Showing 1 - 10 of 349
Structural econometric methods are often criticized for being sensitive to functional form assumptions. We study parametric estimators of the local average treatment effect (LATE) derived from a widely used class of latent threshold crossing models and show they yield LATE estimates...
Persistent link: https://www.econbiz.de/10012916571
study the correlation of the estimated parameters and markups with the firm-level productivity growth. Second, the paper … contributes to literature on the structural identification of production functions in two ways. As a first step, it reviews the … price, and the collinearity among input factors of production. Additionally, we propose an identification strategy that …
Persistent link: https://www.econbiz.de/10011210785
This paper introduces the concepts of time-specific weak and strong cross section dependence. A double-indexed process is said to be cross sectionally weakly dependent at a given point in time, t, if its weighted average along the cross section dimension (N) converges to its expectation in...
Persistent link: https://www.econbiz.de/10013158328
An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...
Persistent link: https://www.econbiz.de/10013111367
-connected information sources, implying a pattern of “overshooting” beliefs. Additionally, in an experimental asset market, correlation …
Persistent link: https://www.econbiz.de/10013072106
This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of insights from the multiple testing literature. The method tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...
Persistent link: https://www.econbiz.de/10013051612
in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …
Persistent link: https://www.econbiz.de/10013023110
Firms adjust to differences in market size and demand uncertainty by changing the frequency and size of their export … shipments. In our inventory model, transportation costs and optimal shipment frequency are determined on the basis of demand as …
Persistent link: https://www.econbiz.de/10013054497
The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives sufficient conditions for the square of the process to display long memory and provides some additional intuition for the empirical observation that estimated GARCH-parameters often...
Persistent link: https://www.econbiz.de/10012772611
searching for instruments that are uncorrelated with the errors, in cases where the correlation between the target variables and … have maximum correlation with the target variables and the problem of weak instrument is thus avoided. The proposed …
Persistent link: https://www.econbiz.de/10012943386