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Mostly harmless simulations? : on the internal validity of empirical Monte Carlo studies
Advani, Arun; Kitagawa, Toru; Słoczyński, Tymon - 2018
Currently there is little practical advice on which treatment effect estimator to use when trying to adjust for observable differences. A recent suggestion is to compare the performance of estimators in simulations that somehow mimic the empirical context. Two ways to run such 'empirical Monte...
Persistent link: https://www.econbiz.de/10011916665
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Mostly harmless simulations? : on the internal validity of empirical Monte Carlo studies
Advani, Arun; Słoczyński, Tymon - 2013
simulation exercise is informative about the actual ranking of various estimators when applied to a particular problem. We …
Persistent link: https://www.econbiz.de/10010229930
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Testing CAPM with a large number of assets
Pesaran, M. Hashem; Yamagata, Takashi - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...
Persistent link: https://www.econbiz.de/10009535779
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Misspecification testing in a class of conditional distributional models
Rothe, Christoph; Wied, Dominik - 2012
We propose a specification test for a wide range of parametric models for the conditional distribution function of an outcome variable given a vector of covariates. The test is based on the Cramer-von Mises distance between an unrestricted estimate of the joint distribution function of the data,...
Persistent link: https://www.econbiz.de/10009531435
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Testing dependence among serially correlated multi-category variables
Pesaran, M. Hashem (contributor);  … - 2006
The contingency table literature on tests for dependence among discrete multi-category variables is extensive. Existing tests assume, however, that draws are independent, and there are no tests that account for serial dependencies -- a problem that is particularly important in economics and...
Persistent link: https://www.econbiz.de/10003344606
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VC : a method for estimating time-varying coefficients in linear models
Schlicht, Ekkehart - 2020
. A penalized least squares estimation is linked to the GLS (Aitken) estimates of the corresponding linear model with time …
Persistent link: https://www.econbiz.de/10012161405
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A computationally practical simulation estimation algorithm for dynamic panel data models with unobserved endogenous state variables
Keane, Michael P.; Sauer, Robert M. - 2009
This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data …. Repeated sampling experiments on dynamic probit models with serially correlated errors indicate that the estimator has good … important determinants of participation, while race is much less important. -- Initial conditions ; missing data ; simulation …
Persistent link: https://www.econbiz.de/10003824296
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Modeling employment dynamics with state dependence and unobserved heterogeneity
Prowse, Victoria - 2010
This paper extends existing work on labor force participation dynamics by distinguishing between full-time and part-time employment and allowing unobserved heterogeneity in the effects of previous employment outcomes, children and education on employment dynamics. The results reveal significant...
Persistent link: https://www.econbiz.de/10003958927
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Some (maybe) unpleasant arithmetic in minimum wage evaluations : the role of power, significance and sample size
Bachmann, Ronald; Felder, Rahel; Schaffner, Sandra; … - 2018
In this paper, we discuss the importance of sample size in the evaluation of minimum wage effects. We first show which sample sizes are necessary to make reliable statements about the effects of minimum wages on binary outcomes, and second how to determine these sample sizes. This is...
Persistent link: https://www.econbiz.de/10011924929
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The evaluation of community-based interventions : a Monte Carlo study
Augurzky, Boris; Schmidt, Christoph M. - 2001
numerical simulation study, against the particular background of community-based interventions. In our simulations, we emphasize …
Persistent link: https://www.econbiz.de/10011400817