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speculative trading can generate significant<br/>price bubbles, even if trading costs are huge and leverage is impossible. …
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This paper extends the work of Glaeser et al.(1992) by looking at effects of agglomeration economies on employment growth in Dutch city-industries and in very small (postal) zip code-industries in the Dutch province of South-Holland. At both levels of geographic detail, findings are broadly...
Persistent link: https://www.econbiz.de/10011092543
The three-step generalized methods of moments (GMM) approach of Kapoor, Kelejian and Prucha (2007), which corrects for spatially correlated errors in static panel data models, is extended by introducing fixed effects, a spatial lag, and a one-period lag of the dependent variable as additional...
Persistent link: https://www.econbiz.de/10011144455
We extend the three-step generalized methods of moments (GMM) approach of Kapoor et al. (2007), which corrects for spatially correlated errors in static panel data models, by introducing a spatial lag and a one-period lag of the dependent variable as additional explanatory variables. Combining...
Persistent link: https://www.econbiz.de/10011124438
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Abstract. This paper studies a new class of robust regression estimators based on the two-step least weighted squares (2S-LWS) estimator which employs data-adaptive weights determined from the empirical distribution or quantile functions of regression residuals obtained from an initial robust...
Persistent link: https://www.econbiz.de/10011092820
Summary. This note reconsiders the nonnegative integer-valued bilinear processes introduced by Doukhan, Latour, and Oraichi (2006). Using a hidden Markov argument, we extend their result of the existence of a stationary solution for the INBL(1,0,1,1) process to the class of superdiagonal INBL(p;...
Persistent link: https://www.econbiz.de/10011092821
We decompose the conditional expected mutual fund return in ve parts.Two parts, selectivity and expert market timing, can be attributed to manager skill, and three to variation in market exposure that can be achieved by private investors as well.The dynamic model that we use to estimate the...
Persistent link: https://www.econbiz.de/10011092882