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Firms’ fundamentals, macroeconomic variables and quarterly stock prices in the US

Bhargava, Alok - In: Journal of Econometrics 183 (2014) 2, pp. 241-250

This paper modeled the effects of firms’ fundamentals such as total assets and long-term debt and of macroeconomic variables such as unemployment and interest rates on quarterly stock prices of over 3000 US firms in the period 2000–07. The merged CRSP/Compustat database was augmented by...

Persistent link: https://www.econbiz.de/10011077590

Semiparametric estimation of models with conditional moment restrictions in the presence of nonclassical measurement errors

Song, Suyong - In: Journal of Econometrics 185 (2015) 1, pp. 95-109

endogeneity and measurement errors of the causes of interest, which has been observed in linear parametric models. Two … method. It supports that correcting for both endogeneity and measurement errors on total expenditure is substantial in …

Persistent link: https://www.econbiz.de/10011190706

Modeling and testing smooth structural changes with endogenous regressors

Chen, Bin - In: Journal of Econometrics 185 (2015) 1, pp. 196-215

and testing methods are designed for models without endogeneity. Little attention has been paid to models with endogeneous … series model with potential time-varying endogeneity. A local linear two stage least squared estimation is developed to … points in regression models with potential endogeneity. The idea is to compare the fitted values of the unrestricted …

Persistent link: https://www.econbiz.de/10011190710

Nonlinear regressions with nonstationary time series

Chan, Nigel; Wang, Qiying - In: Journal of Econometrics 185 (2015) 1, pp. 182-195

This paper develops asymptotic theory for a nonlinear parametric cointegrating regression model. We establish a general … the previous works. We also introduce endogeneity to the model by allowing the error to be serially dependent on and cross …

Persistent link: https://www.econbiz.de/10011190730

Non parametric analysis of panel data models with endogenous variables

Fève, Frédérique; Florens, Jean-Pierre - In: Journal of Econometrics 181 (2014) 2, pp. 151-164

This paper considers the estimation of panel data models by first differences in the presence of endogenous variables and under an instrumental variables condition. This framework leads to the resolution of linear inverse problems solved using a Tikhonov regularization with L2 or Sobolev...

Persistent link: https://www.econbiz.de/10010785286

Instrumental variables estimation with many weak instruments using regularized JIVE

Hansen, Christian; Kozbur, Damian - In: Journal of Econometrics 182 (2014) 2, pp. 290-308

We consider instrumental variables regression in models where the number of available instruments may be larger than the sample size and consistent model selection in the first stage may not be possible. Such a situation may arise when there are many weak instruments. With many weak instruments,...

Persistent link: https://www.econbiz.de/10010906800

Testing predictive regression models with nonstationary regressors

Cai, Zongwu; Wang, Yunfei - In: Journal of Econometrics 178 (2014) P1, pp. 4-14

Due to nonstationary (nearly integrated or integrated) regressors and the embedded endogeneity, a linear predictive … coefficients in predictive regression models. We apply a projection method to remove the embedded endogeneity and then adopt a two …

Persistent link: https://www.econbiz.de/10011052245

Quantile treatment effects in the regression discontinuity design

Frandsen, Brigham R.; Frölich, Markus; Melly, Blaise - In: Journal of Econometrics 168 (2012) 2, pp. 382-395

We introduce a nonparametric estimator for local quantile treatment effects in the regression discontinuity (RD) design. The procedure uses local distribution regression to estimate the marginal distributions of the potential outcomes. We illustrate the procedure through Monte Carlo simulations...

Persistent link: https://www.econbiz.de/10011052292

Predictive regression under various degrees of persistence and robust long-horizon regression

Phillips, Peter C.B.; Lee, Ji Hyung - In: Journal of Econometrics 177 (2013) 2, pp. 250-264

The paper proposes a novel inference procedure for long-horizon predictive regression with persistent regressors, allowing the autoregressive roots to lie in a wide vicinity of unity. The invalidity of conventional tests when regressors are persistent has led to a large literature dealing with...

Persistent link: https://www.econbiz.de/10011052297

Bayesian model averaging in the instrumental variable regression model

Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney - In: Journal of Econometrics 171 (2012) 2, pp. 237-250

This paper considers the instrumental variable regression model when there is uncertainty about the set of instruments, exogeneity restrictions, the validity of identifying restrictions and the set of exogenous regressors. This uncertainty can result in a huge number of models. To avoid...

Persistent link: https://www.econbiz.de/10010588326