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Infinite dimensional VARs and factor models
Chudik, Alexander; Pesaran, Mohammad Hashem - 2007
that this will lead to a dynamic factor model with the dominant unit acting as the factor. The problems of estimation and …
Persistent link: https://www.econbiz.de/10010276258
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Aggregation in large dynamic panels
Pesaran, Mohammad Hashem; Chudik, Alexander - 2011
Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper …
Persistent link: https://www.econbiz.de/10010285520
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Testing CAPM with a large number of assets
Pesaran, Hashem; Yamagata, Takashi - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to … evidence against Sharpe-Lintner CAPM is found mainly during the recent financial crisis. Furthermore, a strong negative …
Persistent link: https://www.econbiz.de/10010282392
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Estimating the technology of cognitive and noncognitive skill formation
Cunha, Flavio; Heckman, James Joseph; Schennach, Susanne - 2010
This paper formulates and estimates multistage production functions for children's cognitive and noncognitive skills. Skills are determined by parental environments and investments at different stages of childhood. We estimate the elasticity of substitution between investments in one period and...
Persistent link: https://www.econbiz.de/10010274255
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Modeling Area-Level Health Rankings
Courtemanche, Charles; Soneji, Samir; Tchernis, Rusty - 2013
We propose a Bayesian factor analysis model to rank the health of localities. Mortality and morbidity variables empirically contribute to the resulting rank, and population and spatial correlation are incorporated into a measure of uncertainty. We use county-level data from Texas and Wisconsin...
Persistent link: https://www.econbiz.de/10010328998
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Do college-bound high school students need an extra year? Evidence from Ontario's 'double cohort'
Morin, Louis-Philippe - 2007
The Local Average Treatment Effect (LATE) interpretation of the IV estimates of the returns to schooling is becoming increasingly popular. Typically, researchers reporting LATE estimates do not provide systematic evidence that there is substantial heterogeneity across different ability levels in...
Persistent link: https://www.econbiz.de/10010268577
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Exponent of cross-sectional dependence: Estimation and inference
Bailey, Natalia; Kapetanios, George; Pesaran, 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/10010282124
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Produce or speculate? Asset bubbles, occupational choice and efficiency
Cahuc, Pierre; Challe, Edouard - 2009
We study the macroeconomic effects of rational asset bubbles in an overlapping-generations economy where asset trading … are large, the private gains associated with trading asset bubbles may lead too many workers to become speculators …, thereby causing rational bubbles to lose their efficiency properties. Moreover, if speculation can be carried out by skilled …
Persistent link: https://www.econbiz.de/10010269510
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To see is to believe: Common expectations in experimental asset markets
Cheung, Stephen L.; Hedegaard, Morten; Palan, Stefan - 2012
We challenge the recent claim that mispricing in the experimental asset markets introduced by Smith, Suchanek, and Williams (1988) is merely an artefact of confusion over declining fundamental value, and can be eliminated through appropriate training. We instead propose that when training is...
Persistent link: https://www.econbiz.de/10010289899
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Testing for poverty dominance: an application to Canada
Chen, Wen-Hao; Duclos, Jean-Yves - 2008
The paper proposes and applies statistical tests for poverty dominance that check for whether poverty comparisons can be made robustly over ranges of poverty lines and classes of poverty indices. This helps provide both normative and statistical confidence in establishing poverty rankings across...
Persistent link: https://www.econbiz.de/10010272033