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Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns
Hoffmann, Mathias - 2021
Small businesses tend to be owned by wealthy households. Such entrepreneur households also own a large share of U.S. stock market wealth. Fluctuations in entrepreneurs' hunger for risk could therefore help explain time variation in the equity premium. The paper suggests an entrepreneurial...
Persistent link: https://www.econbiz.de/10013317587
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Assessing the Macroeconomic Forecasting Performance of Boosting - Evidence for the United States, the Euro Area, and Germany
Buchen, Teresa - 2013
The use of large datasets for macroeconomic forecasting has received a great deal of interest recently. Boosting is one possible method of using high-dimensional data for this purpose. It is a stage-wise additive modelling procedure, which, in a linear specification, becomes a variable selection...
Persistent link: https://www.econbiz.de/10013085278
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Forecasting Random Walks Under Drift Instability
Pesaran, M. Hashem - 2011
This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …
Persistent link: https://www.econbiz.de/10012756639
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Cointegration Analysis with Mixed-Frequency Data
Seong, Byeongchan; Ahn, Sung K.; Zadrozny, Peter A. - 2021
maximum likelihood estimation of the parameters in the model, we use an expectation maximization algorithm based on the state …
Persistent link: https://www.econbiz.de/10013317180
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A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil
Baumeister, Christiane - 2016
has implications for the estimation of economic models of energy-intensive durables, for oil price forecasting, and for …
Persistent link: https://www.econbiz.de/10012996209
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Measuring Strategic Firm Interaction in Product-Quality Choices : The Case of Airline Flight Frequency
Brueckner, Jan K. - 2013
multimarket contact generates mutual forbearance in frequency competition, finding no evidence for such an effect …
Persistent link: https://www.econbiz.de/10013088139
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The Effects of Computers on Children's Social Development and School Participation : Evidence from a Randomized Control Experiment
Fairlie, Robert W. - 2017
Concerns over the perceived negative impacts of computers on social development among children are prevalent but largely uninformed by plausibly causal evidence. We provide the first test of this hypothesis using a large-scale randomized control experiment in which more than one thousand...
Persistent link: https://www.econbiz.de/10012964779
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Access to Technology and the Transfer Function of Community Colleges : Evidence from a Field Experiment
Fairlie, Robert W. - 2014
Access to information may represent an important barrier to learning about and ultimately transferring to 4-year colleges for low-income community college students. This paper explores the role that access to information technology, in particular, plays in enhancing, or possibly detracting from,...
Persistent link: https://www.econbiz.de/10013047318
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The Effects of Home Computers on Educational Outcomes : Evidence from a Field Experiment with Community College Students
Fairlie, Robert W.; London, Rebecca A. - 2021
There is no clear theoretical prediction regarding whether home computers are an important input in the educational production function. To investigate the hypothesis that access to a home computer affects educational outcomes, we conduct the first-ever field experiment involving the provision...
Persistent link: https://www.econbiz.de/10013315659
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The Yield Spread Puzzle and the Information Content of SPF Forecasts
Lahiri, Kajal - 2013
While the yield spread has long been recognized as a good predictor of recessions, it seems to have been largely overlooked by professional forecasters. We examine this puzzle, established by Rudebusch and Williams (2009), in a data-rich environment including not just the yield spread but many...
Persistent link: https://www.econbiz.de/10013090002