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A New Use of Importance Sampling to Reduce Computational Burden in Simulation Estimation
Ackerberg, Daniel A. - 2011
Method of Simulated Moments (MSM) estimators introduced by McFadden (1989)and Pakes and Pollard (1989) are of great use to applied economists. They are relatively easy to use even for estimating very complicated economic models. One simply needs to generate simulated data according to the model...
Persistent link: https://www.econbiz.de/10013127757
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Use of Propensity Scores in Non-Linear Response Models : The Case for Health Care Expenditures
Basu, Anirban - 2010
Under the assumption of no unmeasured confounders, a large literature exists on methods that can be used to estimating average treatment effects (ATE) from observational data and that spans regression models, propensity score adjustments using stratification, weighting or regression and even the...
Persistent link: https://www.econbiz.de/10012759214
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Simulation and Estimation of Nonaddative Hedonic Models
Heckman, James J.; Matzkin, Rosa L.; Nesheim, Lars - 2021
Making use of restrictions imposed by equilibrium, theoretical progress has been made on the nonparametric and semiparametric estimation and identification of scalar additive hedonic models (Ekeland, Heckman, and Nesheim, 2002) and scalar nonadditive hedonic models (Heckman, Matzkin, and...
Persistent link: https://www.econbiz.de/10013219280
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Full Information Estimation and Stochastic Simulation of Models with Rational Expectations
Fair, Ray C.; Taylor, John B. - 2021
expectations is described in this paper. The stochastic simulation of such models is also described. The methods discussed in this …
Persistent link: https://www.econbiz.de/10013238973
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Regression-Based Tests of Predictive Ability
West, Kenneth D.; McCracken, Michael W. - 2021
We develop regression-based tests of hypotheses about out of sample prediction errors. Representative tests include ones for zero mean and zero correlation between a prediction error and a vector of predictors. The relevant environments are ones in which predictions depend on estimated...
Persistent link: https://www.econbiz.de/10013247220
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Estimating and Testing Beta Pricing Models : Alternative Methods and Their Performance in Simulations
Shanken, Jay A.; Zhou, Guofu - 2021
In this paper, we conduct a simulation analysis of the Fama and MacBeth (1973) two-pass procedure, as well as maximum …
Persistent link: https://www.econbiz.de/10013311955
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Capabilities and Skills
Heckman, James J. - 2016
This paper discusses the relevance of recent research on the economics of human development to the work of the Human Development and Capability Association. The recent economics of human development brings insights about the dynamics of skill accumulation to an otherwise static literature on...
Persistent link: https://www.econbiz.de/10012989119
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The Effect of Evaluation on Performance : Evidence from Longitudinal Student Achievement Data of Mid-Career Teachers
Taylor, Eric S. - 2011
The effect of evaluation on employee performance is traditionally studied in the context of the principal-agent problem …. Evaluation can, however, also be characterized as an investment in the evaluated employee's human capital. We study a sample of … mid-career public school teachers where we can consider these two types of evaluation effect separately. Employee …
Persistent link: https://www.econbiz.de/10013128610
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Estimation and Evaluation of DSGE Models : Progress and Challenges
Schorfheide, Frank - 2011
advances in the estimation and evaluation of DSGE models, discusses current challenges, and provides avenues for future …
Persistent link: https://www.econbiz.de/10013130259
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Estimation and Evaluation of Conditional Asset Pricing Models
Nagel, Stefan - 2010
We find that several recently proposed consumption-based models of stock returns, when evaluated using an optimal set of managed portfolios and the associated model-implied conditional moment restrictions, fail to capture key features of risk premiums in equity markets. To arrive at these...
Persistent link: https://www.econbiz.de/10013137023