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Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology
Shanken, Jay; Kan, Raymond; Robotti, Cesare - National Bureau of Economic Research (NBER) - 2009
Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the two-pass cross-sectional regression (CSR) methodology has become the most popular approach for estimating and testing asset pricing models. Statistical inference with this method is typically conducted under the assumption...
Persistent link: https://www.econbiz.de/10005025630
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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-pecuniary component of utility associated with each choice alternative. Previous work has found that, without parametric restrictions or the availability of covariates, all of the...
Persistent link: https://www.econbiz.de/10005714411
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Distortionary Taxation, Excessive Price Sensitivity, and Japanese Land Prices
Nishimura, Kiyohiko G.; Yamazaki, Fukujyu; Idee, Takako; … - National Bureau of Economic Research (NBER) - 1999
Japan has experienced turbulent behavior of land prices after World War II, especially after 1985. This paper first examines the explanatory power of a simple present-value model and shows its limitation. We then investigate two additional (not mutually exclusive) factors affecting the Japanese...
Persistent link: https://www.econbiz.de/10005829220
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The Econometrics of DSGE Models
Fernandez-Villaverde, Jesus - National Bureau of Economic Research (NBER) - 2009
In this paper, I review the literature on the formulation and estimation of dynamic stochastic general equilibrium (DSGE) models with a special emphasis on Bayesian methods. First, I discuss the evolution of DSGE models over the last couple of decades. Second, I explain why the profession has...
Persistent link: https://www.econbiz.de/10005720405
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Solving and Estimating Indeterminate DSGE Models
Farmer, Roger E. A.; Khramov, Vadim; Nicolò, Giovanni - National Bureau of Economic Research (NBER) - 2013
We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare and Gensys. Our method redefines a subset of expectational errors as new...
Persistent link: https://www.econbiz.de/10011165114
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Beliefs, Doubts and Learning: Valuing Economic Risk
Hansen, Lars Peter - National Bureau of Economic Research (NBER) - 2007
This paper explores two perspectives on the rational expectations hypothesis. One perspective is that of economic agents in such a model, who form inferences about the future using probabilities implied by the model. The other is that of an econometrician who makes inferences about the...
Persistent link: https://www.econbiz.de/10005775165
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Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
Schorfheide, Frank; Yaron, Amir; Song, Dongho - National Bureau of Economic Research (NBER) - 2014
multiple stochastic volatility processes. The estimation is based on annual consumption data from 1929 to 1959, monthly … predictable component and use high-frequency data, whenever available, to efficiently identify the volatility processes. Our … are omitted from the estimation). Three independent volatility processes capture different frequency dynamics; our …
Persistent link: https://www.econbiz.de/10010821674
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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
volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …
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
stochastic volatility. Our approach uses linear regression to reduce the dimension of the numerical optimization problem yet it … cross-section of yields well but not volatility while unspanned models fit volatility at the expense of fitting the cross-section. …
Persistent link: https://www.econbiz.de/10011262793
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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 establish that three popular canonical representations are unidentified, and demonstrate how unidentified regions can complicate numerical optimization. A separate contribution of the...
Persistent link: https://www.econbiz.de/10009421968