Similar Search Results

Ehsani, Sina - 2019

Momentum in individual stock returns emanates from momentum in factor returns. Most factors are positively autocorrelated: the average factor earns a monthly return of 1 basis point following a year of losses and 53 basis points following a positive year. Factor momentum explains all forms of...

Persistent link: https://www.econbiz.de/10012892574

An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns

Getmansky Sherman, Mila - 2010

The returns to hedge funds and other alternative investments are often highly serially correlated in sharp contrast to the returns of more traditional investment vehicles such as long-only equity portfolios and mutual funds. In this paper, we explore several sources of such serial correlation...

Persistent link: https://www.econbiz.de/10012762841

The Dynamics of Housing Prices

Titman, Sheridan - 2014

We analyze the prices of owner-occupied housing in 97 metropolitan areas between 1980 and 2011. Our tests indicate that price changes exhibit positive serial correlation at the one year intervals, with subsequent reversals of price changes over longer intervals. Consistent with our simple model,...

Persistent link: https://www.econbiz.de/10013048055

Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments

Stock, James H. - 2018

An exciting development in empirical macroeconometrics is the increasing use of external sources of as-if randomness to identify the dynamic causal effects of macroeconomic shocks. This approach – the use of external instruments – is the time series counterpart of the highly successful...

Persistent link: https://www.econbiz.de/10012929567

Estimating Autocorrelations in Fixed-Effects Models

Solon, Gary - 2021

series data, longitudinal data often contain serially correlated error terms, but the autocorrelation estimators commonly …'s method of correcting for the inconsistency of autocorrelation estimators by generalizing to higher than first … facilitate the identification and estimation of autocorrelation processes in both the generalized Nickell method and an …

Persistent link: https://www.econbiz.de/10013217239

Is the Spurious Regression Problem Spurious?

McCallum, Bennett T. - 2010

accompanied by clear signs of severe autocorrelation in their residuals. A conscientious researcher would therefore not end an … investigation with such a result, but would likely re-estimate with an autocorrelation correction. Simulations show, for several …

Persistent link: https://www.econbiz.de/10013148388

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

Food Stamps as Money and Income

Hamermesh, Daniel S.; Johannes, James M. - 2021

Food Stamps represent nearly $11 billion of personal income in the United States. The coupons that are issued to represent the purchasing power available to recipients are also reserves for the commercial banking system.This study asks how closely these coupons are substitutable for what is...

Persistent link: https://www.econbiz.de/10013228047

Inference with Weak Instruments

Stock, James H.; Andrews, Donald W. K. - 2021

This paper reviews recent developments in methods for dealing with weak instruments (IVs) in IV regression models. The focus is more on tests and confidence intervals derived from tests than on estimators. The paper also presents new testing results under "many weak IV asymptotics," which are...

Persistent link: https://www.econbiz.de/10013228759

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

1
2
3
4
5
6
7
8
9
10
Next
Last