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Estimation of Dynamic Discrete Choice Models by Maximum Likelihood and the Simulated Method of Moments
Eisenhauer, Phillipp; Heckman, James J.; Mosso, Stefano - National Bureau of Economic Research (NBER) - 2014
We compare the performance of maximum likelihood (ML) and simulated method of moments (SMM) estimation for dynamic …
Persistent link: https://www.econbiz.de/10010951297
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A Comparison of Alternative Instruments Variables Estimators of a Dynamic Linear Model
West, Kenneth D.; Wilcox, David W. - National Bureau of Economic Research (NBER) - 1995
Using a dynamic linear equation that has a conditionally homoskedastic moving average disturbance, we compare two parameterizations of a commonly used instrumental variables estimator (Hansen (1982)) to one that is asymptotically optimal in a class of estimators that includes the conventional...
Persistent link: https://www.econbiz.de/10005779071
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Edgeworth Expansions for Realized Volatility and Related Estimators
Ait-Sahalia, Yacine; Zhang, Lan; Mykland, Per A. - National Bureau of Economic Research (NBER) - 2005
This paper shows that the asymptotic normal approximation is often insufficiently accurate for volatility estimators based on high frequency data. To remedy this, we compute Edgeworth expansions for such estimators. Unlike the usual expansions, we have found that in order to obtain meaningful...
Persistent link: https://www.econbiz.de/10005248985
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Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?
Bali, Turan G.; Cakici, Nusret; Whitelaw, Robert F. - National Bureau of Economic Research (NBER) - 2013
We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio … return as in standard systematic risk measures. We document a positive and significant relation between hybrid tail … covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or …
Persistent link: https://www.econbiz.de/10010692203
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The Joint Cross Section of Stocks and Options
Ang, Andrew; An, Byeong-Je; Bali, Turan G.; Cakici, Nusret - National Bureau of Economic Research (NBER) - 2013
Stocks with large increases in call implied volatilities over the previous month tend to have high future returns while stocks with large increases in put implied volatilities over the previous month tend to have low future returns. Sorting stocks ranked into decile portfolios by past call...
Persistent link: https://www.econbiz.de/10010951430
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Euler-Equation Estimation for Discrete Choice Models: A Capital Accumulation Application
Haltiwanger, John; Willis, Jonathan L.; Cooper, Russell - National Bureau of Economic Research (NBER) - 2010
capital accu- mulation. Our estimation strategy searches for parameters that minimize ex post errors in an Euler equation … estimation of parameters of dynamic optimization problems in which non-convexities lead to extended periods of investment …
Persistent link: https://www.econbiz.de/10008625932
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Jump-Robust Volatility Estimation using Nearest Neighbor Truncation
Andersen, Torben G.; Dobrev, Dobrislav; Schaumburg, Ernst - National Bureau of Economic Research (NBER) - 2009
We propose two new jump-robust estimators of integrated variance based on high-frequency return observations. These MinRV and MedRV estimators provide an attractive alternative to the prevailing bipower and multipower variation measures. Specifically, the MedRV estimator has better theoretical...
Persistent link: https://www.econbiz.de/10008628319
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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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Career Progression, Economic Downturns, and Skills
Adda, Jerome; Meghir, Costas; Dustmann, Christian; … - National Bureau of Economic Research (NBER) - 2013
This paper analyzes the career progression of skilled and unskilled workers, with a focus on how careers are affected by economic downturns and whether formal skills, acquired early on, can shield workers from the effect of recessions. Using detailed administrative data for Germany for numerous...
Persistent link: https://www.econbiz.de/10010618278
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The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications
Fernandez-Villaverde, Jesus; Rubio-Ramirez, Juan F; … - National Bureau of Economic Research (NBER) - 2013
estimation for DSGE models approximated up to third-order and provides the foundation for indirect inference and SMM when …
Persistent link: https://www.econbiz.de/10010969411