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A Model of Momentum
Liu, Laura Xiaolei - 2011
Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...
Persistent link: https://www.econbiz.de/10013130782
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Estimation of Dynamic Discrete Choice Models by Maximum Likelihood and the Simulated Method of Moments
Eisenhauer, Phillipp - 2014
We compare the performance of maximum likelihood (ML) and simulated method of moments (SMM) estimation for dynamic discrete choice models. We construct and estimate a simplified dynamic structural model of education that captures some basic features of educational choices in the United States in...
Persistent link: https://www.econbiz.de/10013044978
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Small Sample Properties of Generalized Method of Moments Based Wald Tests
Burnside, A. Craig; Eichenbaum, Martin - 2021
asymptotic distribution theory leads one to reject joint hypothesis tests far too often. We argue that the source of the problem …
Persistent link: https://www.econbiz.de/10013224900
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Using Weights to Adjust for Sample Selection When Auxiliary Information is Available
Nevo, Aviv - 2001
In this paper I analyze GMM estimation when the sample is not a random draw from the population of interest. I exploit auxiliary information, in the form of moments from the population of interest, in order to compute weights that are proportional to the inverse probability of selection. The...
Persistent link: https://www.econbiz.de/10014122994
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Small Sample Properties of GMM for Business Cycle Analysis
Christiano, Lawrence J.; den Haan, Wouter J. - 2022
indicate that, for the procedures considered, the existing asymptotic theory is not a good guide in a sample the size of …
Persistent link: https://www.econbiz.de/10013310180
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International Risk Sharing in the Short Run and in the Long Run
Baxter, Marianne - 2011
International risk-sharing has far-reaching implications both for economic policy and for basic research in economics. When countries do not share risk, individuals in those countries experience fluctuations in their consumption levels that are undesirable and possibly unnecessary. This paper...
Persistent link: https://www.econbiz.de/10013129220
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On the Correlation Structure of Microstructure Noise : A Financial Economic Approach
Diebold, Francis X. - 2010
volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent … returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation … geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted. Our results are …
Persistent link: https://www.econbiz.de/10013137011
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Testing the Correlated Random Coefficient Model
Heckman, James J. - 2012
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/10013116685
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The Lucas Orchard
Martin, Ian - 2011
This paper investigates the behavior of asset prices in an endowment economy in which a representative agent with power utility consumes the dividends of multiple assets. The assets are Lucas trees; a collection of Lucas trees is a Lucas orchard. The model generates return correlations that vary...
Persistent link: https://www.econbiz.de/10013118845
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Estimating the Effects of Large Shareholders Using a Geographic Instrument
Becker, Bo - 2011
Large shareholders may play an important role for firm performance and policies, but identifying this empirically presents a challenge due to the endogeneity of ownership structures. We develop and test an empirical framework which allows us to separate selection from treatment effects of large...
Persistent link: https://www.econbiz.de/10013120315