Narrow search
Showing 1 - 10 of 6,280
Cover Image
Robust Standard Errors in Small Samples : Some Practical Advice
Imbens, Guido W. - 2012
In this paper we discuss the properties of confidence intervals for regression parameters based on robust standard errors. We discuss the motivation for a modification suggested by Bell and McCaffrey (2002) to improve the finite sample properties of the confidence intervals based on the...
Persistent link: https://www.econbiz.de/10013099125
Cover Image
To Hold Out or Not to Hold Out
Schorfheide, Frank - 2013
A recent literature has developed that combines two prominent empirical approaches to ex ante policy evaluation: randomized controlled trials (RCT) and structural estimation. The RCT provides a "gold-standard'' estimate of a particular treatment, but only of that treatment. Structural estimation...
Persistent link: https://www.econbiz.de/10013073955
Cover Image
Information Costs and Sequential Information Sampling
Hebert, Benjamin - 2018
We propose a new approach to modeling the cost of information structures in rational inattention problems, the "neighborhood-based" cost functions. These cost functions have two properties that we view as desirable: they summarize the results of a sequential evidence accumulation problem, and...
Persistent link: https://www.econbiz.de/10012907127
Cover Image
Non-Randomly Sampled Networks : Biases and Corrections
Hsieh, Chih-Sheng - 2018
first characterize the biases in both network statistics and estimates of network effects under non-random sampling …-classical measurement-error problems when applied as regressors. Apart from the sampling rate and the elicitation procedure, these biases … applied to network data collected via both designed and non-designed sampling procedures, does not require one to assume any …
Persistent link: https://www.econbiz.de/10012907751
Cover Image
Taking the Cochrane-Piazzesi Term Structure Model Out of Sample : More Data, Additional Currencies, and FX Implications
Hodrick, Robert J. - 2018
We examine the Cochrane and Piazzesi (2005, 2008) model in several out-of-sample analyzes. The model's one-factor forecasting structure characterizes the term structures of additional currencies in samples ending in 2003. In post-2003 data one-factor structures again characterize each currency's...
Persistent link: https://www.econbiz.de/10012910309
Cover Image
Data-Snooping Biases in Tests of Financial Asset Pricing Models
Lo, Andrew W. - 2010
We investigate the extent to which tests of financial asset pricing models may be biased by using properties of the data to construct the test statistics. Specifically, we focus on tests using returns to portfolios of common stock where portfolios are constructed by sorting on some empirically...
Persistent link: https://www.econbiz.de/10012763376
Cover Image
Estimating the Risk-Return Trade-Off with Overlapping Data Inference
Hedegaard, Esben - 2014
Asset pricing models such as the conditional CAPM are typically estimated with MLE using a monthly or quarterly horizon with data sampled to match the horizon even though daily data are available. We develop an overlapping data inference methodology (ODIN) that uses all of the data while...
Persistent link: https://www.econbiz.de/10013056866
Cover Image
An Analysis of Sample Attrition in Panel Data : The Michigan Panel Study of Income Dynamics
Fitzgerald, John M.; Gottschalk, Peter; Moffitt, Robert A. - 2021
By 1989 the Michigan Panel Study on Income Dynamics (PSID) had experienced approximately 50 percent sample loss from cumulative attrition from its initial 1968 membership. We study the effect of this attrition on the unconditional distributions of several socioeconomic variables and on the...
Persistent link: https://www.econbiz.de/10013216883
Cover Image
An Econometric Analysis of Nonsynchronous Trading
Lo, Andrew W.; Mackinlay, A. Craig - 2021
We develop a stochastic model of nonsynchronous asset prices based on sampling with random censoring. In addition to …
Persistent link: https://www.econbiz.de/10013217218
Cover Image
The Effect of Age at School Entry on Educational Attainment : An Application of Instrumental Variables with Moments from Two Samples
Angrist, Joshua D.; Krueger, Alan B. - 2021
This paper tests the hypothesis that compulsory school attendance laws, which typically require school attendance until a specified birthday, induce a relationship between the years of schooling and age at school entry. Variation in school start age created by children's date of birth provides a...
Persistent link: https://www.econbiz.de/10013235294