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Testing CAPM with a Large Number of Assets
Pesaran, M. Hashem - 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/10013107698
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Estimation of Dynamic Discrete Choice Models by Maximum Likelihood and the Simulated Method of Moments
Eisenhauer, Philipp - 2014
We compare the performance of maximum likelihood (ML) and simulated method of moments (SMM) estimation for dynamic …
Persistent link: https://www.econbiz.de/10013045058
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A Computationally Practical Simulation Estimation Algorithm for Dynamic Panel Data Models with Unobserved Endogenous State Variables
Keane, Michael P. - 2009
This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data …
Persistent link: https://www.econbiz.de/10012764470
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A Control Function Approach to Estimating Dynamic Probit Models with Endogenous Regressors, with an Application to the Study of Poverty Persistence in China
Giles, John - 2013
This paper proposes a parametric approach to estimating a dynamic binary response panel data model that allows for endogenous contemporaneous regressors. Such a model is of particular value for settings in which one wants to estimate the effects of an endogenous treatment on a binary outcome. In...
Persistent link: https://www.econbiz.de/10013089968
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A Permutation Test and Estimation Alternatives for the Regression Kink Design
Ganong, Peter - 2014
The Regression Kink (RK) design is an increasingly popular empirical method, with more than 20 studies circulated using RK in the last 5 years since the initial circulation of Card, Lee, Pei and Weber (2012). We document empirically that these estimates, which typically use local linear...
Persistent link: https://www.econbiz.de/10013051441
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Something from Nothing : Estimating Consumption Rates Using Propensity Scores, with Application to Emissions Reduction Policies
Bardsley, Nicholas - 2016
Consumption surveys often record zero purchases of a good because of a short observation window. Only mean consumption rates can then be inferred. We show that propensity scores can be used to estimate each unit's consumption rate, revealing the distribution. We demonstrate the method using the...
Persistent link: https://www.econbiz.de/10012999031
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Inference on Causal Effects in a Generalized Regression Kink Design
Card, David - 2015
We consider nonparametric identification and estimation in a nonseparable model where a continuous regressor of … endogenous assignment variable (like previous earnings). We provide new results on identification and estimation for these …
Persistent link: https://www.econbiz.de/10013029646
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Portfolio Allocation, Income Uncertainty and Households' Flight from Risk
Brown, Sarah - 2016
households reduce their financial risk exposure when confronted with background risk. Our novel modelling approach – termed a … risk, and is unique in recovering for, any given risky asset class, the shares that are reallocated to a safer asset … category. Background risk exerts a significant impact on household portfolios, resulting in a 'flight from risk', away from …
Persistent link: https://www.econbiz.de/10012977335
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Decomposing Excess Returns in Stochastic Linear Models
Lin, Carl - 2012
We present a theorem helpful in estimating the mean and variance of a linear function with arbitrary multivariate randomness in its coefficients and variables. We derive a generalized decomposition result from two random linear functions in which the result can be applied to most models using...
Persistent link: https://www.econbiz.de/10013113072
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Robust Estimation of Wage Dispersion with Censored Data : An Application to Occupational Earnings Risk and Risk Attitudes
Pollmann, Daniel - 2012
-coded administrative wage data from the German IAB Employment Sample (IABS). We then relate these robust measures of earnings risk to the … risk attitudes of individuals working in these occupations. We find that willingness to take risk is positively correlated …
Persistent link: https://www.econbiz.de/10013107726