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News About News : Information Arrival and Irreversible Investment
Drazen, Allan - 1999
-expected utility theory. Our framework allows us to study irreversible investment projects whose value has a time-variable volatility …We analyze how uncertainty about when information about future returns to a project may be revealed affects investment …. While 'good news' about future returns boosts investment, 'good news about news' (that is news that information may arrive …
Persistent link: https://www.econbiz.de/10012471511
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Welfare Analysis of Tax Reforms Using Household Data
King, Mervyn A. - 1981
The paper discusses a methodology for calculating the distribution of gains and losses from a policy change using data for a large sample of households. Estimates are based on the equivalent income function, which is money metric utility defined over observable variables. This enables...
Persistent link: https://www.econbiz.de/10012478410
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A New Use of Importance Sampling to Reduce Computational Burden in Simulation Estimation
Ackerberg, Daniel A. - 2001
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/10012470372
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Using Weights to Adjust for Sample Selection When Auxiliary Information is Available
Nevo, Aviv - 2001
In this paper I analyze GMM estimation when the sample is not a random draw from the population of interest. I exploit auxiliary information, in the form of moments from the population of interest, in order to compute weights that are proportional to the inverse probability of selection. The...
Persistent link: https://www.econbiz.de/10012470143
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Combining Panel Data Sets with Attrition and Refreshment Samples
Hirano, Keisuke - 1998
In many fields researchers wish to consider statistical models that allow for more complex relationships than can be inferred using only cross-sectional data. Panel or longitudinal data where the same units are observed repeatedly at different points in time can often provide the richer data...
Persistent link: https://www.econbiz.de/10012472315
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Exchange-Rate Dynamics and Optimal Asset Accumulation Revisited
Obstfeld, Maurice - 1988
It has recently been observed that when equations of motion for state variables are nonautonomous, optimal control problems involving Uzawa's endogenous rate of time preference cannot be solved using the change-of-variables method common in the literature. Instead, the problem must be solved by...
Persistent link: https://www.econbiz.de/10012476565
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Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets
Brandt, Michael W. - 2001
We present an econometric method for estimating the parameters of a diffusion model from discretely sampled data. The estimator is transparent, adaptive, and inherits the asymptotic properties of the generally unattainable maximum likelihood estimator. We use this method to estimate a new...
Persistent link: https://www.econbiz.de/10012470313
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Computational Economics and Economic Theory : Substitutes or Complements
Judd, Kenneth L. - 1997
This essay examines the idea and potential of a computational approach to theory,' discusses methodological issues … and the exposition of computational results. We argue that the study of a theory need not be confined to proving theorems …
Persistent link: https://www.econbiz.de/10012472915
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One Day in June, 1994 : A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System
Goodhart, Charles - 1995
The paper utilized foreign exchange data (bid, ask and transaction prices and quantities) collected from the screen of the electronic broking system (Reuter D2000-2) on June 16, 1993. The bid and ask quotes, which are `firm' in this data set, are compared with the Reuters FXFX page, which...
Persistent link: https://www.econbiz.de/10012473811
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Seasonal Unit Roots in Aggregate U.S. Data
Beaulieu, J. Joseph - 1992
In this paper we provide evidence on the presence of seasonal unit roots in aggregate U.S. data. The analysis is conducted using the approach developed by Hyllebcrg, Engle, Granger and Yoo (1990). We first derive the mechanics and asyrnptotics of the HEGY procedure for monthly data and use Monte...
Persistent link: https://www.econbiz.de/10012474842