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Norton, Edward C. - 2012

Although independent unobserved heterogeneity--variables that affect the dependent variable but are independent from the other explanatory variables of interest--do not affect the point estimates or marginal effects in least squares regression, they do affect point estimates in nonlinear models...

Persistent link: https://www.econbiz.de/10013103062

Real Option Exercise : Empirical Evidence

Décaire, Paul - 2019

We study when and why firms exercise real options. Using detailed project-level investment data, we find that the likelihood that a firm exercises a real option is strongly related to peer exercise behavior. Peer exercise decisions are as important in explaining exercise behavior as variables...

Persistent link: https://www.econbiz.de/10012891314

Locked Up by a Lockup : Valuing Liquidity as a Real Option

Ang, Andrew - 2010

Hedge funds often impose lockups and notice periods to limit the ability of investors to withdraw capital. We model the investor's decision to withdraw capital as a real option and treat lockups and notice periods as exercise restrictions. Our methodology incorporates time-varying probabilities...

Persistent link: https://www.econbiz.de/10013144497

Tests for Unit Roots : a Monte Carlo Investigation

Schwert, G. William - 2021

Recent work by Said and Dickey (1984 ,1985) , Phillips (1987), and Phillips and Perron(1988) examines tests for unit roots in the autoregressive part of mixed autoregressive-integrated-moving average (ARIHA) models (tests for stationarity). Monte Carlo experiments show that these unit root tests...

Persistent link: https://www.econbiz.de/10013240352

Using Wasserstein Generative Adversarial Networks for the Design of Monte Carlo Simulations

Athey, Susan - 2019

their analytic approach to a given setting, and (ii) systematic simulation studies can be helpful for selecting among …

Persistent link: https://www.econbiz.de/10012857741

One-Node Quadrature Beats Monte Carlo : A Generalized Stochastic Simulation Algorithm

Judd, Kenneth L. - 2011

In conventional stochastic simulation algorithms, Monte Carlo integration and curve fitting are merged together and … stochastic simulation approach in which integration and curve fitting are separated. We specifically allow for the use of … achieve accuracy of solutions that is orders of magnitude higher than that of the conventional stochastic simulation …

Persistent link: https://www.econbiz.de/10013131303

Partisan Conflict and Private Investment

Azzimonti, Marina - 2015

American politics have been characterized by a high degree of partisan conflict in recent years. Combined with a divided government, this has led not only to significant Congressional gridlock, but also to spells of high fiscal policy uncertainty. The unusually slow recovery from the Great...

Persistent link: https://www.econbiz.de/10013021015

Predictive Regressions

Stambaugh, Robert F. - 2010

When a rate of return is regressed on a lagged stochastic regressor, such as a dividend yield, the regression disturbance is correlated with the regressor's innovation. The OLS estimator's finite-sample properties, derived here, can depart substantially from the standard regression setting....

Persistent link: https://www.econbiz.de/10012763765

Macroeconomics and Arch

Hamilton, James D. - 2010

Although ARCH-related models have proven quite popular in finance, they are less frequently used in macroeconomic applications. In part this may be because macroeconomists are usually more concerned about characterizing the conditional mean rather than the conditional variance of a time series....

Persistent link: https://www.econbiz.de/10012759101

Rank-1/2 : A Simple Way to Improve the Ols Estimation of Tail Exponents

Ibragimov, Rustam Ju. - 2007

Despite the availability of more sophisticated methods, a popular way to estimate a Pareto exponent is still to run an OLS regression: log(Rank)=a-b log(Size), and take b as an estimate of the Pareto exponent. The reason for this popularity is arguably the simplicity and robustness of this...

Persistent link: https://www.econbiz.de/10012776020