbiz.de/10005779067
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Downside Risk and the Momentum Effect
Ang, Andrew; Chen, Joseph; Xing, Yuhang - National Bureau of Economic Research (NBER) - 2001
Stocks with greater downside risk, which is measured by higher correlations conditional on downside moves of the market, have higher returns. After controlling for the market beta, the size effect and the book-to-market effect, the average rate of return on stocks with the greatest downside risk...
Persistent link: https://www.econbiz.de/10005579945
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Bootstrap-Based Improvements for Inference with Clustered Errors
Cameron, Adrian Colin; Gelbach, Jonah B.; Miller, … - National Bureau of Economic Research (NBER) - 2007
-reject, however, with few (5-30) clusters. We investigate inference using cluster bootstrap-t procedures that provide asymptotic …
Persistent link: https://www.econbiz.de/10005725253
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Specification Testing in Panel Data With Instrumental Variables
Metcalf, Gilbert E. - National Bureau of Economic Research (NBER) - 1996
This paper shows a convenient way to test whether instrumental variables are correlated with individual effects in a panel data set. It shows that the correlated fixed effects specification tests developed by Hausman and Taylor (1981) extend in an analogous way to panel data sets with endogenous...
Persistent link: https://www.econbiz.de/10005725355
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Do Voters Vote Sincerely?
Merlo, Antonio; Degan, Arianna - National Bureau of Economic Research (NBER) - 2007
In this paper we address the following question: To what extent is the hypothesis that voters vote sincerely testable or falsifiable? We show that using data only on how individuals vote in a single election, the hypothesis that voters vote sincerely is irrefutable, regardless of the number of...
Persistent link: https://www.econbiz.de/10005828909
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Mismatch, Sorting and Wage Dynamics
Lise, Jeremy; Meghir, Costas; Robin, Jean-Marc - National Bureau of Economic Research (NBER) - 2013
We develop an empirical search-matching model which is suitable for analyzing the wage, employment and welfare impact of regulation in a labor market with heterogeneous workers and jobs. To achieve this we develop an equilibrium model of wage determination and employment which extends the...
Persistent link: https://www.econbiz.de/10010796609
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Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors
Fernandez-Villaverde, Jesus; Rubio-Ramirez, Juan F; … - National Bureau of Economic Research (NBER) - 2010
This paper shows how to build algorithms that use graphics processing units (GPUs) installed in most modern computers to solve dynamic equilibrium models in economics. In particular, we rely on the compute unified device architecture (CUDA) of NVIDIA GPUs. We illustrate the power of the approach...
Persistent link: https://www.econbiz.de/10008619317
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Inference of Bidders' Risk Attitudes in Ascending Auctions with Endogenous Entry
Fang, Hanming; Tang, Xun - National Bureau of Economic Research (NBER) - 2013
Bidders' risk attitudes have key implications for choices of revenue-maximizing auction formats. In ascending auctions, bid distributions do not provide information about risk preference. We infer risk attitudes using distributions of transaction prices and participation decisions in ascending...
Persistent link: https://www.econbiz.de/10011272301