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Bergbauer, Annika - 2018

School systems regularly use student assessments for accountability purposes. But, as highlighted by our conceptual model, different configurations of assessment usage generate performance-conducive incentives of different strengths for different stakeholders in different school environments. We...

Persistent link: https://www.econbiz.de/10012914273

Real-Time Multivariate Density Forecast Evaluation and Calibration : Monitoring the Risk of High-Frequency Returns on Foreign Exchange

Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. A. - 2021

We provide a framework for evaluating and improving multivariate density forecasts. Among other things, the multivariate framework lets us evaluate the adequacy of density forecasts involving cross-variable interactions, such as time-varying conditional correlations. We also provide conditions...

Persistent link: https://www.econbiz.de/10013239958

"Peso Problem" Explanations for Term Structure Anomalies

Bekaert, Geert; Hodrick, Robert J.; Marshall, David Aaron - 2021

We examine the empirical evidence on the expectations hypothesis of the term structure of interest rates in the United States, the United Kingdom, and Germany using the Campbell-Shiller (1991) regressions and a vector-autoregressive" methodology. We argue that anomalies in the U.S. term...

Persistent link: https://www.econbiz.de/10013232709

A Comparison of Alternative Instruments Variables Estimators of a Dynamic Linear Model

West, Kenneth D.; Wilcox, David W. - 2021

Using a dynamic linear equation that has a conditionally homoskedastic moving average disturbance, we compare two parameterizations of a commonly used instrumental variables estimator (Hansen (1982)) to one that is asymptotically optimal in a class of estimators that includes the conventional...

Persistent link: https://www.econbiz.de/10013221991

Accounting for Dropouts in Evaluations of Social Experiments

Heckman, James J.; Smith, Jeffrey A.; Taber, Christopher - 2021

This paper considers the statistical and economic justification for one widely-used method of adjusting data from social experiments to account for dropping-out behavior due to Bloom (1984). We generalize the method to apply to distributions not just means, and present tests of the key...

Persistent link: https://www.econbiz.de/10013223352

Biases in Twin Estimates of the Return to Schooling : A Note on Recent Research

Neumark, David - 2021

Ashenfelter and Krueger's (1993) within-twin, measurement-error- corrected estimate of the return to schooling is about 13-16 percent. If their estimate is unbiased, then their results imply considerable downward measurement error bias in uncorrected within-twin estimates of the return to...

Persistent link: https://www.econbiz.de/10013224439

Split Sample Instrumental Variables

Angrist, Joshua D.; Krueger, Alan B. - 2021

Instrumental Variables (IV) estimates tend to be biased in the same direction as Ordinary Least Squares (OLS) in finite samples if the instruments are weak. To address this problem we propose a new IV estimator which we call Split Sample Instrumental Variables (SSIV). SSIV works as follows: we...

Persistent link: https://www.econbiz.de/10013225846

A Two-Stage Estimator for Probit Models with Structural Group Effects

Borjas, George J.; Sueyoshi, Glenn T. - 2021

This paper outlines a two-stage technique for estimation and inference in probit models with structural group effects … computational reasons, existing random-effects models are impractical for estimation and inference in this type of problem. Our two … terms of estimation and inference -- to traditional estimators …

Persistent link: https://www.econbiz.de/10013226202

The Cure Can Be Worse than the Disease : A Cautionary Tale Regarding Instrumental Variables

Bound, John; Jaeger, David A.; Baker, Regina - 2021

approaches O. To illustrate these problems with IV estimation we reexamine the results of the recent provocative paper by Angrist … instruments from the first stage estimation be reported when using IV as approximate guides to the quality of the IV estimates …

Persistent link: https://www.econbiz.de/10013227536

Identification of Causal Effects Using Instrumental Variables

Angrist, Joshua D.; Imbens, Guido; Rubin, Donald B. - 2021

Persistent link: https://www.econbiz.de/10013227786