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Brock, William A. - 2000

the perspective of economic theory as well as from the perspective of the historical experiences of the countries under … model specification. Model uncertainty consists of two types: theory uncertainty, which relates to which growth determinants … draws from the same statistical model. We propose ways to account for both theory and heterogeneity uncertainty. Finally …

Persistent link: https://www.econbiz.de/10012470690

Determinants of Long-Term Growth : A Bayesian Averaging of Classical Estimates (BACE) Approach

Doppelhofer, Gernot - 2000

This paper examines the robustness of explanatory variables in cross-country economic growth regressions. It employs a novel approach, Bayesian Averaging of Classical Estimates (BACE), which constructs estimates as a weighted average of OLS estimates for every possible combination of included...

Persistent link: https://www.econbiz.de/10012471000

CAViaR : Conditional Value at Risk by Quantile Regression

Engle, Robert F. - 1999

Value at Risk has become the standard measure of market risk employed by financial institutions for both internal and regulatory purposes. Despite its conceptual simplicity, its measurement is a very challenging statistical problem and none of the methodologies developed so far give satisfactory...

Persistent link: https://www.econbiz.de/10012471443

Evaluating the Effect of an Antidiscrimination Law Using a Regression-Discontinuity Design

Hahn, Jinyong - 1999

nonparametric estimators of treatment effects and present their asymptotic distribution theory. Then we apply the estimation method …

Persistent link: https://www.econbiz.de/10012471663

The Distribution of Public Sector Wage Premia : New Evidence Using Quantile Regression Methods

Poterba, James M. - 1994

This paper documents the changing pattern of wage differentials between state and local government employees and their private sector counterparts during the 1979-1992 period. While the relative wages of women employed in the two sectors changed very little during this period, the relative wages...

Persistent link: https://www.econbiz.de/10012474191

Machine Learning for Regularized Survey Forecast Combination : Partially-Egalitarian Lasso and its Derivatives

Diebold, Francis X. - 2018

Despite the clear success of forecast combination in many economic environments, several important issues remain incompletely resolved. The issues relate to selection of the set of forecasts to combine, and whether some form of additional regularization (e.g., shrinkage) is desirable. Against...

Persistent link: https://www.econbiz.de/10012480620

Quasi-Experimental Shift-Share Research Designs

Borusyak, Kirill - 2018

Many studies use shift-share (or "Bartik") instruments, which average a set of shocks with exposure share weights. We provide a new econometric framework for such designs in which identification follows from the quasi-random assignment of shocks, allowing exposure shares to be endogenous. This...

Persistent link: https://www.econbiz.de/10012480650

On the Estimation of Treatment Effects with Endogenous Misreporting

Nguimkeu, Pierre - 2017

Participation in social programs is often misreported in survey data, complicating the estimation of the effects of those programs. In this paper, we propose a model to estimate treatment effects under endogenous participation and endogenous misreporting. We show that failure to account for...

Persistent link: https://www.econbiz.de/10012453596

Reconciling the Return Predictability Evidence

Lettau, Martin - 2006

Evidence of stock return predictability by financial ratios is still controversial, as documented by inconsistent results for in-sample and out-of-sample regressions and by substantial parameter instability. This paper shows that these seemingly incompatible results can be reconciled if the...

Persistent link: https://www.econbiz.de/10012466559

Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure

Angrist, Joshua - 2004

Quantile regression(QR) fits a linear model for conditional quantiles, just as ordinary least squares (OLS) fits a linear model for conditional means. An attractive feature of OLS is that it gives the minimum mean square error linear approximation to the conditional expectation function even...

Persistent link: https://www.econbiz.de/10012468265

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