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Testing Conditional Factor Models
Ang, Andrew; Kristensen, Dennis - National Bureau of Economic Research (NBER) - 2011
Using nonparametric techniques, we develop a methodology for estimating conditional alphas and betas and long-run alphas and betas, which are the averages of conditional alphas and betas, respectively, across time. The tests can be performed for a single asset or jointly across portfolios. The...
Persistent link: https://www.econbiz.de/10009359903
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Approximating High-Dimensional Dynamic Models: Sieve Value Function Iteration
Bayer, Patrick; Arcidiacono, Peter; Bugni, Federico A.; … - National Bureau of Economic Research (NBER) - 2012
Many dynamic problems in economics are characterized by large state spaces which make both computing and estimating the model infeasible. We introduce a method for approximating the value function of high-dimensional dynamic models based on sieves and establish results for the: (a) consistency,...
Persistent link: https://www.econbiz.de/10009652758
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Nonlinear Policy Rules and the Identification and Estimation of Causal Effects in a Generalized Regression Kink Design
Card, David E.; Lee, David; Pei, Zhuan; Weber, Andrea - National Bureau of Economic Research (NBER) - 2012
We consider nonparametric identification and estimation in a nonseparable model where a continuous regressor of … endogenous assignment variable (like previous earnings). We provide new results on identification and estimation for these … that the smooth density condition that is sufficient for identification rules out extreme sorting around the kink, but is …
Persistent link: https://www.econbiz.de/10010950873
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A Martingale Representation for Matching Estimators
Abadie, Alberto; Imbens, Guido - National Bureau of Economic Research (NBER) - 2009
Matching estimators (Rubin, 1973a, 1977; Rosenbaum, 2002) are widely used in statistical data analysis. However, the large sample distribution of matching estimators has been derived only for particular cases (Abadie and Imbens, 2006). This article establishes a martingale representation for...
Persistent link: https://www.econbiz.de/10005575272
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Matching on the Estimated Propensity Score
Abadie, Alberto; Imbens, Guido - National Bureau of Economic Research (NBER) - 2009
Propensity score matching estimators (Rosenbaum and Rubin, 1983) are widely used in evaluation research to estimate average treatment effects. In this article, we derive the large sample distribution of propensity score matching estimators. Our derivations take into account that the propensity...
Persistent link: https://www.econbiz.de/10005108404
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Nonparametric Identification and Estimation in a Generalized Roy Model
Bayer, Patrick; Khan, Shakeeb; Timmins, Christopher - National Bureau of Economic Research (NBER) - 2008
This paper considers nonparametric identification and estimation of a generalized Roy model that includes a non … alternative assumptions under which we prove identification, derive asymptotic properties, and illustrate small sample properties …
Persistent link: https://www.econbiz.de/10005714411
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Identification and Estimation of Gaussian Affine Term Structure Models
Hamilton, James; Wu, Jing Cynthia - National Bureau of Economic Research (NBER) - 2012
This paper develops new results for identification and estimation of Gaussian affine term structure models. We …
Persistent link: https://www.econbiz.de/10009421968
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The Joint Cross Section of Stocks and Options
Ang, Andrew; An, Byeong-Je; Bali, Turan G.; Cakici, Nusret - National Bureau of Economic Research (NBER) - 2013
Stocks with large increases in call implied volatilities over the previous month tend to have high future returns while stocks with large increases in put implied volatilities over the previous month tend to have low future returns. Sorting stocks ranked into decile portfolios by past call...
Persistent link: https://www.econbiz.de/10010951430
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Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility
Creal, Drew D.; Wu, Jing Cynthia - National Bureau of Economic Research (NBER) - 2014
We develop new procedures for maximum likelihood estimation of affine term structure models with spanned or unspanned stochastic volatility. Our approach uses linear regression to reduce the dimension of the numerical optimization problem yet it produces the same estimator as maximizing the...
Persistent link: https://www.econbiz.de/10011262793
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Cointegration and Consumption Risks in Asset Returns
Bansal, Ravi; Dittmar, Robert F.; Kiku, Dana - National Bureau of Economic Research (NBER) - 2007
We argue that the cointegrating relation between dividends and consumption, a measure of long run consumption risks, is a key determinant of risk premia at all investment horizons. As the investment horizon increases, transitory risks disappear, and the asset's beta is dominated by long run...
Persistent link: https://www.econbiz.de/10005710762