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Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities
Pesaran, M. Hashem - 2017
This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...
Persistent link: https://www.econbiz.de/10012955752
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A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels
Chudik, Alexander - 2017
This paper contributes to the GMM literature by introducing the idea of self-instrumenting target variables instead of searching for instruments that are uncorrelated with the errors, in cases where the correlation between the target variables and the errors can be derived. The advantage of the...
Persistent link: https://www.econbiz.de/10012943386
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Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects
Hayakawa, Kazuhiko - 2014
This paper proposes the transformed maximum likelihood estimator for short dynamic panel data models with interactive fixed effects, and provides an extension of Hsiao et al. (2002) that allows for a multifactor error structure. This is an important extension since it retains the advantages of...
Persistent link: https://www.econbiz.de/10013052017
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On the Finite Sample Properties of Pre-Test Estimators of Spatial Models
Piras, Gianfranco - 2014
This paper explores the properties of pre-test strategies in estimating a linear Cliff-Ord-type spatial model when the researcher is unsure about the nature of the spatial dependence. More specifically, the paper explores the finite sample properties of the pre-test estimators introduced in...
Persistent link: https://www.econbiz.de/10013054957
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Panel Data Gravity Models of International Trade
Baltagi, Badi H. - 2014
One of the oldest and largest literatures in empirical economics is concerned with the estimation of demand and supply of goods, services, and factors across national or subnational borders (see Leamer and Levinsohn, 1995). The respective empirical models specified and estimated are often...
Persistent link: https://www.econbiz.de/10013058498
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Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity
Lahiri, Kajal - 2015
We have argued that from the standpoint of a policy maker, the uncertainty of using the average forecast is not the variance of the average, but rather the average of the variances of the individual forecasts that incorporate idiosyncratic risks. With a slight reformulation of the loss function...
Persistent link: https://www.econbiz.de/10013017623
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Asymptotic Variance of Brier (Skill) Score in the Presence of Serial Correlation
Lahiri, Kajal - 2015
We derive autocorrelation-robust asymptotic variances of the Brier score and Brier skill score, which are generally applicable in circumstances with weak serial correlation. A simulation experiment and an empirical application from macroeconomics underscore the importance of taking care of...
Persistent link: https://www.econbiz.de/10013024358
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Scars of Recessions in a Rigid Labor Market
Cockx, Bart - 2015
We study the impact of graduating in a recession in Flanders (Belgium), i.e. in a rigid labor market. In the presence of a high minimum wage, a typical recession hardly influences the hourly wage of low educated men, but reduces working time and earnings by about 4.5% up to twelve years after...
Persistent link: https://www.econbiz.de/10013025973
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Twin Peaks
Defever, Fabrice - 2018
show that the distribution of export intensity not only varies substantially across countries, but in a large number of … dispersion, the distribution of export intensity has two modes in the boundaries of the support and their height is determined by … a country's size relative to the rest of the world. We estimate the deep parameters characterizing the distribution of …
Persistent link: https://www.econbiz.de/10012930689
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The Volatility Curse : Revisiting the Paradox of Plenty
van der Ploeg, Rick - 2013
The volatility of unanticipated output growth in income per capita is detrimental to long-run development, controlling for initial income per capita, population growth, human capital, investment, openness and natural resource dependence. This effect is significant and robust over a wide range of...
Persistent link: https://www.econbiz.de/10012753136