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By 1989 the Michigan Panel Study on Income Dynamics (PSID) had experienced approximately 50 percent sample loss from …
Persistent link: https://www.econbiz.de/10013216883
inferred using only cross-sectional data. Panel or longitudinal data where the same units are observed repeatedly at different … units who respond in initial waves of the panel may drop out in subsequent waves, so that the subsample with complete data … for all waves of the panel can be less representative of the population than the original sample. Sometimes, in the hope …
Persistent link: https://www.econbiz.de/10013246678
We propose a simple cross-sectional technique to extract daily factors from economic news released at different times and frequencies. Our approach can effectively handle the large number of different announcements that are relevant for tracking current economic conditions. We apply the...
Persistent link: https://www.econbiz.de/10013072867
.8. Economic theory of how to map these multipliers into a national multiplier has also advanced. Drawing on the theoretical …
Persistent link: https://www.econbiz.de/10012951882
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
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
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
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
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
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