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Efficient probit estimation with partially missing covariates

Conniffe, Denis; O'Neill, Donal - 2009

A common approach to dealing with missing data is to estimate the model on the common subset of data, by necessity throwing away potentially useful data. We derive a new probit type estimator for models with missing covariate data where the dependent variable is binary. For the benchmark case of...

Persistent link: https://www.econbiz.de/10003829113

Exponent of cross-sectional dependence : estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012

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/10009530816

A survey of hedge and safe havens assets against G-7 stock markets before and during the COVID-19 pandemic

Ozdemir, Huseyin; Ozdemir, Zeynel Abidin - 2021

We propose a new Sharpe ratio index obtained from return and volatility spillover indices to individual assets from the whole financial system. We use our new approach to shed light on a new perspective on a hot topic examining the safe-haven assets after Covid-19. To do that, we compare both...

Persistent link: https://www.econbiz.de/10012705552

Testing the correlated random coefficient model

Heckman, James J.; Schmierer, Daniel; Urzua, Sergio - 2009

The recent literature on instrumental variables (IV) features models in which agents sort into treatment status on the basis of gains from treatment as well as on baseline-pretreatment levels. Components of the gains known to the agents and acted on by them may not be known by the observing...

Persistent link: https://www.econbiz.de/10003907131

Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Pesaran, Bahram (contributor); … - 2007

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by … than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …

Persistent link: https://www.econbiz.de/10003586562

How does the economic uncertainty affect asset prices under normal and financial distress times?

Balcilar, Mehmet; Ozdemir, Zeynel Abidin; Ozdemir, Huseyin - 2022

By using a nonlinear VAR model, we investigate whether the response of the US stock and housing markets to uncertainty shocks depends on financial conditions. Our model allows us to change the response of the US financial markets to volatility shocks in periods of normal and financial distress....

Persistent link: https://www.econbiz.de/10013198932

Skewness expectations and portfolio choice

Drerup, Tilman H.; Wibral, Matthias; Zimpelmann, Christian - 2022

Many models of investor behavior predict that investors prefer assets that they believe to have positively skewed return distributions. We provide a direct test of this prediction in a representative sample of the Dutch population. Using individual-level data on return expectations for a broad...

Persistent link: https://www.econbiz.de/10012805556

What happens when econometrics and psychometrics collide? : an example using the PISA data

Jerrim, John Peter; Lopez-Agudo, Luis Alejandro; … - 2017

International large-scale assessments such as PISA are increasingly being used to benchmark the academic performance of young people across the world. Yet many of the technicalities underpinning these datasets are misunderstood by applied researchers, who sometimes fail to take their complex...

Persistent link: https://www.econbiz.de/10011672714

When opportunity knocks: confronting theory and empirics about dynamics of gender wage inequality

Tyrowicz, Joanna; Van der Velde, Lucas - 2021

We present empirical evidence that large structural shocks are followed by changes in labor market inequality. Specifically, we study short-run fluctuations in adjusted gender wage gaps (unequal pay for equal work) following episodes of structural shocks in the labor markets, using several...

Persistent link: https://www.econbiz.de/10012415093

Bounds on average and quantile treatment effects on duration outcomes under censoring, selection, and noncompliance

Blanco, German; Chen, Xuan; Flores, Carlos; … - 2018

We consider the problem of assessing the effects of a treatment on duration outcomes using data from a randomized evaluation with noncompliance. For such settings, we derive nonparametric sharp bounds for average and quantile treatment effects addressing three pervasive problems simultaneously:...

Persistent link: https://www.econbiz.de/10011924890

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