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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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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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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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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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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 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
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Generating Non-Standard Multivariate Distributions with an Application to Mismeasurement in the CPI
Shapiro, Matthew D.; Wilcox, David W. - National Bureau of Economic Research (NBER) - 1996
applicable to estimation by simulated moments or simulated likelihoods and to Monte Carlo analysis. …
Persistent link: https://www.econbiz.de/10005248986
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No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications
Bollerslev, Tim; Andersen, Torben G.; Dobrev, Dobrislav - National Bureau of Economic Research (NBER) - 2007
alleviate microstructure frictions for realized volatility estimation. Size and power of the procedure are explored through …
Persistent link: https://www.econbiz.de/10005084541
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How Structural Are Structural Parameters?
Fernandez-Villaverde, Jesus; Rubio-Ramirez, Juan F - National Bureau of Economic Research (NBER) - 2007
This paper studies how stable over time are the so-called "structural parameters" of dynamic stochastic general equilibrium (DSGE) models. To answer this question, we estimate a medium-scale DSGE model with real and nominal rigidities using U.S. data. In our model, we allow for parameter...
Persistent link: https://www.econbiz.de/10005084900
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The Effect of Schooling and Ability on Achievement Test Scores
Hansen, Karsten; Heckman, James J.; Mullen, Kathleen J. - National Bureau of Economic Research (NBER) - 2003
This paper develops two methods for estimating the effect of schooling on achievement test scores that control for the endogeneity of schooling by postulating that both schooling and test scores are generated by a common unobserved latent ability. These methods are applied to data on schooling...
Persistent link: https://www.econbiz.de/10005084934