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Regression Discontinuity in Time : Considerations for Empirical Applications
Hausman, Catherine - 2017
Recent empirical work in several economic fields, particularly environmental and energy economics, has adapted the regression discontinuity (RD) framework to applications where time is the running variable and treatment begins at a particular threshold in time. In this guide for practitioners,...
Persistent link: https://www.econbiz.de/10012951355
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An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns
Getmansky Sherman, Mila - 2010
, we explore several sources of such serial correlation and show that the most likely explanation is illiquidity exposure …
Persistent link: https://www.econbiz.de/10012762841
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Regime-Switching and the Estimation of Multifractal Processes
Calvet, Laurent E.; Fisher, Adlai J. - 2021
We propose a discrete-time stochastic volatility model in which regime switching serves three purposes. First, changes in regimes capture low frequency variations, which is their traditional role. Second, they specify intermediate frequency dynamics that are usually assigned to smooth...
Persistent link: https://www.econbiz.de/10013227022
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A Model-Based Evaluation of the Debate on the Size of the Tax Multiplier
Chahrour, Ryan - 2010
The SVAR and narrative approaches to estimating tax multipliers deliver significantly different results. The former yields multipliers of about 1 percent, whereas the latter produces much larger multipliers of about 3 percent. The SVAR and narrative approaches differ along two important...
Persistent link: https://www.econbiz.de/10013141281
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The Pruned State-Space System for Non-Linear DSGE Models : Theory and Empirical Applications
Andreasen, Martin M. - 2013
This paper studies the pruned state-space system for higher-order approximations to the solutions of DSGE models. For second- and third-order approximations, we derive the statistical properties of this system and provide closed-form expressions for first and second unconditional moments and...
Persistent link: https://www.econbiz.de/10013083081
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Assessing DSGE Model Nonlinearities
Aruoba, S. Borağan - 2013
We develop a new class of nonlinear time-series models to identify nonlinearities in the data and to evaluate nonlinear DSGE models. U.S. output growth and the federal funds rate display nonlinear conditional mean dynamics, while inflation and nominal wage growth feature conditional...
Persistent link: https://www.econbiz.de/10013071908
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Identification and Inference in Nonlinear Difference-in-Differences Models
Athey, Susan; Imbens, Guido W. - 2021
This paper develops an alternative approach to the widely used Difference-In-Difference (DID) method for evaluating the effects of policy changes. In contrast to the standard approach, we introduce a nonlinear model that permits changes over time in the effect of unobservables (e.g., there may...
Persistent link: https://www.econbiz.de/10013234399
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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