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Quantile regression(QR) fits a linear model for conditional quantiles, just as ordinary least squares (OLS) fits a linear model for conditional means. An attractive feature of OLS is that it gives the minimum mean square error linear approximation to the conditional expectation function even...
Persistent link: https://www.econbiz.de/10013221315
In this paper, we propose a new approach to the estimation of social networks and we apply it to the estimation of productivity spillovers in the U.S. Congress. Social networks such as the social connections among lawmakers are not generally directly observed, they can be recovered only using...
Persistent link: https://www.econbiz.de/10013292429
Using U.S. Bureau of Economic Analysis data for individual foreign acquisitions and new establishments in the U.S from 1988 to 1998, and aggregate data for 1980 to 1998, we find that acquisitions and establishments of new firms tend to occur in periods of high U.S. growth and take place mainly...
Persistent link: https://www.econbiz.de/10013224850
This paper proposes a framework to account for innovation similar to the usual accounting framework in production analysis and a measure of innovativity comparable to that of total factor productivity. This innovation accounting framework is illustrated using micro-aggregated firm data from the...
Persistent link: https://www.econbiz.de/10013218733
We consider the sensitivity of the Tobit estimator to heteroscedasticity. Our single independent variable is a dummy variable whose coefficient is a difference between group means, and the error variance differs between groups. Heteroscedasticity biases the Tobit estimate of the two means in...
Persistent link: https://www.econbiz.de/10013249585
Applied economists have long struggled with the question of how to accommodate binary endogenous regressors in models with binary and non-negative outcomes. I argue here that much of the difficulty with limited-dependent variables comes from a focus on structural parameters, such as index...
Persistent link: https://www.econbiz.de/10013213450
We use a dynamic panel Tobit model with heteroskedasticity to generate point, set, and density forecasts for a large cross-section of short time series of censored observations. Our fully Bayesian approach allows us to flexibly estimate the cross-sectional distribution of heterogeneous...
Persistent link: https://www.econbiz.de/10012857740
Practitioners of empirical health economics might be forgiven for paying little heed to the recent 50th anniversary of the publication of one of the most important papers in its methodological heritage: James Tobin's widely-cited 1958 Econometrica paper that developed what later became known as...
Persistent link: https://www.econbiz.de/10012754979
We present a simple way to estimate the effects of changes in a vector of observable variables X on a limited dependent variable Y when Y is a general nonseparable function of X and unobservables. We treat models in which Y is censored from above or below or potentially from both. The basic idea...
Persistent link: https://www.econbiz.de/10012758600
Interpreting accruals as working capital investment, we hypothesize that firms rationally adjust their investment to respond to discount rate changes. Consistent with the optimal investment hypothesis, we document that (i) the predictive power of accruals for future stock returns increases with...
Persistent link: https://www.econbiz.de/10012773304